Subject: VaR for COB 1st Aug 2000
From: [email-masked]
To: [email-masked], [email-masked], [email-masked]
Cc: [email-masked], [email-masked]
Date: Wed, 2 Aug 2000 12:43:00 -0700 (PDT)

Hi,
I have run the VaR for COB 1st Aug 2000. A summary of the results is as 
follows :

I have also attached the model.

Again the prices for Cocoa Beans and Gold have not been updated since the 
26th July. The gamma positions for the metals have been 
added to check the effect on the VaR. The change  was small :
Delta VaR - $4,899,196
Delta/Gamma VaR - $4,780,797
This is not a live daily feed as Andreas mannually created the file for me 
today so that we could do this check.

Regards
Kirstee