Subject: Ancillary Curves
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked]
Date: Tue, 23 Oct 2001 13:59:19 -0700 (PDT)

Frank,

The voicemail I left was regarding ancillary curves requested by John.  Burton may have emailed you on the request earlier.  I'm following up b/c he's out.

Question - Do we have a rule regarding whether or not we calculated VaR and capture positions for ancillary business?  Based on discussions with Casey Evans we don't report ancillary activity for her regions (var or positions).  In order to keep consistency across the business, it seems that we would either report all ancillary or none.  

Please advise.

Regards

KC