Message-ID: <22447657.1075849860679.JavaMail.evans@thyme> Date: Thu, 8 Feb 2001 09:37:00 -0800 (PST) From: adarsh.vakharia@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, tatiana.waxler@enron.com, hope.vargas@enron.com Subject: SEC VaR Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Adarsh Vakharia X-To: Georgeanne Hodges, Jan Johnson, Sally Beck, Cassandra Schultz, Shona Wilson, Gary Peng, Jennifer Nguyen, Tatiana Waxler, Hope Vargas X-cc: X-bcc: X-Folder: \Sally_Beck_Nov2001\Notes Folders\Var X-Origin: BECK-S X-FileName: sbeck.nsf Georgeanne told Eugenio about another Enron stock swap. This one is very large, with an exposure to 12 million shares (though it is a little hedged by the Phantom swap). As a result, the VaR for non-trading securities increased from an average $6 to $39 million. We also recalculated Merchant Asset VaR. Regards, Adarsh and Eugenio