Message-ID: <26332249.1075855930258.JavaMail.evans@thyme> Date: Mon, 26 Jun 2000 06:40:00 -0700 (PDT) From: eugenio.perez@enron.com To: georgeanne.hodges@enron.com Subject: SEC VaR for May Cc: sally.beck@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: sally.beck@enron.com X-From: Eugenio Perez X-To: Georgeanne Hodges X-cc: Sally Beck X-bcc: X-Folder: \Sally_Beck_Dec2000\Notes Folders\Var X-Origin: Beck-S X-FileName: sbeck.nsf I know that you do not need numbers until late next month, but I thought you might want an early look at May. One number is particularly interesting: VaR for the Total Return Swaps. You will notice that it decreased substantially from about $20 million in March to about $8 million in May. We had several deals that expired (Churchill, Piti Guam, and Blackbird), reducing risk, and only one new one (Motown). Most importantly, we cut back on our exposure to Rhythms from 5.4 million shares in April to 4.7 million in May, and the stock price continued to fall from $36 to $21 to $16 per share (the less the investment is worth, the less we can lose in it). We will send you June numbers as we collect them. Regards, Eugenio