Re: VaR on Long-dated deals

Great. Thanks. So what do you think of Crude for tomorrow?

Jeff

From: Christian LeBroc @ ENRON 11/13/2000 02:00 PM

To: Jeffrey A Shankman/HOU/ECT@ECT
cc: John L Nowlan/HOU/ECT@ECT
Subject: VaR on Long-dated deals

Per our conversation this morning, the graph below shows the combined VaR for
the last 30 days on just the long-dated deals. Unfortunately, there is some
intra-day trading and long term strategic trading for Energy Trend and
JBlock. The Risk Management group have started breaking out intra-day
trading for FGH and PAN-NAT, and they are currently in the process of
breaking-out Energy Trend and JBlock. This process requires setting up new
books and re-booking new deals. However, the graph below should give you an
idea of how much VaR these deals are eating up. I will send an updated graph
once all books are successfully setup.