Message-ID: <12899773.1075841602846.JavaMail.evans@thyme> Date: Fri, 1 Feb 2002 06:57:10 -0800 (PST) From: vladimir.gorny@enron.com To: j..sturm@enron.com Subject: RE: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Gorny, Vladimir X-To: Sturm, Fletcher J. X-cc: X-bcc: X-Folder: \ExMerge - Sturm, Fletcher J.\Deleted Items X-Origin: STURM-F X-FileName: fletcher sturm 6-26-02.PST Fletch, The limits have been quoted using the 10d-99 measure. However, UBS will use all three measures. In Portfolio #2, Gas risk overweighs Power risk. NG-R4 correlation is 60%. If you reduce your NG position, risk will come down. See portfolio 2a with 20,000/day of J-V 02 Gas. Also, see my simple square root of some of squares calc in the updated spreadsheet. I will run Rob's scenarios sometime today and send it to you. Vlady. -----Original Message----- From: Sturm, Fletcher J. Sent: Friday, February 01, 2002 7:16 AM To: Gorny, Vladimir Subject: RE: Vladimir, Which measure are we going to be using at UBS? VaR on portfolio #2 dosn't make sense to me that adding gas short to same position as #1c. increases risk. What's up with that? Also, could you forward the results from Rob Benson's portfolio's to me? Thanks, Fletch -----Original Message----- From: Gorny, Vladimir Sent: Thursday, January 31, 2002 3:44 PM To: Sturm, Fletcher J. Subject: RE: See attached. Let me know if you have questions. -----Original Message----- From: Sturm, Fletcher J. Sent: Wednesday, January 30, 2002 3:28 PM To: Gorny, Vladimir Cc: Sturm, Fletcher J. Subject: Portfolio #1 a.) Long 100 N-Q '02 Cin b.) Long 250 N-Q '02 Cin c.) Long 500 N-Q '02 Cin Portfolio #2 Long 500 N-Q '02 Cin Short 30,000/d J-V '02 NG Portfolio #3 Long 500 N-Q '02 Cin Short 250 N-Q '03 Cin Portfolio #4 Long 500 N-Q '02 Cin Short 250 N-Q '02 PJM Portfolio #5 Long 300 N-Q '02 Cin Short 500 U '02 Cin Long 1,000 Q4 '02 Cin Long 200 Cal '03 Cin