Spreadsheet: rick_buy__32667__DPR121200_final
Sheet: CORP DPR Summary

PRIVILEGED AND CONFIDENTIAL |  |  |  |  |  |  |  |  | INTERNAL DISTRIBUTION ONLY |  |  |  |  |  | DAILY POSITION REPORT
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | REPORT DATE:
 |  |  |  |  |  | POSITIONS |  |  | PRICE/MATURITY RISK |  |  | VALUE-at-RISK |  |  | Change in Value (in 000)
 |  |  |  |  |  | NET OPEN | LIMIT |  | SENSITIVITY | LIMIT |  | 1-DAY | LIMIT |  | TODAY | 5 Day Rolling | MTD | QTD | YTD
ENRON ENERGY SERVICES
COMMODITY |  |  |  |  |  |  |  |  |  |  |  | -6042 | -7000 |  | -26473.4041499 | -117765.3464065284 | -136402.5700108532 | -105926.0692652593 | 21699.36699114196
 | GAS |  |  |  |  | -4.254835 | N/A |  | 4.754755 | N/A | #REF! | -1266 | N/A |  | 1389.0290001 | -8110.149999899999 | -5988.013999100001 | 5489.3800009 | 15229.16693639945
 |  | SUPPLY |  |  |  |  |  |  |  |  |  |  |  |  | 907.292 | -8703.175 | -6679.218 | 2586.487 | 10951.27394549955
 |  |  |  | INTRA-MONTH |  |  |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 2307.111 | 1405.183
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1e-07 | 1e-07 | 9e-07 | 9e-07 | 9e-07
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 0 | 0
 |  | STORAGE |  |  |  |  |  |  |  |  |  |  |  |  | 481.737 | 593.025 | 691.204 | 2902.893 | 4277.8929899999
 |  | REAL PROJECT OPTIONS
 | POWER |  |  |  |  |  |  |  |  |  |  | -6310 | N/A |  | -27862.43315 | -109655.1964066284 | -130414.5560117532 | -148384.5282661593 | -50337.90794525749
 |  | SUPPLY-WEST |  |  |  | 1.22391670890084 | N/A |  | 1.20222176131005 | N/A |  | -4835 | N/A |  | -11504.9803 | -89658.45270128125 | -103892.4130894061 | -117533.8371271978 | -40196.14203506456
 |  | SUPPLY-EAST |  |  |  | 2.789249625327 | N/A |  | -1.12076292757945 | N/A |  | -3909 | N/A |  | -16357.45285 | -19996.74370534713 | -26522.14292234713 | -30850.6911389615 | -6775.765910192931
 |  | REAL PROJECT OPTIONS |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 0 | -3366
 |  | INTRA MONTH |  |  |  |  |  |  |  |  |  |  |  |  | 0 | -560.5517451572265 | -13338.27713328204 | -14608.56286313364 | -6983.194157213138
 |  | OWENS ILLINOIS |  |  |  | 0 | N/A |  |  |  |  |  |  |  | 0 | 0 | 0 | 0 | 0
 | TARIFF MANAGEMENT |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 36969.079 | 56808.10799999999
 |  | GAS |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 0 | 0
 |  |  | TRANSPORT AND [NAME] ($1/MMBTU)
 |  |  | FUEL % (+1%)
 |  | POWER |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 36969.079 | 56880.45299999999
 |  |  | [NAME] AND [NAME] ($1 MWH) |  |  | -52.966 |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 0 | 0
 |  |  | TRANSITION CTC (1M LATER) |  |  |  |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 36969.079 | 48713.45299999999
 |  |  | REGULATORY SWITCH OPTIONS |  |  |  |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 0 | 8167
 |  | RETAIL GENERATION SERVICES |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 0 | -72.345
