Spreadsheet: darron_c_giron__7961__Ftoc0500
Sheet: GasDaily

Roll Forward Schedule
Book: |  | Gas Daily
Accounting Month:
Date:
Current Day Post ID: |  |  |  |  |  |  |  |  |  | NOTIONAL VOLUMES |  |  |  |  |  |  |  | CALCULATED LONG/SHORT |  |  | Permanent Volume Adjustment
 | . |  | Prior | Today |  |  |  |  |  |  |  |  |  |  |  |  | TOTAL | Long | Short |  | When system was changed over from Lotus to Oracle, a discrepancy
[NAME] MTM Gain (Losses) |  |  |  |  |  | Source |  |  |  | Current Day |  |  |  |  |  |  |  |  |  |  | between the Oracle volumes and Lotus volumes was discovered
Mid P/L Swaps |  |  |  |  | [NAME] | (Oracle  - P&L Top Page) |  |  |  | Long |  | 0 | 0 | 0 | 0 | 0
Mid P/L Options |  |  | 0 | 0 | [NAME] | (Oracle  - P&L Top Page) |  |  |  | Short |  | 0 | 0 | 0 | 0 | 0 |  |  |  |  | An assumption was made the Lotus volumes (which were higher)  were more accurate;
NYMEX Options MTM Value |  |  |  | 0 | [NAME] | (Oracle - Rpt RSX0280 - Options daily P/(L) [NAME]) |  |  |  | Options | 0 | 0 | 0 | 0 | 0 | 0 |  |  |  |  | therefore adjustment to Oracle volumes is as follows:
NYMEX Futures MTM Value |  |  |  | 0 | [NAME] | (Oracle - NYMEX Accounting Summary Schedule) |  |  |  | Futures | 0 | 0 | 0 | 0 | 0 | 0
Foreign Currency |  |  |  | 0 | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Use March 1995 as basis for adjustment |  |  | PERMANENT
Rho/Drift  Adjustments - Schedule A |  |  |  |  | Cell Ref |  |  |  |  | Net Notional |  |  |  |  |  |  |  |  |  |  |  |  |  | ADJUSTMENT
Transactions ex Oracle - Schedule B |  |  |  |  | Cell Ref |  |  |  |  | Volatility | 0 | 0 | 0 | 0 | 0 | 0 |  |  |  |  |  | PER ORACLE | PER ROLL | (/1,000,000)
Perm Book Adjustments - Schedule C |  |  |  |  | Cell Ref |  |  |  |  | Net PV | 0 | 0 | 0 | 0 | 0 | 0 |  |  |  |  | Purchase Position | 0 | 0
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Sales Position | 0 | 0
 |  |  |  |  |  |  |  |  |  | Prior Month |  |  |  |  |  |  |  |  |  |  | Net Position
Gross Book Balance |  |  |  |  |  |  |  |  |  | Long | 11590000 | 0 | 0 | 0 | 0 | 0
 |  |  |  |  |  |  |  |  |  | Short | -10490000 | 0 | 0 | 0 | 0 | 0 |  |  |  |  | Current Month Gross Book Balance with Current Month Rho/Drift Impact)
II. Prudency |  |  |  |  |  |  |  |  |  | Options | 0 | 0 | 0 | 0 | 0 | 0
Prior Month Prudency Balance |  |  |  | 0 | [NAME] |  |  |  |  | Futures | 0 | 0 | 0 | 0 | 0 | 0
Current Month Prudency |  |  |  |  | [NAME]
Current Month Prudency Balance |  |  |  |  | Cell Ref |  |  |  |  | Net Notional
Accounting Adjustments - Schedule D
Total Prudency
III. [NAME] (Losses) |  |  |  |  |  |  |  |  |  | ROLL TESTS |  | Book Balance | Prudency
Prior Month LTD Liquidations |  |  |  | 2570410.6483 | [NAME] |  |  |  |  | Prior Month
Current Month Swap/Options Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Gross Book Balance |  | 171536.4374 |  | [NAME]
Current Month NYMEX Futures Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Prudency |  | 0 |  | [NAME]
Current Month NYMEX Option Premiums |  |  |  |  | Cell Ref |  |  |  |  | LTD Liquidations |  | 2570410.6483 |  | [NAME]
Current Month Spot Liquidations |  |  |  |  | Cell Ref
Current Month Liquidation Adjustments (Book/Acct Recon) |  |  |  |  | Cell Ref |  |  |  |  | Current MTD Daily |  |  |  | Daily Total Below
Prior Period Liquidations Adjustment - Sched E |  |  |  |  | Cell Ref
Current Month LTD Liquidations |  |  |  |  |  |  |  |  |  | Total
IV. [NAME] |  |  |  |  |  |  |  |  |  |  | Difference
OTC
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | DO NOT REMOVE
 | Ttl [NAME] => |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Value | Day of the Week
SENSITIVITY |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1 | S
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2 | M
 | MTD Cumulative |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3 | T
Price [NAME] |  |  |  |  |  |  | 0 | 0 |  |  |  |  |  | 0 | 0 |  |  |  |  |  | 0 | 0 |  |  |  |  |  | 0 | 0 | 0 |  |  |  | 4 | W
Basis Curve Shift |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5 | R
Index [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6 | F
