mg metals summary var methodology current status dear anjam highly productive informative set meetings andreas barkchis mg metals ny thursday 20 th july ny office firstly say thanks andreas helpful addressing numerous requests information look forward establishing solid working relationship going forward find summary version _ 1 initial rough calculation mg metal var also anjam kirstee london side cantekin grant vince houston side working last 2 days spreadsheet var model current status effort plan future progress summarized enclosed document v r methodology mg metals positions version _ 1 introduction document describes initial rough model calculations value risk mg metals model implemented spreadsheet serve prototype risktrac implementation risk factors following positions represent mg metal risk covered version _ 1 base metals positions including aluminium copper gold lead nickel silver tin zinc risk related positions quantified simulating forward prices metal copper concentrate risk related positions quantified simulating tc charges cocoa beans risk related positions quantified simulating forward prices cocoa beans therefore 10 curves drive risk price curves aluminium copper gold lead nickel silver tin zinc cocoa beans plus tc curve copper concentrate assumptions simplifications metal going use single price curve types products physical financial lme traded comex traded scrap alloy stock etc delta gamma approach risk options positions components required implement v r model current forward prices available mercur current implied volatilities available reuters current positions mercur history prices required calculate factor loadings correlations across commodities methodology version _ 1 based risk matrix approach calculate principal components metal cocoa beans take account correlations along term structure also calculate correlations across commodities based prompt month prices history last 3 months portfolio hierarchy position assigned one following portfolios whole portfolio agg metals mg metal mg metal mg metall recycling gmbh ffm sub portfolio following sub portfolios comex frame contract lme lme alloy lme metal index option call option put physical physical alloy physical real physical scrap price part prov billing stock stock alloy stock comex stock physical stock scrap