E Corp. has $100 million invested in an equal weighted portfolio consisting of two securities, X and Y, with characteristics of annual returns given below. Using the risk metrics approach, calculate the one-month value-at-risk at the 5 percent level.

	Exp Return	Standard Dev
X	0.06	0.15
Y	0.10	0.20

Correlation Coefficient between returns on X and Y = 0.5