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Archive · Apr 24, 2001, 12:08 PM

Re:

FromPhillip K Allen
ToFrank Hayden
Frank,

The implied risk created by the san juan and rockies indeces being partially

set after today is the same as the risk in a long futures position.  Whatever

the risk was prior should not matter.  Since the rest of the books are very

short price this should be a large offset.  If the VAR calculation does not

match the company's true risk then it needs to be revised or adjusted. 

Phillip