Spreadsheet: robin_rodrigue__33265__CAN$1100
Sheet: Options

Roll Forward Schedule
Book: | Canadian Gas (CD) Options | Canadian $
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 |  |  | -82772632 | -94419865 | [NAME] | (Oracle  - P&L Top Page) |  |  |  | Long | 0 | 0 | 0 | 0 | 0 | 0
Mid P/L Options |  |  | 144219076 | 157566384 | [NAME] | (Oracle  - P&L Top Page) |  |  |  | Short | 0 | 0 | 0 | 0 | 0 | 0 |  |  |  |  | An assumption was made the Lotus volumes (which were higher)  were more accurate;
Options Gas Daily |  |  | 0 | 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 | 0 | [NAME] | (Oracle - NYMEX Accounting Summary Schedule) |  |  |  | Futures | 0 | 0 | 0 | 0 | 0 | 0
Foreign Currency |  |  | 0 | 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 | 0 | 0 | 0 | 0 | 0 | 0
 |  |  |  |  |  |  |  |  |  | Short | 0 | 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 |  |  |  | -59289430.53999999 | [NAME] |  |  |  |  | Prior Month
Current Month Swap/Options Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Gross Book Balance |  | 54442239 |  | [NAME]
Current Month NYMEX Futures Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Prudency |  | 0 |  | [NAME]
Current Month NYMEX Option Premiums |  |  |  |  | Cell Ref |  |  |  |  | LTD Liquidations |  | -59289430.53999999 |  | [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] |  |  |  | 475719 |  |  |  | 2835270 | 4038958 | 1233182 | -2305039 |  |  | -199807 | -3583418 | -38230 |  | -1783956 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4 | W
Basis Curve Shift |  | 762097 | -355654 | -173866 |  |  | -1705351 | -1500301 | -2515893 | 769058 | 361152 |  |  | 1770269 | 4928401 | 1921554 | -5446796 | 3313658 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5 | R
Index [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6 | F
Gas Daily Curve Shift |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7 | S
FX Curve Shift |  | -2343352 | 266870 | -142638 |  |  | 337069 | -543815 | -1489249 | -1961501 | 1607080 |  |  | -498275 | -371019 | -2656174 | -341164 | -1430262
[NAME]
New Deals |  | 522774 | 551369 | -46978 |  |  |  | -428111 | -398699 |  | 417798 |  |  | -223 | 38609 | 1476926
Change in Existing Deals
Gamma |  | 632688 | 66969 | 271211 |  |  | -19976 | 712348 | 686399 | 46946 | 21241 |  |  | 30032 | -292774 | -155168 | -171049 | -178693
Vega |  | -60124 | -92655 | -119014 |  |  | -398932 | -272115 | 52132 | 56268 |  |  |  | -245763 | -359728 | -69339 |  | 569573
Theta |  | 53035 | -10314 | 24848 |  |  | 185240 | 56987 | 124965 | 85680 | 26190 |  |  | 182660 | 127045 | 91919 | 62242 | 68553
Rho |  | -397 | -4332 | 150 |  |  | 2424 | 1854 | 5739 | -4551 | -2848 |  |  | 7 | 29 | 483 | 6241 | -20196
Drift |  | 8648 | 8069 | 6389 |  |  | 19477 | 6626 | 6885 | 10364 | 13593 |  |  | 33793 | 11243 | 15594 | 17971 | 18804
Origination |  |  |  |  |  |  |  | 45778
Liquidations - Book
