FW:

please specify what is wrong with the var model
buying 132bcf beyond oct02 and going shorter 27bcf prompt will not reduce var

-----Original Message-----
From: Buy, Rick
Sent: Tuesday, November 27, 2001 12:51 PM
To: Port, David
Subject: FW:

This is what you are talking about? Rick

-----Original Message-----
From: Lavorato, John
Sent: Tuesday, November 27, 2001 12:02 PM
To: Buy, Rick
Cc: Whalley, Greg
Subject: FW:

we bought 15000 contracts and our VAR didn't fall. Something is wrong with the model

-----Original Message-----
From: Port, David
Sent: Tuesday, November 27, 2001 11:56 AM
To: Beck, Sally
Cc: Lavorato, John
Subject: FW:

FYI - this is out there as a possible reason why Americas VaR did not come down to within limits as we expected.
In the absence of a fix it looks as though we have another VaR violation.

-----Original Message-----
From: Hayden, Frank
Sent: Tuesday, November 27, 2001 11:36 AM
To: Port, David
Subject: FW:

-----Original Message-----
From: Hayden, Frank
Sent: Tuesday, November 27, 2001 8:12 AM
To: Reeves, Kathy
Cc: Gossett, Jeffrey C.; Davenport, Lacrecia; Khanna, Bharat; Victorio, Tom
Subject:

Kathy,
It looks like the Canadian positions didn't hit VAR last night. Can you re-check?
Also, I understand Zufferli bot a ton of NG and I thought he was short? (Why is system showing he is long?)

Frank

EFF_DT PORTFOLIO_ID COMMODITY_CD SumOfDELTA_POSITION
11/23/2001 J_ZUFFERLI NG 8241559.1328
11/26/2001 J_ZUFFERLI NG 8568832.813

EFF_DT PORTFOLIO_ID COMMODITY_CD SumOfDELTA_POSITION
11/23/2001 CANADA-PWR-BU NG 8298324.949
11/26/2001 CANADA-PWR-BU NG 8691997.5495

EFF_DT PORTFOLIO_ID COMMODITY_CD SumOfDELTA_POSITION
11/23/2001 CANADA_PWR_GAS NG 8298324.949
11/26/2001 CANADA_PWR_GAS NG 8691997.5495