Spreadsheet: darron_c_giron__7961__Ftoc0500
Sheet: Price

 |  |  |  |  |  | 98 Year End Bal:
Roll Forward Schedule
Book: | FT - ONT - CEN | Price
Accounting Month: | 2000-05-01 00:00:00
Date:
Current Day Post ID: |  |  |  |  |  |  |  |  |  | NOTIONAL VOLUMES |  |  |  |  |  |  |  | CALCULATED LONG/SHORT |  |  | Permanent Volume Adjustment
 |  |  |  |  |  |  |  |  |  |  | Price Position | Basis Position | Currency Position |  |  |  | TOTAL | Long | Short |  | When system was changed over from Lotus to Oracle, a discrepancy
[NAME] MTM Gain (Losses) |  |  | Prior | Today |  | 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 |  |  |  |  | [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 |  |  |  |  | [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 | 705960000 | 0 | 0 | 0 | 0 | 0
 |  |  |  |  |  |  |  |  |  | Short | -719590000 | 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 |  |  |  | 2033395.432600001 | [NAME] |  |  |  |  | Prior Month
Current Month Swap/Options Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Gross Book Balance |  | -2064617.2693 |  | [NAME]
Current Month NYMEX Futures Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Prudency |  | 0 |  | [NAME]
Current Month NYMEX Option Premiums |  |  |  |  | Cell Ref |  |  |  |  | LTD Liquidations |  | 2033395.432600001 |  | [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 |  |  |  |  |  | Sch C Adjust |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | SCH C Adjust |  |  |  |  |  |  |  |  | 3 | T
Price [NAME] |  | -210899.5816 | -1725 | 175960 | 22436 | 149895 | 0 | 0 | -264401 | -15989 | -172160 | -9446 | 17750 | 0 | 0 | 4342 | -9093 | -7888.438099999999 | -9621.055499999999 | 113739.686 | 0 | 0 | -146359.7902 | 105734.8656 | 551399.6222 | 213282.2538 | 156834 | 0 | 0 | 0 | -116604.5802 |  |  | 4 | W
Basis Curve Shift |  | -179560 | 114425 | -48127 | 49783 | -54604 |  |  | 8895 | -62133 | 17036 | -4903 | 14065 |  |  | 14067 | 60678 | 151208 | 130475 | 101577 |  |  | -8286 | 7467 | -135329 | 364014 | -211492 |  |  |  | -73330 |  |  | 5 | R
Index [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6 | F
Gas Daily Curve Shift |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7 | S
FX Curve Shift |  | 12 | -296 | -368 | -66 | 233 |  |  | -19 | 34 | -105 | 232 | 41 |  |  | -26 | 67 | -531 | -104 | -8128 |  |  | 3642 | 20497 | 7949 | -12278 | -2185 |  |  |  | 2523
[NAME]
New Deals |  | -9806.897400000002 | -16767.4018 | -25848.8899 | -23492.1054 | -28100.7756 |  |  | 32616.0771 | -4780.6672 | 7050.8936 | -5404.4136 | 0 |  |  | 9484.9431 | 4050.6978 | 45700.3033 | 59703.2875 | 19770.3553 |  |  | -12841.479 | -44355.0139 | -210540.9531 | -98088.7418 | 196656.2542 |  |  |  | -80092.65779999999 |  |  | LIQUIDATIONS
Change in Existing Deals |  | 0 | -47397.24800000014 | 45854.77870000014 | -9.999983012676239e-05 | -0.0002000001259148121 |  |  | 0 | -14818.33419999992 | 0 | 2942.36969999969 | -1804.81930000009 |  |  | -0.0002000001259148121 | 0 | -0.0002000001259148121 | 0 | 0 |  |  | -0.0001000002957880497 | 0 | -5391.167000000365 | -73126.24490000028 | 0 |  |  |  | -26403.15739999991
Foreign Currency-FX Book |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0 |  |  | date | amount | risk book | month | Item #
Gamma |  | 6352.0414 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 88044.6326 | 776.1826 | 23398.851 |  |  | 9067.4767 | 8229.9091 | 116749.5184 | 659.414 | 0 |  |  |  | 2910.5316
Vega |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 23961.2428 | 10708.661 | -4944.5131 |  |  | 83978.9192 | -18381.5534 | 0 | -75.9351 | 0 |  |  |  | 7288.3017
Theta |  | -12127.8058 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | -10203.7676 | -17621.784 | -19414.1397 |  |  | -51388.9017 | -40616.6867 | -31198.0902 | 344.8287 | 0 |  |  |  | -27297.7443
Rho |  | 92.58670000000001 | -175.2832 | -602.9059 | -1173.7845 | -521.5867 |  |  | -62.8349 | 11.3914 | 914.941 | -252.3303 | 1239.6475 |  |  | 719.9598 | 4028.3225 | 1699.3724 | -1007.8011 | -1430.9728 |  |  | -389.8631999999999 | 1053.5531 | 326.8897 | 340.757 | 588.789 |  |  |  | 2466.0187
Drift |  | -1454.6344 | -751.0672 | -1337.5596 | -1330.8971 | -1325.6147 |  |  | -3971.2296 | -1367.428 | -1379.3408 | -1403.5926 | -1409.3037 |  |  | -4256.2631 | -1442.8406 | -1426.3381 | -1372.6551 | -1340.7049 |  |  | -3864.0565 | -1311.2644 | -1307.7102 | -1482.0523 | -1464.0788 |  |  |  | -5536.1705
Origination |  | 0 | 0 | 0 | 0 | 0 |  |  | 3606 | 0 | 0 | 0 | 0 |  |  | 1804 | 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 |  | 1230.1585 | -31.2016 | -211.1555 | -12.7363 | 20.1378 |  |  | -148.7938 | -13.862 | -33.368 | 1.154 | -16.2475 |  |  | -5.2919 | -24.3612 | 16432.1009 | -634.7496 | 3153.5356 |  |  | -33657.8748 | 12700.602 | -15670.3585 | -187.8319 | -10.7178 |  |  |  | -432.5358
Prudency |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
FX Rho |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
FX Drift |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 | 0 |  |  |  | 0
Prepaid Amortization
Broker Fees (s/b negative) |  | 0 | 0 | 0 | 0 | -873.75 |  |  | -765 | 0 | 0 | -1321.25 | 0 |  |  | 0 | 0 | 0 | -689 | 0 |  |  | -912 | -1205 | -226 | -530 | -292 |  |  |  | -78
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
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | date | amount | risk book | month | Item #
EXCHANGE  (hidden) | 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