VaR Methodology Change

Gentlemen,

Below is a plan of action for moving along with the VaR methodology change
related to forward-forward volatility:

1. Finalize the methodology proposed (Research/Market Risk)

- determine the time period used to calculated forward-forward vols vs.
correlations (20 days vs. 60 days)
- stabilize the calculation for curves and time periods where the curve does
not change based on historical prices, implying volatility of 0%

2. Get approval for the methodology change from Rick Buy (see draft of the
memo attached) - John Lavorato and John Sherriff

3. Develop and implement the new methodology in a stage environment
(Research/IT)

4. Test the new methodology (Market Risk, Traders)

5. Migrate into production (Research/IT)

Please let me know if this is reasonable and meets everyone's expectations.
Vlady.