Spreadsheet: sally_beck__33823__SEC VaR
Sheet: 1999

 |  |  |  | 1998-12-01 00:00:00 |  | 1999-01-01 00:00:00 | 1999-02-01 00:00:00 | 1999-03-01 00:00:00 | 1999-04-01 00:00:00 | 1999-05-01 00:00:00 | 1999-06-01 00:00:00 | 1999-07-01 00:00:00 | 1999-08-01 00:00:00 | 1999-09-01 00:00:00 | 1999-10-01 00:00:00 | 1999-11-01 00:00:00 | 1999-12-01 00:00:00 |  | AVERAGE | HIGH | LOW
DPR | AGG_ECT | TRADING | COMMODITIES |  |  |  | 15545611 |  | 21247174 | 17986539 |  | 21708625 | 12019264 |  | 14176613 | 11834603 | 15944237
DPR | AGG_INDEX | TRADING | COMMODITIES |  |  |  | 6225465 |  | 6383638 | 5872344 |  | 2916483 | 3917094 |  | 3355699 | 2516618 | 2646766
DPR | AGG_EUROPE | TRADING | COMMODITIES |  |  | 7740818.41844237 | 7681304.903974822 |  | 6405374.416834855 | 6468180.904413631 |  | 5799271.274298285 | 8148115.669876952 |  | 7040373.597333933 | 7083005.057222836 | 7923000
DPR | WEATHER | TRADING | COMMODITIES |  |  | 1612476.939415826 | 1268985.459296175 |  | 1308461.617953083 | 2046442.7042568 |  | 1969522.445058069 | 1916692.333127128 |  | 1678729.37722858 | 2052737.672649749
DPR | ENRON SOUTH AMERICA GAS | TRADING | COMMODITIES |  |  |  |  | 226246 | 221893 | 275673 |  | 246000 | 232000 |  | 219000 | 218000
DPR | ENRON SOUTH AMERICA POWER | TRADING | COMMODITIES |  |  |  |  |  |  |  |  | 154623 | 112002 |  | 85019 | 80366
DPR | AUSTRALIA | TRADING | COMMODITIES | 717588 |  | 717588 | 717588 | 717588 | 717588 | 717588 |  | 618751 | 519914 |  | 790008.8340052752 | 605024.176263357
[NAME] (POWER ONLY; GAS IS ROLLING INTO AGG ECT) | EES POWER | TRADING | COMMODITIES |  |  | 215692.0581504325 | 266848.4718591282 | 403276.7669283875 | 1013669.476692455 | 518375.3899046931 | 967000 | 231000 | 106000 | 950118 | 793051 | 914323 | 1005578
 | MERRILL LYNCH | TRADING | COMMODITIES | 0 |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 5000000
DPR | IR | TRADING | IR |  |  | 328925.7673330138 | 116374.3211909201 |  | 238519.2698789106 | 113489.0074423849 |  | 136571.5174306665 | 445157.66 |  | 490477.46 | 175321.68 | 402833.5
DPR | FX | TRADING | FX |  |  | 44989.35132364326 | 15917.28511742934 |  | 32623.85710018576 | 15522.6416847658 |  | 18679.7891460741 | 59819.37 |  | 61989.08 | 48221.91 | 88015.32
[NAME] | [NAME] | TRADING | SECURITIES | 1239039.771055408 |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
DPR | ENRON NORTH AMERICA FINANCIAL TRADING EQUITY | TRADING | SECURITIES |  |  | 490354 | 708069.4750591996 |  | 1633612.829948036 | 1575948.762050149 |  | 1651296 | 1097139 |  | 852212 | 853602
DPR | ENRON NORTH AMERICA FINANCIAL TRADING DEBT | TRADING | SECURITIES | 0 |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |  | 299486.52 | 480594
HUSNAIN MIRZA | MERCHANT ASSETS | TRADING | SECURITIES |  |  | 13283979 | 11450028 |  | 14115247 | 15006116 |  | 10357305 | 9598730 |  | 13731892 | 15350456 | 20962426.9792509
 | PALADIN |  |  | 0 |  | 383908.5849514358 | 333795.6367964122 | 321512.4165454955 | 391087.9718209954 | 368510.1261702731 | 370640.1432813369 | 408004.4538957822 | 411241.6723055398 | 413617.4529184505 | 420417.7952500916 | 445814.1733644361 | 539323.764022081
 | RHYTHMS | TRADING | SECURITIES | 0 |  | 0 | 0 | 0 | 0 | 0 | 24329479 | 16987124 | 14501497 | 11769242 | 8940492 | 12437323 | 0
 | TOTAL RETURN SWAPS | TRADING | SECURITIES |  |  | 9094561.71092217 | 8812748.045065125 |  | 8701091.334390666 | 8449981.720364835 |  | 8544727.309796033 | 8649711.505698195 |  | 8641790.787859613 | 8466778.392148184 | 16008215.98021176
[NAME] | AFFILIATE | NON-TRADING | COMMODITIES |  |  |  |  |  |  |  |  |  | 0 |  | 0 | 0 | 0
[NAME] [PHONE] OR TERRI PESCHKA | PGE | NON-TRADING | COMMODITIES |  |  | 998413.7101547634 | 1749998.424070433 | 1076792.319877886 | 732742.02546053 | 982500.1298956657 |  | 2030340.786878154 | 1893646.340625672 |  | 1661609.533634482 | 1606424.073730221 | 1276392.860806186
 | BRENT CRUDE COMMODITY POSITIONS |  |  |  |  | 217000 | 203000 | 186000 | 150000 | 155000 | 150000 | 155000 | 155000 | 180000 | 201500 | 210000 | 213900
DAN FANCLER & DEBBIE MOSELY | [NAME] AND OPEN POSITION | NON-TRADING | COMMODITIES | 0 |  | 0 | 0 | 0 | 0 | 312941 | 321461 | 437248 | 879178 | 808677 | 785091 | 607779 | 503948
TANYA TAMARCHENKO & [NAME] | [NAME] | NON-TRADING | IR |  |  |  |  | 1704279.71 | 1857644.84 | 1920000.33 | 2105966.77 | 2224024.51 | 2202166.56 | 2160017.07 | 1742172.94 | 1745908.45
TANYA TAMARCHENKO & [NAME] | ECM FX | NON-TRADING | FX |  |  |  |  | 78002.22 | 4781077.21 | 4689175.86 | 3574673.61 | 3656490.09 | 3614812.98 | 4376525.33 | 3738107.48 | 3589218.36
JILL ERWIN & STEVE ROSS | PHANTOM, [NAME], CONDOR | NON-TRADING | SECURITIES | 0 |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 2239526.93200883 | 2833349.55718782
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 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
 |  |  |  |  |  | NOTE:  NUMBERS IN GRAY ARE EITHER ESTIMATES OR STRAIGHT-LINE CALCULATIONS.