---------------------- Forwarded by Sanjay Gupta/HOU/ECT on 12/04/2000 04:03 
PM ---------------------------


Kathy Reeves
12/04/2000 03:49 PM
To: Sanjay Gupta/HOU/ECT@ECT
cc: John D Postlethwaite/HOU/ECT@ECT 
Subject: Canada Currency Issues.

Sanjay,
In order to calc our book every day our C$ calc must be able to calc any USD 
deals that are in the book.  Currently the book errors out.  See postID 7746 
deal 473233.  The C$ book should take the USD MTM and multiply it by that 
day's fx curve in order to derive the C$ amount.

Also, In order to manage our currency exposures there are certain reports 
that we are going to need:

Daily Change Report:  This report needs to be amended so that p&l due to 
currency curveshift is separately stated.  This p&l would be calculated as:  
Yesterday's USD position x (today's fx rate - yesterday's fx rate)

Currency position report:  This is a report needs to show by month (by day 
for the current and prompt month) what our USD and CAD$ position is.  Our USD 
position would be the estimated cashflows for all of our deals denominated is 
USD.  Our C$ position would be the estimated cashflows for all of our deals 
denominated in C$.  We will use the USD position report in order to enter 
into offsetting currency hedges.

We are going to need this as soon as possible.

Kathy