Spreadsheet: sara_shackleton__36501__ENE MTM 0630 revised 2
Sheet: VaR

Total VaR |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Total Notional
All Positions VAR
Valuation Date |  |  |  | Total Delta | Total Gamma |  | Notional (defined as Delta times Price) |  |  | 60% of Shares
Risk free rate | 0.0594
Number of Trading days/yr | 365.25 |  | All
Position | [NAME] | Effective Date | Termination Date | Settlement | Current Price | Dividend Yield | Instrument type [Call=1; Put=0; Frwd=Frwd] | Option Style | Number of Instruments (Long=1, Short=-1, DoNotConsider=0) | Post Split Share/Option | Post [NAME] or Forward Price | Volatility | Option Delta | Option Gamma | VaR |  | Notional
Shares held JEDI | ENE |  |  |  |  | 0.0138 | Spot | NA | 1 | 12012804 | 71 | 0.39 | 1 | 0 |  | 1
Forward | SBC Warburg | 2000-02-08 00:00:00 | 2000-06-13 00:00:00 | Physical |  |  | Frwd | NA | 0 | 1220650 | 41.0449 |  |  | 0 |  | 0
Forward | UBS | 1996-04-12 00:00:00 | 2001-04-12 00:00:00 | 2,888,249 came available for early settlement on 7/12/99 |  |  | Frwd | NA | 0 |  |  | 0.39 |  | 0 |  | 0
Call | ENE | 1999-03-25 00:00:00 | 2007-12-09 00:00:00 | Physical |  |  | 1 | European | 0 |  |  | 0.39 |  |  |  | 0
[NAME] |  | 2000-01-21 00:00:00 | 2000-09-11 00:00:00 |  |  |  | Spot | NA | -1 |  | 71 | 0.39 | 1 | 0 |  | 1
DWR Swap - 1304771 |  |  |  |  |  | 0.0138 | Spot | NA | 1 | 0 | 0 |  | 1 | 0 |  | 1
BEST Swap 5/24/00 |  |  |  |  |  | 0.0138 | Spot | NA | 1 | 0 |  |  | 1 | 0 |  | 1
CSFB Swap 4/5/00 |  |  |  |  |  | 0.0138 | Spot | NA | 1 | 0 | 0 |  | 1 | 0 |  | 1
CSFB Swap 4/6/00 |  |  |  |  |  | 0.0138 | Spot | NA | 1 | 0 | 0 |  | 1 | 0 |  | 1
FBCO |  | 2000-04-17 00:00:00 | 2001-04-16 00:00:00 |  |  | 0.0138 | Spot | NA | 1 | 0 | 0 |  | 1 | 0 |  | 1
CSFB Swap 6/27/00 |  | 2000-06-27 00:00:00 | 2001-06-29 00:00:00 |  |  | 0.0138 | Spot | NA | 1 |  |  |  | 1 | 0 |  | 1
DWR Swap  6/28/00 |  | 2000-06-28 00:00:00 |  |  |  | 0.0138 | Spot | NA | 1 |  |  |  | 1 | 0 |  | 1
DWR Swap 6/29/00 |  | 2000-06-29 00:00:00 |  |  |  | 0.0138 | Spot | NA | 1 |  |  |  | 1 | 0 |  | 1
 |  |  |  |  |  | 0.0138 | Spot | NA | 1 |  |  | 0.39 | 1 | 0
 |  | 2000-06-30 00:00:00 |  |  |  | 0.0138 | Spot | NA | 1 |  |  |  | 1 | 0 |  | 1
1.645 = 95% confidence interval |  |  |  |  | ENE Equity HP | ENE Equity DVD |  |  |  |  | weighted avg | ENE Equity HVT
 |  |  |  | Current Price
Total VaR |  | SBC Warburg and UBS Forwards were excluded due to separate board approval limits. |  |  |  |  |  |  |  |  |  |  |  |  |  | Total Notional
All Positions VAR
Valuation Date |  |  |  | Total Delta | Total Gamma |  | Notional (defined as Delta times Price) |  |  | NPI %
Risk free rate | 0.0594
Number of Trading days/yr | 365.25 |  | All
Position | [NAME] | Effective Date | Termination Date | Settlement | Current Price | Dividend Yield | Instrument type [Call=1; Put=0; Frwd=Frwd] | Option Style | Number of Instruments (Long=1, Short=-1, DoNotConsider=0) | Post Split Share/Option | Post [NAME] or Forward Price | Volatility | Option Delta | Option Gamma | VaR |  | Notional
Shares held |  |  |  |  |  | 0.0138 | Spot | NA | 1 | 3986222 |  | 0.39 | 1 | 0 |  | 1
Forward | SBC Warburg | 1997-12-11 00:00:00 | 1999-12-13 00:00:00 | Physical |  |  | Frwd | NA | 0 |  |  |  |  | 0 |  | 0
Forward | UBS | 1996-04-12 00:00:00 | 2001-04-12 00:00:00 | 2,888,249 came available for early settlement on 7/12/99 |  |  | Frwd | NA | 0 |  |  |  |  | 0 |  | 0
Call | ENE | 1999-03-25 00:00:00 | 2007-12-09 00:00:00 | Physical |  |  | 1 | European | 0 |  |  |  |  |  |  | 0
Put | ENE | 2000-01-11 00:00:00 | 2000-09-11 00:00:00 | Physical |  |  | 0 | American | 1 |  | 47.625 |  |  |  |  | 0
1.645 = 95% confidence interval |  |  |  |  | ENE Equity HP | ENE Equity DVD |  |  |  |  | weighted avg | ENE Equity HVT