Casey,

I ran curve queries for the RIJ-N and R6W-Z ancillary curves we discussed the other day.  The queries showed that delta positions were captured for these ancillary curves, which goes against what we discussed yesterday - no VaR on ancillary positions.  (I assume that since we have positions that there is a VaR unless there's another workaround outside of the query) FYI - I used the curve grabber tool in the rac website.  

Please give me a call in the a.m. to discuss.

 -----Original Message-----
From: 	Hayden, Frank  
Sent:	Tuesday, October 23, 2001 6:10 PM
To:	Considine, Keith
Cc:	Trevino, Susan; White, Stacey W.; Postlethwaite, John
Subject:	RE: Ancillary Curves

Excellent question.  Currently I am working with Research to determine correct VAR methodology for ancillaries and as such we do not measure risk on these curves.  Even though this is the case we still require curves to be posted and maintained.
Thanks
Frank


 -----Original Message-----
From: 	Considine, Keith  
Sent:	Tuesday, October 23, 2001 3:59 PM
To:	Hayden, Frank
Cc:	Trevino, Susan; White, Stacey W.; Postlethwaite, John
Subject:	Ancillary Curves

Frank,

The voicemail I left was regarding ancillary curves requested by John.  Burton may have emailed you on the request earlier.  I'm following up b/c he's out.

Question - Do we have a rule regarding whether or not we calculated VaR and capture positions for ancillary business?  Based on discussions with Casey Evans we don't report ancillary activity for her regions (var or positions).  In order to keep consistency across the business, it seems that we would either report all ancillary or none.  

Please advise.

Regards

KC