Georgeanne told Eugenio about another Enron stock swap.  This one is very 
large, with an exposure to 12 million shares (though it is a little hedged by 
the Phantom swap).  As a result, the VaR for non-trading securities increased 
from an average $6 to $39 million.

We also recalculated Merchant Asset VaR.

Regards,



Adarsh and Eugenio