Message-ID: <20466165.1075862194201.JavaMail.evans@thyme> Date: Tue, 27 Nov 2001 11:05:33 -0800 (PST) From: david.port@enron.com To: rick.buy@enron.com Subject: RE: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Port, David X-To: Buy, Rick X-cc: X-bcc: X-Folder: \RBUY (Non-Privileged)\Buy, Rick\Inbox X-Origin: Buy-R X-FileName: RBUY (Non-Privileged).pst var in john's booked dropped by $8MM but the var on the gas desk went up by $12MM - volatility increased also 2% most of the reduction was in cal 03 where we don't have much risk anyway - hence not much change there is nothing wrong with the model -----Original Message----- From: Buy, Rick Sent: Tuesday, November 27, 2001 12:51 PM To: Port, David Subject: FW: This is what you are talking about? Rick -----Original Message----- From: Lavorato, John Sent: Tuesday, November 27, 2001 12:02 PM To: Buy, Rick Cc: Whalley, Greg Subject: FW: we bought 15000 contracts and our VAR didn't fall. Something is wrong with the model -----Original Message----- From: Port, David Sent: Tuesday, November 27, 2001 11:56 AM To: Beck, Sally Cc: Lavorato, John Subject: FW: FYI - this is out there as a possible reason why Americas VaR did not come down to within limits as we expected. In the absence of a fix it looks as though we have another VaR violation. -----Original Message----- From: Hayden, Frank Sent: Tuesday, November 27, 2001 11:36 AM To: Port, David Subject: FW: -----Original Message----- From: Hayden, Frank Sent: Tuesday, November 27, 2001 8:12 AM To: Reeves, Kathy Cc: Gossett, Jeffrey C.; Davenport, Lacrecia; Khanna, Bharat; Victorio, Tom Subject: Kathy, It looks like the Canadian positions didn't hit VAR last night. Can you re-check? Also, I understand Zufferli bot a ton of NG and I thought he was short? (Why is system showing he is long?) Frank EFF_DT PORTFOLIO_ID COMMODITY_CD SumOfDELTA_POSITION 11/23/2001 J_ZUFFERLI NG 8241559.1328 11/26/2001 J_ZUFFERLI NG 8568832.813 EFF_DT PORTFOLIO_ID COMMODITY_CD SumOfDELTA_POSITION 11/23/2001 CANADA-PWR-BU NG 8298324.949 11/26/2001 CANADA-PWR-BU NG 8691997.5495 EFF_DT PORTFOLIO_ID COMMODITY_CD SumOfDELTA_POSITION 11/23/2001 CANADA_PWR_GAS NG 8298324.949 11/26/2001 CANADA_PWR_GAS NG 8691997.5495