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