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
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