INTEREST RATE |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 420.2350045699159 | 901.3311589245153 | 1606.158366213666 | 7543.029899651272 | 12931.28638237851
 |  | RHO (1% CHG) |  |  |  |  |  |  | 313.3820736011487 |  |  |  |  |  | 310.860591202957 | 125.7690332314246 | 260.3125348227576 | 17.0722745231085 | -4689.272750683728
 |  | DRIFT (1-DAY CHG) |  |  |  |  |  | 1 | 117 |  |  |  |  |  | 109.3744133669589 | 775.5621256930907 | 1345.845831390908 | 7525.957625128163 | 17620.55913306224
ORIGINATION |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 114.116 | 7998.794999999999 | 5831.088217 | 27637.333217 | 174312.4581664487
 | SALES |  |  |  |  |  |  |  |  |  |  |  |  |  | 50.316 | 3718.273 | 1420.244217 | 10154.692827 | 35518.24977601238
 |  |  |  | GAS MID-MKT SALES ORIG. |  |  |  |  |  |  |  |  |  |  | 50.316 | 242.729 | 311.808 | 3497.83761 | 13022.0370400001
 |  |  |  | TEM/OUTSOURCE ORIG. (K to O) |  |  |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 3497.483 | -130.004
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0 | 0 | 6.76 | 6.76
 | ACCOUNT MGMT [NAME]
 | CONTRACT RISK MANAGEMENT
 | GAS HEDGE MGMT |  |  |  |  |  |  |  |  |  |  |  |  |  | 63.8 | 171.146 | 301.468 | 2056.99139 | 9939.44039
 | POWER HEDGE MGMT |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 4109.376 | 4109.376 | 15418.889 | 128848.0080004363
 | TARIFFS
PRUDENCY/NET OPEN IN 000's $ |  |  |  |  |  | -10448.8158992732 |  |  |  |  |  |  |  |  | 1.9359999 | 3149.4339999 | 3167.7069991 | 2132.1509991 | -9082.90617682305
 | GAS PORTFOLIO |  |  |  |  | -1598 |  |  |  |  |  |  |  |  | 1.9359999 | -7.3160001 | 10.9569991 | 25.6379991 | -845.9359962998481
 | POWER PORTFOLIO |  |  |  |  | -910.97775 |  |  |  |  |  |  |  |  | 0 | 4321.202 | 4321.202 | 4448.592 | -910.97775
 | TARIFF PORTFOLIO
 | CONSUMPTION PREMIUM |  |  |  |  | -7939.838149273201 |  |  |  |  |  |  |  |  | 0 | -1164.452 | -1164.452 | -2342.079 | -7325.992430523202
CREDIT RESERVE/NET OPEN IN 000's $ |  |  |  |  |  | -32416.36328286236 |  |  |  |  |  |  |  |  | 0 | -11834.073 | -11834.073 | -15576.04 | -29662.67528286236
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | -6839.423 | -6839.423 | -6839.423 | -6839.423
 |  |  |  | TOTAL |  |  |  |  |  |  |  |  |  |  | -25937.11714543008 | -117549.8592477039 | -137631.6894285395 | -84189.59514950801 | 170197.5300802838
 | Note: Today's change in value is a result of the following:
 | Note: Today's change in value is a result of the following:
 | 1.) Nymex Gas Curve decreased resulting in a $1,000K gain
 | 2.) CA South peak decreased Q2 2001 and CAL 2003 - 2012, resulting in a $5,241k loss.
 | 3.) Palo Verde peak decreased CAL 2001 and decreased Q2 - Q4 2002 - 2012, resulting in a $5,002k loss.
 | 4.) Cinergy peak decreased CAL 2001 - 2012, resulting in a $4,949k loss.
 | 5.) Entergy peak decreased CAL 2001 - 2011, resulting in a $4,931k loss.
 | 6.) NY Zone G peak decreased CAL 2001 - 2011, resulting in a $8,862k gain.
 | 7.) NY Zone J peak decreased CAL 2001 - 2010, resulting in a $4,240k loss.
 | 8.) West Hub peak decreased CAL 2001 - 2011, resulting in a $9,604k loss.