Spreadsheet: sally_beck__33925__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 | TRADING | COMMODITIES | TC |  |  | 23648142 | 18913435 | 28703135 | 45126975 | 45127067.3382702 | 49267360.5571446 | 42872948.8941392 | 72747412.997819 |  | 27755226.3312541 | 71551459.7462032 | 58748587.7613608
AGG_INDEX | TRADING | COMMODITIES | TC |  |  | 2662112 | 2447886 | 2285580 | 3078240 | 2846150.17208833 | 1934817.84020596 | 2569586.09763149 | 4156867.87902974 | 4910305.11710285 | 2969502.44308996 | 7528489.44447631 | 3941018.35293631
AGG_EUROPE | TRADING | COMMODITIES | TC
WEATHER | TRADING | COMMODITIES | TC |  |  | 1936000
ENRON SOUTH AMERICA GAS | TRADING | COMMODITIES | TC |  |  | 208000
ENRON SOUTH AMERICA POWER | TRADING | COMMODITIES | TC |  |  | 201000
AUSTRALIA | TRADING | COMMODITIES | TC |  |  | 394000
EES POWER | TRADING | COMMODITIES | 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 | TRADING | 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 | TRADING | 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 | TRADING | SECURITIES | TS |  |  | 2370000 | 3553353.17 | 3969964 | 2575452 | 3209793 | 2439474
ENRON NORTH AMERICA FINANCIAL TRADING DEBT | TRADING | SECURITIES | TS |  |  | 695000 | 1001529 | 928360.3 | 1569135 | 1179471 | 935173
MERCHANT ASSETS | TRADING | SECURITIES | TS |  |  | 131495790.7938848 | 150772736.1304227 | 87260060.48860148 | 72313668.85721564 | 76885583.46209165 | 85462338.23377512 | 80728542.37774353 | 93537743.54982719 | 74198161.89710294 | 69185539.72090912 | 69134822.93783157 | 70271893.13211182
PALADIN |  |  | TS |  |  | 527738.9395350779 | 673738.3427705718 | 696109.3118917615 | 706350.1616271022 | 668354.6465259744 | 593065.4147569413 | 551205.4494181928 | 534335.0292331759 | 433754.7974202242 | 544190.957820076 | 571903.3053839355 | 574992.4037709029
TOTAL RETURN SWAPS | TRADING | SECURITIES | TS |  |  | 15807399 | 14429937 | 19761235.22190853 | 13502199.02057307 | 7661055.058387923 | 5350523.874947654 | 10205261.70139838 | 9794626 | 1906930.213904522 | 20322466.17505048 | 17608598.82086135 | 33801070.61351736
PGE NON TRADING | NON-TRADING | COMMODITIES | 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 |  | 578857
[NAME] AND OPEN POSITION | NON-TRADING | COMMODITIES | NC |  |  | 557224 | 540440 | 546888 | 516371 | 1476919 | 1800788 | 1564407 | 728269 | 695918 | 584193 | 0 | 0
[NAME] | NON-TRADING | IR | 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 | NON-TRADING | 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 | NON-TRADING | SECURITIES | 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 ASSETS | TRADING | SECURITIES | TS |  |  | 26048012.09123918 | 24266449.57230015 | 24253012.89097919 | 28471216.824584 | 27164142.14467023 | 23161707.61381906 | 22278214.38193498 | 16691362.955604 | 27929747 | 17693726.03002201 | 16209438 | 28875326.72950273