Spreadsheet: darron_c_giron__7960__Ftce0500
Sheet: Sheet1

ENRON CAPITAL & TRADE RESOURCES
DAILY POSITION STATEMENT |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Approval:
RISK BOOKS
2000-05-31 00:00:00
 |  | FT-CENTRAL |  | FT-CENTRAL |  | FT-CENTRAL |  | FT-CENTRAL |  | FT-CENTRAL |  | FT-CENTRAL |  | FT-CENTRAL |  | FT-CENTRAL |  | FT-CENTRAL |  | FT-CENTRAL |  | FT-CENTRAL |  | FT-CENTRAL |  | FT-CENTRAL
META ID = 56799 |  | Price - GGP |  | Basis - GGD |  | Gas Daily - GDM |  | Index - IGI |  | L/T Trans |  | Options Price - GOP |  | Options Basis - GOD |  | CAD - B~P |  | Weather |  | Options / Trans GOI |  | Crude - WTI |  | 0 |  | TOTAL
 | Post ID: | 799371 |  | 796032 |  | 796036 |  | 796033 |  | 0 |  | 796041 |  | 796042 |  | 796038 |  | 0 |  | 796043 |  | 0 |  | 0
[NAME])  (Million MMbtu)
2000-05-31 00:00:00
Volatility Factor (d) |  | 1 |  | 0.011 |  | 1 |  | 0.011 |  | 0 |  | 1 |  | 0.011 |  | 0.011 |  | 0 |  | 1 |  | 0 |  | 0 |  | -0.1538656929087981
Net NPV Position |  | -22.2072513107 |  | 256.2104859241001 |  | 20.7070143313 |  | -451.1714490159001 |  | 0 |  | 2.6113614579 |  | -0.3044973675 |  | 18.4511476301 |  | 0 |  | 24.1523133548 |  | 0 |  | 0 |  | -151.5508749959001
Price Equivalent Net NPV Position |  | -22.2072513107 |  | 2.818315345165101 |  | 20.7070143313 |  | -4.962885939174901 |  | 0 |  | 2.6113614579 |  | -0.0033494710425 |  | 0.2029626239311 |  | 0 |  | 24.1523133548 |  | 0 |  | 0 |  | 23.3184803921788
Net NPV Position (MM Bbls)
Net NPV Position (C $)
Gross Purchases Position |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
Gross Sales Position |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
Net Notional Position |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
2000-04-30 00:00:00
Gross Purchases Position |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
Gross Sales Position |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
Net Notional Position |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
2000-04-30 00:00:00 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
[NAME]  (in thousands)
2000-04-30 00:00:00
Gross Book Balance |  | 3112536.1961 |  | 27965315.6055 |  | 1491959 |  | 36670962.82430001 |  | -5701947 |  | -7180620.880500001 |  | 7429122.102899999 |  | 1581962.9046 |  | 0 |  | -75233.4194 |  | 0 |  | 0 |  | 65294057.3335
Prudence |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
Liquidated |  | 97600568.4458 |  | -36758299.25849999 |  | 5903298.564300001 |  | -1198155.9822 |  | 1742893 |  | 599647.3816 |  | 6919678.4408 |  | -551276.4977000001 |  | 0 |  | 680372.5883 |  | 0 |  | 0 |  | 74938726.68240002
LTD Gross Recognized Balance |  | 100713104.6419 |  | -8792983.652999993 |  | 7395257.564300001 |  | 35472806.84210001 |  | -3959054 |  | -6580973.498900001 |  | 14348800.5437 |  | 1030686.4069 |  | 0 |  | 605139.1688999999 |  | 0 |  | 0 |  | 140232784.0159
2000-05-31 00:00:00
Originated Transactions |  | 0 |  | 202273 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 202273
Hedge management
New Deals |  | 1459006.2248 |  | 2358880.407 |  | 31222.83750000001 |  | -209068.8667 |  | 0 |  | 0 |  | 0 |  | 122334.4475 |  | 4995 |  | 0 |  | 0 |  | 0 |  | 3767370.050100001
Change in Price |  | -10736653.8702 |  | 0 |  | 4481352.840600002 |  | 0 |  | 3400779 |  | 1164217.5921 |  | 0 |  | 17308919.9135 |  | 8972 |  | 0 |  | 0 |  | 0 |  | 15627587.476
