VaR for COB 28th July 2000

Hi all,
I have run the VaR model for the positions at close fo business 28th of July.
The model is attached below.

As a summary the results are as follows :

and as a comparison the previous days figures were :

This shows some increase in VaR for Aluminium, Copper and Lead. The prices
for gold and cocoa beans have not been updated
as we still do not have a live feed to Bloomberg/Reuters. I will be working
on this with Cantekin and Andreas should also be able to
provide some more historical data.
Also, after having a discussion with Andreas here in London we should
probably reduce the vol we are using for TC - we are taking the Cu price
vol as a proxy which is a too high. However, assuming the the other
assumptions we have made around the TC ( ie simulating a parallel shift in
the curve and
including no term structure to the price curve) the vol estimate is a
conservative one.

Cheers
Kirstee