Subject: we are for the most part finished with sec var . we are missing october and
december brent crude commodity positions . when we get these numbers we will
reissue this report , but they are not likely to be different enough from the
guesses we inserted to make a difference .
total var is the highest i have seen at $ 92 million .
one reason is that trading commodities var remains very high at $ 66 million
( though it is down from the $ 81 million of november ) .
the other reason is that trading securities var is by far the highest it has
been at $ 63 million . merchant assets ( with a var of $ 29 million ) and total
return swaps ( with a var of $ 56 , up from $ 24 in november ) are at all time
highs .
bacchus and riva ( both originated in december ) conspired to increase total
return swap var . nevertheless , the biggest culprit is cerberus ( a fixed for
eog shares swap we put on in november ) . cerberus contains ten million
unhedged shares of eog . the value of the shares increased from $ 42 in
november to $ 55 in december , raising var substantially .
regards ,
eugenio