Subject: VAR for Global Liquid Fuels
From: [email-masked]
To: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Cc: [email-masked], [email-masked], [email-masked]
Date: Thu, 14 Sep 2000 08:17:00 -0700 (PDT)

The Global Liquid Fuels group has been over its VAR limit for the past 7 
days.   There have been some questions regarding the accuracy of the 
numbers.  The RAC-Market Risk Group believes that the calculations are 
generally correct according to accepted methodology.  While it is not 
perfect, the primary issues are not with the calculations but with the data 
inputs and the expectations of John Nowlan of interday position changes 
(where actual trades done have been different than his expectations).  There 
has been a proposal to change the calculation of forward-forward volatilities 
offered by the option trader.  After a review of that request, we believe 
that it would be better to adopt the change proposed and implemented on the 
North American Gas desk.   If  the traders agree and formulate a request, we 
will recommend to Rick that he approve it and instruct the operations team to 
implement as policy.
Please let me know it you have any questions.
Ted