Message-ID: <31350833.1075855379066.JavaMail.evans@thyme> Date: Tue, 24 Apr 2001 15:08:00 -0700 (PDT) From: phillip.allen@enron.com To: frank.hayden@enron.com Subject: Re: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Phillip K Allen X-To: Frank Hayden X-cc: X-bcc: X-Folder: \Phillip_Allen_Jan2002_1\Allen, Phillip K.\'Sent Mail X-Origin: Allen-P X-FileName: pallen (Non-Privileged).pst Frank, The implied risk created by the san juan and rockies indeces being partially set after today is the same as the risk in a long futures position. Whatever the risk was prior should not matter. Since the rest of the books are very short price this should be a large offset. If the VAR calculation does not match the company's true risk then it needs to be revised or adjusted. Phillip