Message-ID: <16798037.1075849856857.JavaMail.evans@thyme> Date: Wed, 24 Jan 2001 09:40:00 -0800 (PST) From: eugenio.perez@enron.com To: georgeanne.hodges@enron.com, jan.johnson@enron.com, sally.beck@enron.com, cassandra.schultz@enron.com, shona.wilson@enron.com, gary.peng@enron.com, jennifer.nguyen@enron.com Subject: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Eugenio Perez X-To: Georgeanne Hodges, Jan Johnson, Sally Beck, Cassandra Schultz, Shona Wilson, Gary Peng, Jennifer Nguyen X-cc: X-bcc: X-Folder: \Sally_Beck_Nov2001\Notes Folders\Perez, eugenio X-Origin: BECK-S X-FileName: sbeck.nsf We are for the most part finished with SEC VaR. We are missing October and December Brent Crude Commodity Positions. When we get these numbers we will reissue this report, but they are not likely to be different enough from the guesses we inserted to make a difference. Total VaR is the highest I have seen at $92 million. One reason is that trading commodities VaR remains very high at $66 million (though it is down from the $81 million of November). The other reason is that trading securities VaR is by far the highest it has been at $63 million. Merchant Assets (with a VaR of $29 million) and total return swaps (with a VaR of $56, up from $24 in November) are at all time highs. Bacchus and Riva (both originated in December) conspired to increase total return swap VaR. Nevertheless, the biggest culprit is Cerberus (a fixed for EOG shares swap we put on in November). Cerberus contains ten million unhedged shares of EOG. The value of the shares increased from $42 in November to $55 in December, raising VaR substantially. Regards, Eugenio