Message-ID: <14622865.1075856642470.JavaMail.evans@thyme> Date: Wed, 2 Aug 2000 12:43:00 -0700 (PDT) From: kirstee.hewitt@enron.com To: grant.masson@enron.com, vince.kaminski@enron.com, cantekin.dincerler@enron.com Subject: VaR for COB 1st Aug 2000 Cc: bjorn.hagelmann@enron.com, andreas.barschkis@mgusa.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: bjorn.hagelmann@enron.com, andreas.barschkis@mgusa.com X-From: Kirstee Hewitt X-To: Grant Masson, Vince J Kaminski, Cantekin Dincerler X-cc: Bjorn Hagelmann, Andreas.Barschkis@mgusa.com X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Var X-Origin: Kaminski-V X-FileName: vkamins.nsf Hi, I have run the VaR for COB 1st Aug 2000. A summary of the results is as follows : I have also attached the model. Again the prices for Cocoa Beans and Gold have not been updated since the 26th July. The gamma positions for the metals have been added to check the effect on the VaR. The change was small : Delta VaR - $4,899,196 Delta/Gamma VaR - $4,780,797 This is not a live daily feed as Andreas mannually created the file for me today so that we could do this check. Regards Kirstee