Change in Basis Price |  | 0 |  | 6933869.304400008 |  | 0 |  | 0 |  | 96488 |  | 0 |  | -2208936.593700001 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 4821420.710700007
Change in Index Price |  | 0 |  | 0 |  | 0 |  | -3078052.815300003 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | -3078052.815300003
Gamma |  | 1398533.8717 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 1398533.8717
Change in Implied Volatility (Vega) |  | 902606.3996000002 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 902606.3996000002
Theta |  | -1032191.179 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | -1032191.179
Change in Time |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
Broker Fees |  | 0 |  | -25768 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | -25768
Total Hedge Management |  | -8008698.553099997 |  | 9266981.711400008 |  | 4512575.678100002 |  | -3287121.682000003 |  | 3497267 |  | 1164217.5921 |  | -2208936.593700001 |  | 17431254.361 |  | 13967 |  | 0 |  | 0 |  | 0 |  | 22381506.5138
Change in Price Prudence |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
Other Changes |  | -229454.0091 |  | -1503.125600000001 |  | -148471.7369 |  | -771.9411000000001 |  | 4 |  | 1608.3744 |  | 348.1165 |  | -16029.61230000004 |  | 0 |  | -0.6542999999999999 |  | 0 |  | 0 |  | -394270.5884000001
MTD Income (Loss) |  | -8238152.562199998 |  | 9467751.585800007 |  | 4364103.941200002 |  | -3287893.623100003 |  | 3497271 |  | 1165825.9665 |  | -2208588.477200001 |  | 17415224.7487 |  | 13967 |  | -0.6542999999999999 |  | 0 |  | 0 |  | 22189508.9254
2000-05-31 00:00:00
Gross Book Balance (including Current Month Rho & Drift) |  | -1051023.583499998 |  | 38709094.0874 |  | -463261.4534000001 |  | 33051823.3702 |  | -2023893 |  | -5911310.8848 |  | 5140862.84 |  | 18941540.6398 |  | 13967 |  | -74229.34520000001 |  | 0 |  | 0 |  | 86333569.67050001
Current Month: Rho |  | -36083.7536 |  | -345512.4435000003 |  | -27.9741 |  | -258946.3866000001 |  | -13657 |  | 61604.76470000001 |  | -64479.2031 |  | -2802.6358 |  | 0 |  | 600.0191000000005 |  | 0 |  | 0 |  | -659304.6129000004
Drift |  | 6047.244499999999 |  | 214268.4784 |  | 687.2573999999998 |  | 237094.1106000001 |  | -48534 |  | -44599.6679 |  | 42832.72700000001 |  | 42651.43580000001 |  | 0 |  | -493.825 |  | 0 |  | 0 |  | 449953.7608000001
Gross Book Balance (excluding Current Month Rho & Drift) |  | -1051023.583499998 |  | 38709094.0874 |  | -463261.4534000001 |  | 33051823.3702 |  | -2023893 |  | -5911310.8848 |  | 5140862.84 |  | 18941540.6398 |  | 13967 |  | -74229.34520000001 |  | 0 |  | 0 |  | 86333569.67050001
Prudence | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Liquidated |  | 93525975.95490001 |  | -38034326.2934 |  | 12222623.281 |  | -866909.7062000001 |  | 1562110 |  | 496163.2848 |  | 6999348.9169 |  | -495629.2977000001 |  | 0 |  | 679367.3942 |  | 0 |  | 0 |  | 76088723.53449999
Gross Recognized Balance | -0.291700005531311 | 92474952.07970001 | 0.1388000063598156 | 674767.9328000136 | -0.3220999967306852 | 11759361.5055 | -0.4449999928474426 | 32184913.21900001 | 0 | -461783 | 0.06759999971836805 | -5415147.532400001 | 0.3095999974757433 | 12140212.0665 | -0.1865000016987324 | 18445911.1556 | 0 | 13967 | 0.4655999998794869 | 605138.5145999999 | 0 | 0 | 0 | 0 | -0.2636999487876892 | 162422292.9413
LTD Through December 31, 1999
Gross Recognized Balance |  | 65967110 |  | -5482577 |  | -2710264 |  | 66830012 |  | 3346949 |  | 487659 |  | -537429 |  | -114775 |  | 0 |  | 681708 |  | 0 |  | 0 |  | 128468393
