fyi...

---------------------- Forwarded by Sheila Glover/HOU/ECT on 03/09/2000 08:11 
AM ---------------------------
   
	Enron North America Corp.
	
	From:  Samantha T Davidson                           03/08/2000 09:07 PM
	

To: Ted Murphy/HOU/ECT@ECT, David Port/Corp/Enron@ENRON
cc: Tanya Tamarchenko/HOU/ECT@ECT, Sheila Glover/HOU/ECT@ECT, William Patrick 
Lewis/HOU/ECT@ECT, Mike Fowler/Corp/Enron@ENRON 
Subject: Backtesting Graphs for SemiVariance VaR


Per your request, please review the graphs below for comparision of 
backtesting results between the current VaR model and the same model
using semivariance.  In conclusion, the proposed VaR tuning (RLPM)
backtests as well as the current method given the data sample used.
Gary has requested that this method be approved and adopted 
as the current method is not reflecting only the directional risk associated
with his positions.  Upon approval, method can be implemented immediately.


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