Spreadsheet: errol_mclaughlin_jr__10001__DKR_400bp_11-19-01
Sheet: Cal02_Cal03

 |  |  |  |  |  |  |  |  |  | Libor + |  |  | Disc | Notional | 400 bp
Counterparty | Deal Date | [NAME] | Pub Code | Price Code | Fin / Phy | Period | Notional | Delta | Disc. Rate | 400 bp | Fixed | Mid | MtM Value | MtM Value | MtM Value
[NAME] 1/day of Cal02 Nymex NG
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-01-01 00:00:00 | -238700 | -237973.3707 |  |  | 2.92 |  | -44025.0736
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-02-01 00:00:00 | -215600 | -214580.7717 |  |  | 2.92 |  | -45061.9621
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-03-01 00:00:00 | -238700 | -237218.4561 |  |  | 2.92 |  | -43173.759
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-04-01 00:00:00 | -231000 | -229185.8212 |  |  | 2.92 |  | -32086.015
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-05-01 00:00:00 | -238700 | -236440.9548 |  |  | 2.92 |  | -42559.3719
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-06-01 00:00:00 | -231000 | -228432.5383 |  |  | 2.92 |  | -51397.3211
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-07-01 00:00:00 | -238700 | -235651.2576 |  |  | 2.92 |  | -62447.5833
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-08-01 00:00:00 | -238700 | -235208.9708 |  |  | 2.92 |  | -71738.7361
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-09-01 00:00:00 | -231000 | -227185.0358 |  |  | 2.92 |  | -70427.3611
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-10-01 00:00:00 | -238700 | -234296.8315 |  |  | 2.92 |  | -82003.891
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-11-01 00:00:00 | -231000 | -226242.3785 |  |  | 2.92 |  | -123754.581
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.1 | NX1 | NG | F | 2002-12-01 00:00:00 | -238700 | -233272.1284 |  |  | 2.92 |  | -174254.2799
[NAME] 1/day of Cal02 Nymex NG
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-01-01 00:00:00 | -71300 | -71082.9549 |  |  | 2.92 |  | -13150.3467
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-02-01 00:00:00 | -64400 | -64095.5552 |  |  | 2.92 |  | -13460.0666
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-03-01 00:00:00 | -71300 | -70857.4609 |  |  | 2.92 |  | -12896.0579
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-04-01 00:00:00 | -69000 | -68458.1025 |  |  | 2.92 |  | -9584.1343
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-05-01 00:00:00 | -71300 | -70625.2203 |  |  | 2.92 |  | -12712.5397
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-06-01 00:00:00 | -69000 | -68233.0959 |  |  | 2.92 |  | -15352.4466
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-07-01 00:00:00 | -71300 | -70389.3367 |  |  | 2.92 |  | -18653.1742
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-08-01 00:00:00 | -71300 | -70257.225 |  |  | 2.92 |  | -21428.4536
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-09-01 00:00:00 | -69000 | -67860.4652 |  |  | 2.92 |  | -21036.7442
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-10-01 00:00:00 | -71300 | -69984.7679 |  |  | 2.92 |  | -24494.6688
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-11-01 00:00:00 | -69000 | -67578.8923 |  |  | 2.92 |  | -36965.6541
AARB | 2001-10-03 00:00:00 | Y76886.2 | NX1 | NG | F | 2002-12-01 00:00:00 | -71300 | -69678.6877 |  |  | 2.92 |  | -52049.9797
DKR Sells 1/day of Cal03 Nymex NG
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-01-01 00:00:00 | 238700 | 232710.9713 |  |  | 3.275 |  | 124965.7916
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-02-01 00:00:00 | 215600 | 209647.526 |  |  | 3.275 |  | 96857.157
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-03-01 00:00:00 | 238700 | 231548.8071 |  |  | 3.275 |  | 86136.1562
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-04-01 00:00:00 | 231000 | 223454.8728 |  |  | 3.275 |  | 60779.7254
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-05-01 00:00:00 | 238700 | 230255.6912 |  |  | 3.275 |  | 63780.8265
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-06-01 00:00:00 | 231000 | 222160.2497 |  |  | 3.275 |  | 68425.3569
