Spreadsheet: robin_rodrigue__33265__CAN$1100
Sheet: Straddle

Roll Forward Schedule
Book: | Exotics Book | 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 |  |  | 652989 | 358751 | [NAME] | (Oracle  - P&L Top Page) |  |  |  | Long | 0 | 0 | 0 | 0 | 0 | 0
Mid P/L Options |  |  | 0 | 0 | [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;
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 |  |  | 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 |  |  |  | 0 | [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 |  |  |  | 183786 | [NAME] |  |  |  |  | Prior Month
Current Month Swap/Options Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Gross Book Balance |  | 1863146 |  | [NAME]
Current Month NYMEX Futures Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Prudency |  | 0 |  | [NAME]
Current Month NYMEX Option Premiums |  |  |  |  | Cell Ref |  |  |  |  | LTD Liquidations |  | 183786 |  | [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] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4 | W
Basis Curve Shift |  | -12691 | 44476 | 12490 |  |  | 319145 | 317787 | 691505 | -101012 | -65620 |  |  | -163727 | -306594 | -149055 | 1340028 | 925 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5 | R
Index [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6 | F
Gas Daily Curve Shift |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7 | S
FX Curve Shift |  | -3117 | 796 |  |  |  | 959 | -791 | 12310 | 18444 | -15141 |  |  | 4153 | 3210 | 12465 | 1421
[NAME]
New Deals |  |  | -3092 | 0 |  |  |  | 68793 | 15784 |  | -8094 |  |  | -61986 |  | 223212 |  | -79595
Foreign Currency
Gamma
Vega
Theta
Rho |  | -18 | 38 | 24 |  |  | 15 | -15 | 85 | 42 | 8 |  |  | 8 | -57 | 17 | -54 | 76
Drift |  | -68 | -75 | -81 |  |  | -305 | -41 | -13 | 111 | 101 |  |  | 264 | 43 | -91 | -145 | 124
Origination
Liquidations - Book |  |  |  |  |  |  | -4718
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:
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
2000-06-01 00:00:00 | Adj. Drift & Rho-06/00 |  |  | 1333 |  |  |  |  |  |  | 2286001
2000-07-01 00:00:00 | Adj. Drift & Rho-07/00 |  |  | 3795 |  | 2000-11-01 00:00:00 |  |  |  |  | 204553
2000-08-01 00:00:00 | Adj. Drift & Rho-08/00 |  |  | 5376 |  | 2000-11-02 00:00:00 |  |  |  |  | 630325
2000-09-01 00:00:00 | Adj. Drift & Rho-09/00 |  |  | 5554 |  | 2000-11-03 00:00:00 |  |  |  |  | -3289
2000-10-01 00:00:00 | Adj. Drift & Rho-10/00 |  |  | 6427 |  | 2000-11-04 00:00:00
 |  |  |  |  |  | 2000-11-05 00:00:00
 |  |  |  |  |  | 2000-11-06 00:00:00 |  |  |  |  | -321366
 |  |  |  |  |  | 2000-11-07 00:00:00 |  |  |  |  | -303184
 |  |  |  |  |  | 2000-11-08 00:00:00 |  |  |  |  | -724857
 |  |  |  |  |  | 2000-11-09 00:00:00 |  |  |  |  | 56697
 |  |  |  |  |  | 2000-11-10 00:00:00 |  |  |  |  | 119638
 |  |  |  |  |  | 2000-11-11 00:00:00
 |  |  |  |  |  | 2000-11-12 00:00:00
 |  |  |  |  |  | 2000-11-13 00:00:00 |  |  |  |  | 302237
 |  |  |  |  |  | 2000-11-14 00:00:00 |  |  |  |  | 753481
 |  |  |  |  |  | 2000-11-15 00:00:00 |  |  |  |  | 310901
 |  |  |  |  |  | 2000-11-16 00:00:00 |  |  |  |  | -1888728
 |  |  |  |  |  | 2000-11-17 00:00:00 |  |  |  |  | 336023
 |  |  |  |  |  | 2000-11-18 00:00:00
 |  |  |  |  |  | 2000-11-19 00:00:00
 |  |  |  |  |  | 2000-11-20 00:00:00
 |  |  |  |  |  | 2000-11-21 00:00:00
 |  |  |  |  |  | 2000-11-22 00:00:00
 |  |  |  |  |  | 2000-11-23 00:00:00
 |  |  |  |  |  | F/X on new deals
 |  |  | 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
 |  | EV5032 | CIBC |  | 72424
 |  | EZ0320 | Dow |  | -67706
 |  |  |  | Total Prior Period Liquidation Adjustments