FW:

Rob,

See tab "Rob" in the attached spreadsheet. Same story on Portfolio #2: reducing gas position, lowers VaR. I have ran two additional scenarios for Portfolio #2 with 2/3 and 1/2 of the original gas position. Let me know if you have questions.

Vlady.
-----Original Message-----
From: Gorny, Vladimir
Sent: Friday, February 01, 2002 8:57 AM
To: Sturm, Fletcher J.
Subject: RE:

Fletch,

The limits have been quoted using the 10d-99 measure. However, UBS will use all three measures.

In Portfolio #2, Gas risk overweighs Power risk. NG-R4 correlation is 60%. If you reduce your NG position, risk will come down. See portfolio 2a with 20,000/day of J-V 02 Gas. Also, see my simple square root of some of squares calc in the updated spreadsheet.

I will run Rob's scenarios sometime today and send it to you.

Vlady.

-----Original Message-----
From: Sturm, Fletcher J.
Sent: Friday, February 01, 2002 7:16 AM
To: Gorny, Vladimir
Subject: 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