From: anjam.ahmad@enron.com
To: andreas.barschkis@mgusa.com
Cc: vince.kaminski@enron.com, tanya.tamarchenko@enron.com, grant.masson@enron.com, kirstee.hewitt@enron.com, dale.surbey@enron.com, cantekin.dincerler@enron.com, lloyd.fleming@enron.com
Date: 2000-07-27 08:52:00+00:00
Subject: Re: Your Comments on Metals VaR Model

Dear Andreas,

Thanks for the very useful response and information on positions.  I have 
handed over primary responsibility for metals VaR to Kirstee Hewitt (at least 
as far as London is concerned) and she will follow up on the points you 
kindly reported, although I am of course available to assist where 
necessary.  Tanya will remain the point of contact for VaR modelling in 
Houston, and of course Kirstee and Tanya will work together on this to 
resolve these and further issues.  I would be happy to help set up meetings 
for you in the London office when you visit next week, with Kirstee, myself 
and anyone else that you would like to meet with and we very much look 
forward to your visit - please let me know if you need any help with the 
arrangements.

Regards,

Anjam

0207 783 5383
---------------------- Forwarded by Anjam Ahmad/LON/ECT on 27/07/2000 08:40 
---------------------------
   
	Enron Capital & Trade Resources Corp.
	
	From:  Andreas.Barschkis@mgusa.com                           27/07/2000 00:36
	

To: Anjam.Ahmad@enron.com, Kirstee.Hewitt@enron.com
cc: Bjorn_Hagelmann@mgusa.com 

Subject: Re:VARMODEL_Live.XLS



Anjam,
thanks for your VAR Model.
I would like to point out the following:
1) Position data: I noted that the outright (longs + Shorts) for copper
include positions which we should not use, i.e. R. Wolff quantities. This
positions are imputed into the system at their integrity (some legs/hedges
are missing)
This affects copper and Lead position for now. The issues should be have
been sorted out by the end of this month, ie next week. So in Copper you
have 25,487 mt to much and with Lead you have 13,579mt to much.(as of June
19)

2) Looking at copper position you calculate a VAR of -3,100,568 with a
total outright of 63.765 mt.
This seams too low. if I calculate 63765 x 1807 x3.99%=4.218 mil. US$. VAR
(outright qty x price levelx risk factor, riskfactr as per Mercur).
In my view we have been understating VaR in Mercur because we do not
consider the spread position correctly (i.e. in detail). On a position like
that I would expect a figure of around 6 mil US$.
I guess the issue is in the volatility and in the holding period.

3) your correlation matrix for the commodities is not final i assume as
many fields are blank.

Lets talk tomorrow on the phone.

Attached please find the Position summary for the last week #30 (since June
19) as requested by Kirstee.
(See attached file: mgposw30.xls)
Andreas Barschkis
MG Metal & Commodity Corp.
520 Madison Avenue, 28th Floor
New York, NY 10022
Tel: +1.212.715.5628
Cel: +1.917.679.8287
Fax: +1.212.715.5608
E-mail: andreas.barschkis@mgusa.com




                    Anjam.Ahmad@e
                    nron.com             To:     Andreas.Barschkis@mgusa.com
                                         cc:     Kirstee.Hewitt@enron.com
                    07/26/2000           Subject:     Zipped VARMODEL_Live.XLS
                    11:37 AM





Hi Andreas,

This is the semi-final spreadsheet - have only to include price curves for
Gold and cocoa.  Kirstee and I would welcome your comments.

Regards,

Anjam



 - mgposw30.xls