Gas Daily Curve Shift |  | 292196.3927 | -31512.5 | -239050 | -41375 | -175275 |  |  | 336850 | 3997.5702 | 0 | 28833.4642 | -19900 |  |  | 49600 | 67025 | 261512.2085 | 47325 | 59850 |  |  | -23975 | 36070.5048 | 13629.4172 | 5284.5866 | -9876.5185 |  |  |  | 17387.9026 |  |  | 7 | S
FX Curve Shift |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
[NAME]
New Deals |  | 0 | 9399.9404 | 4725 | -200.1495 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0.1443 | 4786.4935 | -2991.6056 | -18185.058 | 0 |  |  | 47300 | 5990.0342 | 0 | 2846.8007 | -0.0154 |  |  |  | 20943.1324
Change in Existing Deals |  | -57.15239999999176 | 70679.99999999994 | -111600 | 0 | 0 |  |  | 0 | 0 | 234932.0856 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | -0.8862999998964369 |  |  |  | 0
Gamma |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
Vega |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
Theta |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
Rho |  | -3.3504 | 0 | -0.0004 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 1.3727 |  |  | 0.9241 | 0.9241 | 0.0382 | -0.136 | -0.0247 |  |  | 0.0673 | 0.0247 | 0.0106 | 0.0238 | -0.0004 |  |  |  | 0
Drift |  | 85.7264 | 0 | -0.0001 | 0.0001 | 0.0004 |  |  | 0.0003 | -0.0001 | 0 | 0 | -3.7505 |  |  | -11.4483 | -3.8636 | -3.047 | -4.357 | -5.4373 |  |  | -16.3138 | -5.4451 | 1.0898 | 0.599 | -0.0817 |  |  |  | 0.543
Origination |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
Liquidations - Book |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
2nd Order |  | 149.4577 | 0 | 0.0001 | -0.0004 | -0.0004 |  |  | 0.0001 | -4.761 | 0 | -4.5785 | -0.0648 |  |  | -0.139 | -0.0546 | -0.7558 | 0.0082 | 0.0019 |  |  | -0.0151 | 5.4195 | -0.4957 | -1.2413 | 0.2183 |  |  |  | 11.4137
Prudency
FX Rho
FX Drift
Prepaid Amortization
Broker Fees (s/b negative) |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
Spot Liquidations
Book/Act Recon Liquid
Other (See schedule E)
"Other" Note reference | Sched E Ref:
 | Prior Month Bal
Total Prudency Balance
Broker Fees (Intra Month)
Total Monthly Change
EXCHANGE
 | Ttl [NAME] =>
FUTURES
 | MTD Cumulative
2 Year Bonds |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
5 Year Bonds |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
10 Year Bonds |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
30 Year Bonds |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Canadian Dollars |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Crude |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Eurodallars |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Gas |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Gas Crack |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Heat Crack |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Heat Oil |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Propane |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Unleaded |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Tot MTD Futures Liquid.
 | Ttl [NAME] =>
OPTION PREMIUMS
 | MTD Cumulative
Crude |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Gas |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Gas Crack |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Heat Crack |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Heat Oil |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Unleaded |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Tot MTD Opt.[NAME].
SUPPORTING SCHEDULES
Schedule A: Rho & Drift Adjustments |  |  |  |  |  | Schedule B: Transactions Ex Oracle
Date | Description |  |  | Amount |  | Description |  |  |  |  | Amount
 |  |  | Total Rho & Drift Adjustments |  |  |  |  |  |  | Total [NAME]
Schedule C: Perm Book Adjustments
Date | Description |  |  | Amount
 |  |  | Total Perm Book Adjustments
Schedule D: Accounting Adjustments (Prudency)
Number | Date | Deal Number | Counterparty | Description |  |  |  |  |  |  |  | Amount
 |  |  |  |  |  |  |  |  |  |  | Total Accounting Adjustments (Prudency)
Schedule E: Prior Period Liquidation Adjustments
Number | Date | Deal Number | Counterparty |  | Amount
 |  |  |  | Total Prior Period Liquidation Adjustments