sec var in december we entered two swaps on enron stock to hedge out the exposure we
created by granting options . we consider them trading securities , so i have
included them in the spreadsheet accordingly .
gail tholen explained to me that we have long term contracts to remove the
variability of revenues in bammel looper and mid texas . i have changed the
total return swap model to use the volatility of prices in 2013 ( when the
contracts expire ) , rather than spot volatilities . as a result , december var
for total return swaps fell from $ 34 to $ 28 million .
with the partly offsetting effects of the new enron stock and total return
swaps , december var for trading securities therefore fell from $ 70 to $ 68
million .
i recalculated total return swap var for the rest of 2000 using volatilities
for 2013 . nevertheless , the impact is small , since spot volatilities were
not as high throughout the year as in december . as a matter of fact , the
average , high , and low trading securities vars for 2000 remain largely
unchanged .
regards ,
eugenio
sec var
in december we entered two swaps on enron stock to hedge out the exposure we
created by granting options . we consider them trading securities , so i have
included them in the spreadsheet accordingly .
gail tholen explained to me that we have long term contracts to remove the
variability of revenues in bammel looper and mid texas . i have changed the
total return swap model to use the volatility of prices in 2013 ( when the
contracts expire ) , rather than spot volatilities . as a result , december var
for total return swaps fell from $ 34 to $ 28 million .
with the partly offsetting effects of the new enron stock and total return
swaps , december var for trading securities therefore fell from $ 70 to $ 68
million .
i recalculated total return swap var for the rest of 2000 using volatilities
for 2013 . nevertheless , the impact is small , since spot volatilities were
not as high throughout the year as in december . as a matter of fact , the
average , high , and low trading securities vars for 2000 remain largely
unchanged .
regards ,
eugenio