requests for new curves , new books , porfolio changes in the past few months , the procedures for setting up new curves and books
have not been followed by everyone .
the following memo documents the procedures to 1 ) set up a new curve , 2 ) set
up a new book , and 3 ) change a portfolio hierarchy . please note that risk
management ( for each commodity group ) , " risk management " is responsible for
ensuring that information is flowing appropriately between the valuation
systems and risktrac ( risk analysis and reporting can help , but do not have
all of the erms information to be able to ensure the completeness of
risktrac ) .
i have attached the request form for each of these changes at the bottom of
this memo . please ensure that everyone in your group obtains a copy .
the procedure to set up a new curve is as follows :
trader starts trading at a new location or a new commodity and needs a new
curve set up
trader communicates this to risk management
risk management constructs new curve in erms ( with the help of the it
department )
risk management completes a curve set up request form to set up curve in
risktrac
curve form is forwarded to risk analysis and reporting
risk analysis and reporting sets up curve in risktrac
a system generated message is sent to people on the " curve list " indicating a
change in the risktrac curves has been made
if the curve is not set up in risktrac the positions are not captured in the
var or engine , thereby making var inaccurate . as a side note , risk analysis
and reporting has implemented a new process in which on a weekly basis new
curves set up in erms are reviewed to ensure that these have been set up in
risktrac . we did this for the first time today and noted numerous curves in
erms that are not in risktrac - which we are working with you to resolve .
the procedure to set up a new book in risktrac is as follows :
trader / risk management determines new book is needed
new book request form ( for risktrac ) is completed by risk management
new book request form is forwarded to risk analysis and reporting
risk analysis and reporting sets up book in risktrac
risk analysis and reporting forwards request to erms administrator and global
counterparty group to request that book is set up in valuation and
counterparty systems
once all groups have completed their individual set ups , a final e - mail is
sent to personnel on the " books list " and the book administrator in the risk
management department who requested the book
it is important that there is a one to one link between the erms and risktrac
books , or not all positions will be captured in risktrac ( two commodities per
erms book does not flow properly into risktrac ) .
the above two processes have formally existed for a number of months .
additionally , we are formalizing the procedure for changing portfolio
hierarchies . the procedure now is :
risk management is responsible for requesting all portfolio hierarchy
changes . previously , changes could be made through a request by risk
analysis and reporting or rac . these two groups are no longer allowed to
submit change requests . all requests must come through risk management .
risk management completes a request , including the reason for the requested
change in structure
risk management forwards the request to risk analysis and reporting
risk analysis and reporting makes the change and notifies risk management
that the change has been made .
if you have any questions , comments or concerns , please call : me x 39123 ,
chris abel x 33012 , burton mcintyre x 57197 , or susan trevino x 31462 .
thanks ,
shona
requests for new curves , new books , porfolio changes
in the past few months , the procedures for setting up new curves and books
have not been followed by everyone .
the following memo documents the procedures to 1 ) set up a new curve , 2 ) set
up a new book , and 3 ) change a portfolio hierarchy . please note that risk
management ( for each commodity group ) , " risk management " is responsible for
ensuring that information is flowing appropriately between the valuation
systems and risktrac ( risk analysis and reporting can help , but do not have
all of the erms information to be able to ensure the completeness of
risktrac ) .
i have attached the request form for each of these changes at the bottom of
this memo . please ensure that everyone in your group obtains a copy .
the procedure to set up a new curve is as follows :
trader starts trading at a new location or a new commodity and needs a new
curve set up
trader communicates this to risk management
risk management constructs new curve in erms ( with the help of the it
department )
risk management completes a curve set up request form to set up curve in
risktrac
curve form is forwarded to risk analysis and reporting
risk analysis and reporting sets up curve in risktrac
a system generated message is sent to people on the " curve list " indicating a
change in the risktrac curves has been made
if the curve is not set up in risktrac the positions are not captured in the
var or engine , thereby making var inaccurate . as a side note , risk analysis
and reporting has implemented a new process in which on a weekly basis new
curves set up in erms are reviewed to ensure that these have been set up in
risktrac . we did this for the first time today and noted numerous curves in
erms that are not in risktrac - which we are working with you to resolve .
the procedure to set up a new book in risktrac is as follows :
trader / risk management determines new book is needed
new book request form ( for risktrac ) is completed by risk management
new book request form is forwarded to risk analysis and reporting
risk analysis and reporting sets up book in risktrac
risk analysis and reporting forwards request to erms administrator and global
counterparty group to request that book is set up in valuation and
counterparty systems
once all groups have completed their individual set ups , a final e - mail is
sent to personnel on the " books list " and the book administrator in the risk
management department who requested the book
it is important that there is a one to one link between the erms and risktrac
books , or not all positions will be captured in risktrac ( two commodities per
erms book does not flow properly into risktrac ) .
the above two processes have formally existed for a number of months .
additionally , we are formalizing the procedure for changing portfolio
hierarchies . the procedure now is :
risk management is responsible for requesting all portfolio hierarchy
changes . previously , changes could be made through a request by risk
analysis and reporting or rac . these two groups are no longer allowed to
submit change requests . all requests must come through risk management .
risk management completes a request , including the reason for the requested
change in structure
risk management forwards the request to risk analysis and reporting
risk analysis and reporting makes the change and notifies risk management
that the change has been made .
if you have any questions , comments or concerns , please call : me x 39123 ,
chris abel x 33012 , burton mcintyre x 57197 , or susan trevino x 31462 .
thanks ,
shona