Spreadsheet: darron_c_giron__7961__Ftoc0500
Sheet: Index

Roll Forward Schedule
Book: |  | Index
Accounting Month:
Date:
Current Day Post ID: |  |  |  |  |  |  |  |  |  | NOTIONAL VOLUMES |  |  |  |  |  |  |  | CALCULATED LONG/SHORT |  |  | Permanent Volume Adjustment
 |  |  | Prior | Today |  |  |  |  |  |  | C-1 |  |  |  |  |  | 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 |  |  |  |  | [NAME] | (Oracle  - P&L Top Page) |  |  |  | Long |  | 0 | 0 | 0 | 0 | 0
Mid P/L Options |  |  |  |  | [NAME] | (Oracle  - P&L Top Page) |  |  |  | Short |  | 0 | 0 | 0 | 0 | 0 |  |  |  |  | An assumption was made the Lotus volumes (which were higher)  were more accurate;
NYMEX Options MTM Value |  |  |  | 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 | [NAME] | (Oracle - NYMEX Accounting Summary Schedule) |  |  |  | Futures | 0 | 0 | 0 | 0 | 0 | 0
Foreign Currency |  |  |  | 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 | 1 | 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 | 457270000 | 0 | 0 | 0 | 0 | 0
 |  |  |  |  |  |  |  |  |  | Short | -417340000 | 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 |  |  |  |  | Cell Ref
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 |  |  |  | 129288.6089 | [NAME] |  |  |  |  | Prior Month
Current Month Swap/Options Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Gross Book Balance |  | 474178.9622 |  | [NAME]
Current Month NYMEX Futures Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Prudency |  | 0 |  | [NAME]
Current Month NYMEX Option Premiums |  |  |  |  | Cell Ref |  |  |  |  | LTD Liquidations |  | 129288.6089 |  | [NAME]
Current Month Broker Fees |  |  |  |  | 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] |  |  |  |  |  |  | 0 | 0 |  |  |  |  |  | 0 | 0 |  |  |  |  |  | 0 | 0 |  |  |  |  |  | 0 | 0 | 0 |  |  |  | 4 | W
Basis Curve Shift |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0 |  |  | 5 | R
Index [NAME] |  | 0 | 0 | 0 | 0 | 0 |  |  | 3764 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 374 | 0 |  |  |  | 0 |  |  | 6 | F
Gas Daily Curve Shift |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7 | S
FX Curve Shift |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
[NAME]
New Deals |  | 0 | 0.1028 | -0.0985 | -0.0003 | -0.2468 |  |  | -0.2293 | 0 | -373.5066 | 0.3601 | 0 |  |  | -0.0023 | 0.0721 | -0.4816 | 8358.2 | -0.5283 |  |  | 0.015 | -0.5791 | 0.3544 | 0.1918 | -0.0325 |  |  |  | 0.0611 |  |  | LIQUIDATIONS
Change in Existing Deals |  | 0.09070000000065193 | 0.000699999975040555 | 0 | 0.0001000000047497451 | 0.0001000000047497451 |  |  | 0 | 0.3013999999966472 | 0 | 0 | 0.0009999999892897904 |  |  | 0.0003000000142492354 | 0 | 0.0002000000094994903 | 0 | 0 |  |  | 0 | 0 | 0.1797999999835156 | -0.001699999964330345 | 0 |  |  |  | 0
Foreign Currency-FX Book |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | date | amount | risk book | month | Item #
Gamma |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
Vega |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
Theta |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
Rho |  | -266.2429 | -628.4649 | -1807.407 | -1108.6836 | -1389.7928 |  |  | -614.358 | 651.3797 | 719.114 | -48.9263 | -1378.4601 |  |  | 48.3885 | 497.4708 | -523.6652 | -855.1065 | 1004.1934 |  |  | 885.9167 | -186.6412 | -133.0696 | 1104.654 | 554.8427 |  |  |  | -1248.5595
Drift |  | 278.3043 | 92.0915 | 92.3764 | 93.1791 | 93.7175 |  |  | 283.2978 | 95.4657 | 95.1799 | 94.8309 | 94.8156 |  |  | 286.7939 | 95.6887 | 95.639 | 95.9257 | 97.9985 |  |  | 292.5443 | 97.089 | 97.2735 | 97.3853 | 96.9636 |  |  |  | 387.2325
Origination |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
Liquidations - Book |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
2nd Order |  | 0.4558 | 0.3737 | 0.6939 | 0.5163 | 0.4302 |  |  | 2.3286 | -0.3089 | 0.1888 | 0.3269 | 0.7474 |  |  | 0.1569 | 0.0061 | -0.2119 | 0.5366 | -0.0533 |  |  | -1.3789 | 0.5837 | 0.4514 | 0.2057 | -0.2392 |  |  |  | 2.856
Prudency
FX Rho
FX Drift
Prepaid Amortization
Broker Fees (s/b negative) |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
Spot Liquidations
Book/Act Recon Liquid
Other (See schedule E)
"Other" Note reference | Sched E Ref:
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | BROKER FEES
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Total broker fee adjustments
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
 |  |  | 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
 |  |  |  | Total Prior Period Liquidation Adjustments