Lorraine and Paul,

Please coordinate with each other and provide Steve an update by noon tomorrow (Wednesday) as to where your conversations stand with your customers on flipping these deals from Index to fixed rates.  He has a meeting with Stan at 2:00pm and will be asked about these I'm sure.  

Also, Paul, would you please provide Steve any additional thoughts ( like we discussed yesterday) with respect to how and what things are included in our VaR.  

Many thanks, Kim. 

 -----Original Message-----
From: 	Harris, Steven  
Sent:	Tuesday, February 12, 2002 11:03 AM
To:	Watson, Kimberly
Subject:	FW: TW Volatility Calculation


fyi
 -----Original Message-----
From: 	Geaccone, Tracy  
Sent:	Tuesday, February 12, 2002 10:49 AM
To:	Cobb Jr., John; Perchal, Cheryl; Strohmeyer, Vincent; Elizondo, Rudy (ETS)
Cc:	Saunders, James; Hayslett, Rod; Peters, Jerry
Subject:	RE: TW Volatility Calculation

NNG marketing should not be doing this anymore should they?  Can I get a copy of the two calculations and have someone walk me through them today.  Can we not get resolution on the problem we seem to have here?    Steve Harris will be in this meeting as well to discuss how TW is going to handle the I to I deals going forward.  

 -----Original Message-----
From: 	Cobb Jr., John  
Sent:	Tuesday, February 12, 2002 10:42 AM
To:	Perchal, Cheryl; Strohmeyer, Vincent; Elizondo, Rudy (ETS)
Cc:	Saunders, James; Hayslett, Rod; Peters, Jerry; Geaccone, Tracy
Subject:	TW Volatility Calculation

	As a note for the  "cc" list above: the TW VaR has decreased (From over $1million to $600,000) for unexplained 
	reasons and is believed to be related to the volatility calculation which is done by NNG Marketing using SAS
	(Statistical Analysis Software) as input into Caminus.  We have talked to Richard Riehm in Marketing and he
	is looking into the problem but is not sure what's causing these unusual swings.  The Daily Risk report has not been 	distributed for the last few days pending resolution of this calculation problem but the correct VaR is still believed
	to be over the ETS VaR limit.

	We are scheduled to meet with Stan tomorrow, at his request of Vince, to discuss the TW VaR.  I know Tracy
	and Vince has had some discussions related to the VaR calculation and that Tracy has discussed TW Marketing's
	plans to reduce the VaR.  I'm assuming Tracy will "facilitate" the meeting tomorrow and I suggest we use the last 
	VaR calculation 	we believe to be correct for discussion purposes which was as of February 4 data (Total VaR - $1.152mm).

 -----Original Message-----
From: 	Perchal, Cheryl  
Sent:	Tuesday, February 12, 2002 9:31 AM
To:	Strohmeyer, Vincent; Cobb Jr., John
Subject:	Volatility Calculation
Importance:	High

I think that the problem with the TW VaR is how the volatility is being calculated on the San Juan indices for the months of November 2002 through March 2003.  This is not a Caminus issue, but an issue of how the volatility is being calculated outside Caminus.  It sounded as though Jose will not work on any issue related to Caminus, but I think this issue is outside of Caminus

Comments?