Message-ID: <32183070.1075856642404.JavaMail.evans@thyme> Date: Thu, 3 Aug 2000 10:31:00 -0700 (PDT) From: kirstee.hewitt@enron.com To: vince.kaminski@enron.com Subject: VaR for COB 2nd Aug 2000 Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Kirstee Hewitt 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 Hi Vince, I was waiting for a comment about the email below before sending it to the full mailing list. Basically it suggests that the copper option position may well have increased the VaR by more than $500,000. However, given that the portfoilo has also changed from the 1st of August it is difficult to asses the actual change due to the option only. Regards Kirstee ---------------------- Forwarded by Kirstee Hewitt/LON/ECT on 03/08/2000 17:29 --------------------------- Enron Europe From: Kirstee Hewitt 03/08/2000 16:29 To: Cantekin Dincerler/HOU/ECT@ECT, Grant Masson/HOU/ECT@ECT cc: Subject: VaR for COB 2nd Aug 2000 Hi all, The CU option position has entered the MG books for the 2nd Aug. The delta is 35299$/mt for Dec 2000. The Cu VaR has gone up from $2,245,000 to $3,306,000. I estimated that the portfolio for the 1st would increase to approx $3,039,000 so this seems sensible. The overall VaR change is from $4,780,796 to $5,991,569. Again, the estimate for the 1st Aug was for an increase in VaR to ~ $5,476,000. All estimates were based on a delta of 32,0004/dmt. There has also been some increase in the VaR for Aluminium which will effect the overall total. A summary is as follows : regards, Kirstee