Re: VaR for COB 2nd Aug 2000

Hi Vince,
I have sent a mail to Andreas with a full list of all the assumed units
within our model. He has sent some historical
data for cocoa beans and noticed that they were being quoted in GBP/mt so
even currency units seem to be important.
Thank you for pointing this out,
Kirstee

Vince J Kaminski
04/08/2000 15:45
To: Kirstee Hewitt/LON/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT, Cantekin Dincerler/HOU/ECT@ECT, Grant
Masson/HOU/ECT@ECT

Subject: Re: VaR for COB 2nd Aug 2000

Hi Kirstee,

Thanks again for all your work on MG. One think to double check is units.
Please, make sure that the prices are quoted in the same units our positions
come in.

One potential source of confusion arises from the fact that we are dealing
with different
cultures (metric system vs. English measures).

Vince

Enron Capital & Trade Resources Corp. - Europe

From: Kirstee Hewitt 08/03/2000 11:31 AM

To: Vince J Kaminski/HOU/ECT@ECT
cc:
Subject: VaR for COB 2nd Aug 2000

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