Message-ID: <22351457.1075858638768.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:
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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