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