2nd Order
Prudency
FX Rho
FX Drift
Prepaid Amortization
Broker Fees (s/b negative)
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
LTD Through 1997 | LTD Rho/Drift Adjustment through December 1997 |  |  | 0 |  | MTM of exotics portfolio as of month end: |  |  |  |  | -536320
LTD Through 1998 | LTD Rho/Drift Adjustment through December 1998
1999-01-01 00:00:00 | Adj. Drift & Rho-01/99 |  |  |  |  | May 17th MidMonth trueup |  |  |  |  | 951958
1999-02-01 00:00:00 | Adj. Drift & Rho-02/99 |  |  |  |  | 2000-05-18 00:00:00 |  |  |  |  | -80627
1999-03-01 00:00:00 | Adj. Drift & Rho-03/99 |  |  |  |  | 2000-05-19 00:00:00 |  |  |  |  | -190177
1999-04-01 00:00:00 | Adj. Drift & Rho-04/99 |  |  |  |  | 2000-05-22 00:00:00 |  |  |  |  | -128533
1999-05-01 00:00:00 | Adj. Drift & Rho-05/99 |  |  |  |  | 2000-05-23 00:00:00 |  |  |  |  | 59162
1999-06-01 00:00:00 | Adj. Drift & Rho-06/99 |  |  |  |  | 2000-05-24 00:00:00 |  |  |  |  | 270176
1999-07-01 00:00:00 | Adj. Drift & Rho-07/99 |  |  |  |  | 2000-05-25 00:00:00 |  |  |  |  | 374959
1999-08-01 00:00:00 | Adj. Drift & Rho-08/99 |  |  |  |  | 2000-05-26 00:00:00 |  |  |  |  | 374959
1999-09-01 00:00:00 | Adj. Drift & Rho-09/99 |  |  |  |  | 2000-05-30 00:00:00 |  |  |  |  | -17820
1999-10-01 00:00:00 | Adj. Drift & Rho-10/99 |  |  |  |  | 2000-05-31 00:00:00 |  | MTM and Liquidations
1999-11-01 00:00:00 | Adj. Drift & Rho-11/99 |  |  | -63928 |  | 2000-06-01 00:00:00 |  |  |  |  | -176412
1999-12-01 00:00:00 | Adj. Drift & Rho-12/99 |  |  | -65289 |  | 2000-06-02 00:00:00 |  |  |  |  | -205355
2000-01-01 00:00:00 | Adj. Drift & Rho-01/00 |  |  |  |  | 2000-06-05 00:00:00 |  |  |  |  | 332912
2000-02-01 00:00:00 | Adj. Drift & Rho-02/00 |  |  | -33215 |  | 2000-06-06 00:00:00 |  |  |  |  | 20441
2000-03-01 00:00:00 | Adj. Drift & Rho-03/00 |  |  | -28131 |  | 2000-06-07 00:00:00 |  |  |  |  | -191572
2000-04-01 00:00:00 | Adj. Drift & Rho-04/00 |  |  | -31089 |  | 2000-06-08 00:00:00 |  |  |  |  | 24474
2000-05-01 00:00:00 | Adj. Drift & Rho-05/00 |  |  | -92738 |  | 2000-06-09 00:00:00 |  |  |  |  | 36071
2000-06-01 00:00:00 | Adj. Drift & Rho-06/00 |  |  | -239525 |  | 2000-06-12 00:00:00 |  |  |  |  | -463
2000-07-01 00:00:00 | Adj. Drift & Rho-07/00 |  |  | -244025 |  | 2000-06-13 00:00:00 |  |  |  |  | 10546
2000-08-01 00:00:00 | Adj. Drift & Rho-08/00 |  |  | -449671 |  | 2000-06-14 00:00:00 |  |  |  |  | -3621
2000-09-01 00:00:00 | Adj. Drift & Rho-09/00 |  |  | -454556 |  | 2000-06-15 00:00:00 |  |  |  |  | 47436
2000-10-01 00:00:00 | Adj. Drift & Rho-10/00 |  |  | -476642 |  | 2000-06-16 00:00:00 |  |  |  |  | 335361
 |  |  | 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)
Scedule E: Prior Period Liquidation Adjustments
Number | Date | Deal Number | Counterparty |  | Amount
 | 2000-11-06 00:00:00 | Q38619 | Rio Alto |  | -220994
 |  |  |  | Total Prior Period Liquidation Adjustments