Spreadsheet: sally_beck__33945__SEC VaR
Sheet: 2000

 |  | 1999-12-01 00:00:00 |  | 2000-01-01 00:00:00 | 2000-02-01 00:00:00 | 2000-03-01 00:00:00 | 2000-04-01 00:00:00 | 2000-05-01 00:00:00 | 2000-06-01 00:00:00 | 2000-07-01 00:00:00 | 2000-08-01 00:00:00 | 2000-09-01 00:00:00 | 2000-10-01 00:00:00 | 2000-11-01 00:00:00 | 2000-12-01 00:00:00 |  | AVERAGE | HIGH | LOW
AGG_ECT | TC |  |  | 23648142 | 18913435 | 28703135 | 45126975 | 45127067.3382702 | 49267360.5571446 | 42872948.8941392 | 72747412.997819 |  | 27755226.3312541 | 71551459.7462032 | 58748587.7613608
AGG_INDEX | TC |  |  | 2662112 | 2447886 | 2285580 | 3078240 | 2846150.17208833 | 1934817.84020596 | 2569586.09763149 | 4156867.87902974 | 4910305.11710285 | 2969502.44308996 | 7528489.44447631 | 3941018.35293631
AGG_EUROPE | TC
WEATHER | TC |  |  | 1936000
ENRON SOUTH AMERICA GAS | TC |  |  | 208000
ENRON SOUTH AMERICA POWER | TC |  |  | 201000
AUSTRALIA | TC |  |  | 394000
EES POWER | TC |  |  | 958000
BANDWIDTH | TC |  |  | 0 | 0 | 0 | 1062.84 | 0
ENRON METALS | TC |  |  | 0 | 0 | 0 | 0 | 0 | 0 | 0
PGE TRADING | TC |  |  | 344837 | 341647 | 44776 | 404498 | 218347 | 267347 | 535856 | 296991 | 270675 | 196688 | 329856 | 336155
IR | TI |  |  | 337257 | 198338.76 | 44211.57 | 34722.6 | 153500.99 | 68031.61 | 106613.64 | 129377.47 | 58028.31 | 194706.94 | 50966.9 | 252688.76
FX | TF |  |  | 23005 | 475061.02 | 140591.07 | 94820.49 | 24845.1 | 45618.29 | 28666.7 | 123803.19 | 54812.6 | 199235.86 | 34587.55 | 236780.04
ENRON NORTH AMERICA FINANCIAL TRADING EQUITY | TS |  |  | 2370000 | 3553353.17 | 3969964 | 2575452 | 3209793 | 2439474
ENRON NORTH AMERICA FINANCIAL TRADING DEBT | TS |  |  | 695000 | 1001529 | 928360.3 | 1569135 | 1179471 | 935173
MERCHANT ASSETS | TS |  |  | 61108667.6794209 | 44872126.7421532 | 47677837 | 51620708.9762332 | 45050781.7675564 | 45596361 | 50564025.7591894 | 48038578.9174097 | 40026940 | 43941071 | 43711432 | 66746089 | #[NAME]!
TOTAL RETURN SWAPS | TS |  |  | 16094885.36764597 | 13905391.45272583 | 18945011.40850117 | 13269177.79412251 | 8800042.766030194 | 7014423.737841123 | 11585826.74166543 | 11393419.06643176 | 15600396.8580319 | 22986813.77027959 | 23539487.02240635 | 28269561.48185723
LEHMAN AND JEDI SWAPS ON ENE STOCK | TS |  |  | 54136719.75645521 | 50615278.81770666 | 49001863.32754767 | 42895001.40586383 | 42035180.37351064 | 33885071.33202419 | 43374440.16786551 | 44120789.56151512 | 42368827.79164831 | 43881698.92961364 | 46429118.8637214 | 53573157.52256899
PGE NON TRADING | NC |  |  | 1271876 | 1286033 | 1129837 | 1398726 | 1302426 | 4640987 | 3665832.380827716 | 1878793.682945789 | 1627931.232195328 | 1384847 | 1560666.993732167 | 2436472.391641859
BRENT CRUDE COMMODITY POSITIONS | NC |  |  | 1059913 | 1118196 | 1007307 | 887542 | 937883 | 1088435 | 941834 | 967697 | 874915 | 1238053.320431777 | 578857 | 177368.8313235911
[NAME] AND OPEN POSITION | NC |  |  | 557224 | 540440 | 546888 | 516371 | 1476919 | 1800788 | 1564407 | 728269 | 695918 | 584193 | 0 | 0
[NAME] | NI |  |  | 1633506.52 | 1654695.87 | 1092013.53 | 1030597.8 | 1001385.49 | 1006790.08 | 976871.77 | 920897.47 | 942823.63 | 861596.36 | 865780.66 | 853.04
ECM FX | NF |  |  | 4053418.52 | 3993940.33 | 5162478.12 | 5256057.14 | 9779357.93 | 9961765.73 | 9622113.8 | 9797984.01 | 9716361.37 | 9573588.16 | 8367919.62 | 7545462.57
PHANTOM | NS |  |  | 6484975.508593918 | 6063146.141290566 | 5869876.95198732 | 5138342.973300659 | 5035345.998942614 | 4637306.766167813 | 5935964.628738712 | 6038105.511346964 | 5798342.575927304 | 6005385.007554009 | 6354009.556133437 | 6768797.852096712
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | AVERAGE | HIGH | LOW
TRADING COMMODITIES
TRADING INTEREST RATES
TRADING FOREIGN EXCHANGE
TRADING SECURITIES
NON-TRADING COMMODITIES
NON-TRADING INTEREST RATES
NON-TRADING FOREIGN EXCHANGE
NON-TRADING SECURITIES
TOTAL
 |  | OLD MERCHANT |  | 119911136.1904008 | 139445086.6391799 | 80231710.80478276 | 66391245.08469786 | 69632080.42187823 | 77867611.54701205 | 73541114.45110036 | 85909099.60476609 | 66983312.53466626 | 62341523.63620713 | 62553992.85278862 | 61548814.77990134
 |  | OLD TOTAL TRADING SECURITIES |  | 121011676.4716137 | 140185311.2075246 | 82538859.59315434 | 67771407.2517384 | 70269205.91201788 | 78226546.96678716 | 74463146.19790314 | 86681874.8149021 | 68777667.51732121 | 66451919.9989704 | 66839432.48109753 | 67865071.0115322