 | 0.291700005531311 |  | -0.1388000063598156 |  | 0.3220999967306852 |  | 0.4449999928474426 |  | 0 |  | -0.06759999971836805 |  | -0.3095999974757433 |  | 0.1865000016987324 |  | 0 |  | -0.4655999998794869 |  | 0 |  | 0 |  | 0.2636999785900116
2000-05-31 00:00:00
Gross Book Balance |  | -6578044.583499998 |  | 30347681.0874 |  | -355794.4534000001 |  | -37213443.6298 |  | -2023893 |  | -6006136.8848 |  | 5140862.84 |  | 18941540.6398 |  | 13967 |  | -74229.34520000001 |  | 0 |  | 0 |  | 2192509.670500005
Prudence |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
Liquidated |  | 33085886.95490001 |  | -24190336.2934 |  | 14825420.281 |  | 2568345.2938 |  | -1784839 |  | 103330.2848 |  | 7536777.9169 |  | -380854.2977000001 |  | 0 |  | -2340.605800000019 |  | 0 |  | 0 |  | 31761390.53450002
Gross Recognized Balance |  | 26507842.37140001 |  | 6157344.794000007 |  | 14469625.8276 |  | -34645098.336 |  | -3808732 |  | -5902806.600000001 |  | 12677640.7569 |  | 18560686.3421 |  | 13967 |  | -76569.95100000003 |  | 0 |  | 0 |  | 33953900.20500004
Income (Loss) from Today's....
Originated Transactions |  | 0 |  | 196232 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 196232
Hedge management
New Deals |  | 698801.5430000001 |  | 544966.4162999999 |  | 0 |  | -207252.1789 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 1036515.7804
Change in Price |  | -924045.9042999968 |  | 0 |  | -111109.3066999996 |  | 0 |  | 45513 |  | 59669.35060000001 |  | 0 |  | 544531.2408000026 |  | 1727 |  | 0 |  | 0 |  | 0 |  | -383714.6195999938
Change in Basis Price |  | 0 |  | 292980.6865000045 |  | 0 |  | 0 |  | 539687 |  | 0 |  | -64861.20080000022 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 767806.4857000043
Change in Index Price |  | 0 |  | 0 |  | 0 |  | -625207.2643999998 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | -625207.2643999998
Gamma |  | 2.135100000072271 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 2.135100000072271
Change in Implied Volatility (Vega) |  | -8629.85109999997 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | -8629.85109999997
Theta |  | -9202.204299999983 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | -9202.204299999983
Change in Time |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
Broker Fees |  | 0 |  | -6268 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | -6268
Total Hedge Management |  | -243074.2815999966 |  | 831679.1028000044 |  | -111109.3066999996 |  | -832459.4432999997 |  | 585200 |  | 59669.35060000001 |  | -64861.20080000022 |  | 544531.2408000026 |  | 1727 |  | 0 |  | 0 |  | 0 |  | 771302.4618000109
Change in Price Prudence |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0
Other Changes |  | 598.9864999999991 |  | 71.2654 |  | 1847.281099999993 |  | -303.8292 |  | 0 |  | 267.9445000000001 |  | -10.54880000000003 |  | 101693.1747 |  | 0 |  | 0.07920000000000005 |  | 0 |  | 0 |  | 104164.3534
Total Income (Loss) | -8.032657206058502e-09 | -242475.2950999886 | 0 | 1027982.368200004 | -2.12457962334156e-09 | -109262.0255999975 | -2.561137080192566e-09 | -832763.2724999972 | 0 | 585200 | 2.473825588822365e-10 | 59937.29509999976 | 4.583853296935558e-10 | -64871.74960000068 | -1.280568540096283e-09 | 646224.4155000038 | 0 | 1727 | 7.99075250412784e-11 | 0.07919999992009252 | 0 | 0 | 0 | 0 | 0 | 1071698.815200011