VAR for Global Liquid Fuels

The Global Liquid Fuels group has been over its VAR limit for the past 7
days. There have been some questions regarding the accuracy of the
numbers. The RAC-Market Risk Group believes that the calculations are
generally correct according to accepted methodology. While it is not
perfect, the primary issues are not with the calculations but with the data
inputs and the expectations of John Nowlan of interday position changes
(where actual trades done have been different than his expectations). There
has been a proposal to change the calculation of forward-forward volatilities
offered by the option trader. After a review of that request, we believe
that it would be better to adopt the change proposed and implemented on the
North American Gas desk. If the traders agree and formulate a request, we
will recommend to Rick that he approve it and instruct the operations team to
implement as policy.
Please let me know it you have any questions.
Ted