Message-ID: <23766974.1075857522659.JavaMail.evans@thyme>
Date: Mon, 13 Nov 2000 06:29:00 -0800 (PST)
From: jeffrey.shankman@enron.com
To: christian.lebroc@enron.com
Subject: Re: VaR on Long-dated deals
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Great.  Thanks.  So what do you think of Crude for tomorrow?  

Jeff


   
	
	
	From:  Christian LeBroc @ ENRON                           11/13/2000 02:00 PM
	

To: Jeffrey A Shankman/HOU/ECT@ECT
cc: John L Nowlan/HOU/ECT@ECT 
Subject: VaR on Long-dated deals

Per our conversation this morning, the graph below shows the combined VaR for 
the last 30 days on just the long-dated deals.  Unfortunately, there is some 
intra-day trading and long term strategic trading for Energy Trend and 
JBlock.  The Risk Management group have started breaking out intra-day 
trading for FGH  and PAN-NAT, and they are currently in the process of 
breaking-out Energy Trend and JBlock.   This process requires setting up new 
books and re-booking new deals.  However, the graph below should give you an 
idea of how much VaR these deals are eating up.  I will send an updated graph 
once all books are successfully setup.