MG VaR Results for the 27th July

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 07/28/2000
05:10 PM ---------------------------

Enron Capital & Trade Resources Corp. - Europe

From: Kirstee Hewitt 07/28/2000 02:08 PM

To: Cantekin Dincerler/HOU/ECT@ECT, Vince J Kaminski/HOU/ECT@ECT, Grant
Masson/HOU/ECT@ECT, Bjorn Hagelmann/HOU/ECT@ECT
cc: Steven Leppard/LON/ECT@ECT
Subject: MG VaR Results for the 27th July

Hi,
I have run the VaR with updated factor loadings for the gold,silver and cocoa
bean positions. The biggest change in VaR from
adding this information has been to the Cocoa bean position which has
increased from approx $45,900 to $506,553.
The overal VaR has not changed by very much as the position file I was sent
from Andreas had not changed from the 26th - I
have queried this and it will not be a problem to re-run the numbers on
Monday if I recieve a further file.
The VaR summary for all the metals is as follows :

Also, after having a conversation with Bjorn about stress/scenario analysis I
thought I might quickly try to set up a few scenarios to
see how sensitive the VaR is to a position change in Aluminium, Nickel and
Copper.
I have only applied position increases (thge direction of the shifts are
dependent on the monthly outright position direction) up until Dec2000.
The shifts and results are given in the following attached spreadsheet.

It is interesting that the individual VaR's are particuarly sensitive to
increasing the position for Nickel.
I would like to discuss these results on Monday and any further suggestions
for senarios would also be gratefully recieved.

Have a good weekend,
Kirstee.