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-07-01 00:00:00 | 238700 | 228874.2535 |  |  | 3.275 |  | 78274.9947
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-08-01 00:00:00 | 238700 | 228133.8012 |  |  | 3.275 |  | 89428.4501
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-09-01 00:00:00 | 231000 | 220037.4101 |  |  | 3.275 |  | 88455.0389
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-10-01 00:00:00 | 238700 | 226617.1453 |  |  | 3.275 |  | 101297.864
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-11-01 00:00:00 | 231000 | 218535.5453 |  |  | 3.275 |  | 138770.0712
AIGCOMARB | 2001-10-03 00:00:00 | Y76886.3 | NX1 | NG | F | 2003-12-01 00:00:00 | 238700 | 225029.4908 |  |  | 3.275 |  | 183399.035
DKR Sells 1/day of Cal03 Nymex NG
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-01-01 00:00:00 | 71300 | 69511.0693 |  |  | 3.275 |  | 37327.4442
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-02-01 00:00:00 | 64400 | 62621.9883 |  |  | 3.275 |  | 28931.3586
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-03-01 00:00:00 | 71300 | 69163.9294 |  |  | 3.275 |  | 25728.9817
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-04-01 00:00:00 | 69000 | 66746.2607 |  |  | 3.275 |  | 18154.9829
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-05-01 00:00:00 | 71300 | 68777.674 |  |  | 3.275 |  | 19051.4157
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-06-01 00:00:00 | 69000 | 66359.5551 |  |  | 3.275 |  | 20438.743
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-07-01 00:00:00 | 71300 | 68365.0368 |  |  | 3.275 |  | 23380.8426
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-08-01 00:00:00 | 71300 | 68143.8627 |  |  | 3.275 |  | 26712.3942
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-09-01 00:00:00 | 69000 | 65725.4602 |  |  | 3.275 |  | 26421.635
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-10-01 00:00:00 | 71300 | 67690.8356 |  |  | 3.275 |  | 30257.8035
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-11-01 00:00:00 | 69000 | 65276.8512 |  |  | 3.275 |  | 41450.8005
AARB | 2001-10-03 00:00:00 | Y76886.4 | NX1 | NG | F | 2003-12-01 00:00:00 | 71300 | 67216.6012 |  |  | 3.275 |  | 54781.5299
[NAME] 1/day of Cal03 Nymex
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-01-01 00:00:00 | -238700 | -232710.9713 |  |  | 3.405 |  | -94713.3653
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-02-01 00:00:00 | -215600 | -209647.526 |  |  | 3.405 |  | -69602.9786
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-03-01 00:00:00 | -238700 | -231548.8071 |  |  | 3.405 |  | -56034.8113
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-04-01 00:00:00 | -231000 | -223454.8728 |  |  | 3.405 |  | -31730.5919
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-05-01 00:00:00 | -238700 | -230255.6912 |  |  | 3.405 |  | -33847.5866
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-06-01 00:00:00 | -231000 | -222160.2497 |  |  | 3.405 |  | -39544.5245
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-07-01 00:00:00 | -238700 | -228874.2535 |  |  | 3.405 |  | -48521.3417
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-08-01 00:00:00 | -238700 | -228133.8012 |  |  | 3.405 |  | -59771.0559
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-09-01 00:00:00 | -231000 | -220037.4101 |  |  | 3.405 |  | -59850.1755
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-10-01 00:00:00 | -238700 | -226617.1453 |  |  | 3.405 |  | -71837.6351
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-11-01 00:00:00 | -231000 | -218535.5453 |  |  | 3.405 |  | -110360.4504
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.1 | NX1 | NG | F | 2003-12-01 00:00:00 | -238700 | -225029.4908 |  |  | 3.405 |  | -154145.2012
[NAME] 1/day of Cal03 Nymex
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-01-01 00:00:00 | -71300 | -69511.0693 |  |  | 3.405 |  | -28291.0052
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-02-01 00:00:00 | -64400 | -62621.9883 |  |  | 3.405 |  | -20790.5001
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-03-01 00:00:00 | -71300 | -69163.9294 |  |  | 3.405 |  | -16737.6709
