Message-ID: <258901.1075857592555.JavaMail.evans@thyme> Date: Fri, 14 Jul 2000 07:33:00 -0700 (PDT) From: john.arnold@enron.com To: frank.hayden@enron.com Subject: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: John Arnold X-To: Frank Hayden X-cc: X-bcc: X-Folder: \John_Arnold_Dec2000\Notes Folders\Sent X-Origin: Arnold-J X-FileName: Jarnold.nsf Frank: Just following up on two topics. One: Larry May's book continues to run at a VAR of 2,500,00 despite the fact his P&L is never close to that. Can you check that his exotics book positions are being picked up in his VAR calcs. Second: Have you looked into applying a band-aid to the understating longer term Vol problem until we change formulas? John