Message-ID: <22447657.1075849860679.JavaMail.evans@thyme>
Date: Thu, 8 Feb 2001 09:37:00 -0800 (PST)
From: adarsh.vakharia@enron.com
To: georgeanne.hodges@enron.com, jan.johnson@enron.com, sally.beck@enron.com, 
	cassandra.schultz@enron.com, shona.wilson@enron.com, 
	gary.peng@enron.com, jennifer.nguyen@enron.com, 
	tatiana.waxler@enron.com, hope.vargas@enron.com
Subject: SEC VaR
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X-From: Adarsh Vakharia
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Georgeanne told Eugenio about another Enron stock swap.  This one is very 
large, with an exposure to 12 million shares (though it is a little hedged by 
the Phantom swap).  As a result, the VaR for non-trading securities increased 
from an average $6 to $39 million.

We also recalculated Merchant Asset VaR.

Regards,



Adarsh and Eugenio

