Message-ID: <3972832.1075856642695.JavaMail.evans@thyme> Date: Wed, 26 Jul 2000 04:58:00 -0700 (PDT) From: cantekin.dincerler@enron.com To: vince.kaminski@enron.com Subject: Re: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Cantekin Dincerler X-To: Vince J Kaminski X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Var X-Origin: Kaminski-V X-FileName: vkamins.nsf Vince, Sorry for getting back a little late. I have been in touch with Kirstee to figure out how to treat positions data which is the primary cause for fluctuations. Apparently, as of 7/19, MG still has July position. This may be spot or balance of the month, or some settlement issue. This indeed is what we are trying to find out/verify (it may be an error too). Kirstee is going to get back to me on this. If it is not an error, then Anjam's latest results ($5.5 million total VAR) are reasonable given all the assumptions and the missing pieces. I will keep you posted. Cantekin Vince J Kaminski 07/26/2000 10:12 AM To: Cantekin Dincerler/HOU/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT, Ted Murphy/HOU/ECT@ECT Subject: Re: Cantekin, Can you figure out the reason for cocoa beans VaR fluctuations? The same is true of aluminum. I assume this is the position change. Vince Cantekin Dincerler 07/26/2000 09:28 AM To: Anjam Ahmad/LON/ECT@ECT, Kirstee Hewitt/LON/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT Subject: Anjam and Kirstee, As I have suspected the position as of 6/30 vs 7/19 makes the difference. The first table first column is my VAR number with 6/30 position and gold&silver prices, the second column is your VAR with 7/19 position and dummy gold&silver prices. The second table first column is my VAR with 7/19 position and 6/30 gold&silver prices, the second column is as before. I would ask you to plug the gold and silver prices and see what kind of numbers you get in order to verify we are on the same page. Please refer to MODELVAR2000.xls that I have sent you for gold & silver prices and volatilities. Thank you, Cantekin TABLE 1 TABLE 2