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-04-01 00:00:00 | -69000 | -66746.2607 |  |  | 3.405 |  | -9477.969
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-05-01 00:00:00 | -71300 | -68777.674 |  |  | 3.405 |  | -10110.3181
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-06-01 00:00:00 | -69000 | -66359.5551 |  |  | 3.405 |  | -11812.0008
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-07-01 00:00:00 | -71300 | -68365.0368 |  |  | 3.405 |  | -14493.3878
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-08-01 00:00:00 | -71300 | -68143.8627 |  |  | 3.405 |  | -17853.692
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-09-01 00:00:00 | -69000 | -65725.4602 |  |  | 3.405 |  | -17877.3252
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-10-01 00:00:00 | -71300 | -67690.8356 |  |  | 3.405 |  | -21457.9949
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-11-01 00:00:00 | -69000 | -65276.8512 |  |  | 3.405 |  | -32964.8098
AARB | 2001-10-16 00:00:00 | YA8761.2 | NX1 | NG | F | 2003-12-01 00:00:00 | -71300 | -67216.6012 |  |  | 3.405 |  | -46043.3718
DKR Sells 1/day of Cal02 Nymex
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-01-01 00:00:00 | 238700 | 237973.3707 |  |  | 3.045 |  | 14278.4022
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-02-01 00:00:00 | 215600 | 214580.7717 |  |  | 3.045 |  | 18239.3656
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-03-01 00:00:00 | 238700 | 237218.4561 |  |  | 3.045 |  | 13521.452
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-04-01 00:00:00 | 231000 | 229185.8212 |  |  | 3.045 |  | 3437.7873
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-05-01 00:00:00 | 238700 | 236440.9548 |  |  | 3.045 |  | 13004.2525
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-06-01 00:00:00 | 231000 | 228432.5383 |  |  | 3.045 |  | 22843.2538
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-07-01 00:00:00 | 238700 | 235651.2576 |  |  | 3.045 |  | 32991.1761
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-08-01 00:00:00 | 238700 | 235208.9708 |  |  | 3.045 |  | 42337.6147
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-09-01 00:00:00 | 231000 | 227185.0358 |  |  | 3.045 |  | 42029.2316
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-10-01 00:00:00 | 238700 | 234296.8315 |  |  | 3.045 |  | 52716.7871
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-11-01 00:00:00 | 231000 | 226242.3785 |  |  | 3.045 |  | 95474.2837
AIGCOMARB | 2001-10-16 00:00:00 | YA8761.3 | NX1 | NG | F | 2002-12-01 00:00:00 | 238700 | 233272.1284 |  |  | 3.045 |  | 145095.2639
DKR Sells 1/day of Cal02 Nymex
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-01-01 00:00:00 | 71300 | 71082.9549 |  |  | 3.045 |  | 4264.9773
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-02-01 00:00:00 | 64400 | 64095.5552 |  |  | 3.045 |  | 5448.1222
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-03-01 00:00:00 | 71300 | 70857.4609 |  |  | 3.045 |  | 4038.8753
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-04-01 00:00:00 | 69000 | 68458.1025 |  |  | 3.045 |  | 1026.8715
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-05-01 00:00:00 | 71300 | 70625.2203 |  |  | 3.045 |  | 3884.3871
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-06-01 00:00:00 | 69000 | 68233.0959 |  |  | 3.045 |  | 6823.3096
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-07-01 00:00:00 | 71300 | 70389.3367 |  |  | 3.045 |  | 9854.5071
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-08-01 00:00:00 | 71300 | 70257.225 |  |  | 3.045 |  | 12646.3005
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-09-01 00:00:00 | 69000 | 67860.4652 |  |  | 3.045 |  | 12554.1861
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-10-01 00:00:00 | 71300 | 69984.7679 |  |  | 3.045 |  | 15746.5728
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-11-01 00:00:00 | 69000 | 67578.8923 |  |  | 3.045 |  | 28518.2925
AARB | 2001-10-16 00:00:00 | YA8761.4 | NX1 | NG | F | 2002-12-01 00:00:00 | 71300 | 69678.6877 |  |  | 3.045 |  | 43340.1438
AIGCOMARB Cal02
AARB Cal02
AIGCOMARB Cal03
AARB Cal03
Total Cal02-Cal03