RE: NGI-MALIN

Kam,

Did Brad answer your question? I've been in NYMEX hell all day and I am not up on this issue. Let me know if I can help further.

EM

-----Original Message-----
From: Keiser, Kam
Sent: Thursday, October 25, 2001 2:47 PM
To: McLaughlin Jr., Errol
Subject: FW: NGI-MALIN

Errol,

Do you know if the trade below Frank is talking about was booked to NGI-Malin or to another curve. His concern is that there isn't a volatility curve set and the P&L/Positions may be off.

KK

-----Original Message-----
From: Hayden, Frank
Sent: Thursday, October 25, 2001 2:10 PM
To: Gossett, Jeffrey C.; Keiser, Kam
Cc: Khanna, Bharat
Subject: FW: NGI-MALIN

Bharat was digging around in ERMS and noticed that NGI-Malin is missing a vol curve..
The immediate concern was gas VAR, and think I'm, okay given below?
The second concern is Larry May.
Larry booked $8MM last week on SoCal option trade. The question I have is where is his vol curve? How can he book $8MM when he isn't even posting a vol curve for Malin?was his trade elsewhere
Can you all noodle around for me?
Thanks
Frank

-----Original Message-----
From: Jia, Winston
Sent: Thursday, October 25, 2001 1:47 PM
To: Hayden, Frank
Cc: Khanna, Bharat
Subject: RE: NGI-MALIN

Frank,

For all gas basis curves, if it does not have its own vol, then NG Nymex Vol will be used.

Regards,

Winston

-----Original Message-----
From: Hayden, Frank
Sent: Thursday, October 25, 2001 1:08 PM
To: Jia, Winston
Cc: Khanna, Bharat
Subject: NGI-MALIN

Winston,
Bharat meet with Francis Lim regarding ERMS and he learned that NGI-MALIN does not have any vol curve assigned to it. However when we simulate that curve in ad hoc we don't get any errors. Can you tell us what vol curve is being used for NGI-Malin in risk trac?
Thanks
Frank