Re:

Vince,
Sorry for getting back a little late. I have been in touch with Kirstee to
figure out how to treat positions data which is the primary cause for
fluctuations. Apparently, as of 7/19, MG still has July position. This may be
spot or balance of the month, or some settlement issue. This indeed is what
we are trying to find out/verify (it may be an error too). Kirstee is going
to get back to me on this. If it is not an error, then Anjam's latest results
($5.5 million total VAR) are reasonable given all the assumptions and the
missing pieces. I will keep you posted.
Cantekin

Vince J Kaminski
07/26/2000 10:12 AM
To: Cantekin Dincerler/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT, Ted Murphy/HOU/ECT@ECT
Subject: Re:

Cantekin,

Can you figure out the reason for cocoa beans VaR fluctuations?
The same is true of aluminum. I assume this is the position change.

Vince

Cantekin Dincerler
07/26/2000 09:28 AM
To: Anjam Ahmad/LON/ECT@ECT, Kirstee Hewitt/LON/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT
Subject:

Anjam and Kirstee,

As I have suspected the position as of 6/30 vs 7/19 makes the difference. The
first table first column is my VAR number with 6/30 position and gold&silver
prices, the second column is your VAR with 7/19 position and dummy
gold&silver prices. The second table first column is my VAR with 7/19
position and 6/30 gold&silver prices, the second column is as before.

I would ask you to plug the gold and silver prices and see what kind of
numbers you get in order to verify we are on the same page. Please refer to
MODELVAR2000.xls that I have sent you for gold & silver prices and
volatilities.

Thank you,
Cantekin

TABLE 1

TABLE 2