Spreadsheet: kam_keiser__17896__Report_113001 DPR
Sheet: Report

DAILY POSITION REPORT
RISK BOOKS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | INTEREST RATE PORTFOLIO
2001-11-30 00:00:00
LAST UPDATED:
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | UPDATE ONLY ONCE A DAY!!!!!!!!!
 |  |  |  |  |  | Aug |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Current Month File Folder Name
 |  |  |  |  |  | Jul |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Old Month File Folder Name (to reference the old file during a link change)
 |  |  |  |  |  | 2001-07-15 00:00:00 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Pick any date from prior month (to reference the old file during a link change)
 |  |  |  |  |  |  |  | Current date |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Current Date
 |  |  |  |  |  |  |  | Prior Date |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Prior Date
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Current Month
 |  | PRICE BOOKS
 |  |  |  | Canadian |  |  |  | Gas |  | CCT |  | CCT |  | ST Gas |  | ST Gas |  | ST Gas |  | ST Gas |  | ST Gas |  |  |  |  |  | Enron |  |  |  |  |  |  |  |  |  | TOTAL |  | Crude |  |  |  |  |  | Refined |  |  |  |  |  |  |  | Oil |  | Interest |  | Foreign |  |  |  |  |  |  |  |  |  | TOTAL |  | Forest Products |  |  |  |  |  |  |  |  |  | TOTAL |  |  |  |  |  | Interest Rate | Rho & | Interest Rate
 |  | Gas |  | Gas |  | EFP |  | Daily |  | Crude |  | Coal |  | Central-1 |  | Central-2 |  | Texas |  | West |  | East |  | Transport |  | Gas Assets |  | Power |  |  |  |  |  |  |  |  |  | ENA |  | Oil |  | Resid |  | NGL |  | Products |  | Coal |  | Emissions |  | Weather |  | Basis |  | Rates |  | Currency |  | Plastics |  | Agri Trading |  |  |  |  |  | EGM |  | (Paper/Lumber) |  | Metals |  |  |  |  |  |  |  | EIM |  | TOTAL |  |  |  | Hedges | Drift | Portfolio
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | [NAME])  (Million MMbtu)
[NAME]  (in thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | [NAME]  (in thousands)
LTD Through October 31, 2001 |  | 0 |  | 0 |  | -9.4879021 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  |  |  |  | -9.48790210000152 |  | 0 |  | 0 |  | 0 |  | -4.999999998833715e-05 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  | -4.999999998833715e-05 |  | 0 |  | 0 |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  | 0 | 0
Gross Book Balance |  | 876473.1661673703 |  | 567336.0763725251 |  | 253754.3469014 |  | -9794.040752100002 |  | 18039.5948225 |  | -676.94 |  | -491662.8289334 |  | 5049.292550799999 |  | 10082.4313482 |  | -356297.2301657 |  | 22689.6868991 |  | 7763.3510983 |  | 19344.0478069 |  | 965754.7273637017 |  |  |  |  |  |  |  |  |  | 1887855.681479597 |  | 891.5104202836435 |  | -58673.15308158865 |  | 303221.8766975 |  | 54859.98304398516 |  | 170872.9784644049 |  | -37735.43240645412 |  | 75702.34985437006 |  | 99159.89880181673 |  | 164285.9093547017 |  | -6128.88974842371 |  | 21798.9984929747 |  | 0 |  |  |  |  |  | 788256.0298935703 |  | 96737.0797586 |  | 146985.2179278001 |  |  |  |  |  |  |  | 243722.2976864001 |  | 2919834.009059567 |  | Gross Book Balance |  | -20957.35189960751 | 185243.2612543092 | 164285.9093547017
Prudence |  | 0 |  | -593.8891288621123 |  | 0.001 |  | 0.003 |  | 0 |  | 0 |  | 0 |  | 0.002 |  | 0 |  | 0 |  | -0.008 |  | 0 |  | 0 |  | 32639.99446 |  |  |  |  |  |  |  |  |  | 32046.10333113789 |  | 0 |  | -0.0008641659999993862 |  | -446.825751320974 |  | 0.3403399999999768 |  | 0 |  | 0 |  | 0 |  | -127.611 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  | -574.097275486974 |  | 0 |  | 0 |  |  |  |  |  |  |  | 0 |  | 31472.00605565092 |  | Prudence |  | 0 | 0 | 0
Liquidated |  | 980399.2060255001 |  | -416871.7624160619 |  | 508496.0870185 |  | 173660.6018884 |  | -13298.3005522 |  | 170.8107745 |  | 797666.8612051 |  | 132161.4554129 |  | 44393.9284974 |  | 1209341.1839591 |  | 88615.2567084 |  | 6597.793820800001 |  | 176509.1424023001 |  | 1886427.837977917 |  |  |  |  |  |  |  |  |  | 5574270.102722555 |  | 238462.2080014305 |  | -41317.78990645379 |  | 208811.8414683793 |  | 18158.04325477127 |  | 12361.54946288451 |  | 43247.62479361144 |  | -5771.229 |  | -99061.0107239001 |  | 674800.6620364182 |  | 16355.82262481805 |  | 84.53621179999828 |  | -262.26269 |  |  |  |  |  | 1065869.995533759 |  | 5146.149352500003 |  | -73225.7489362 |  |  |  |  |  |  |  | -68079.59958370001 |  | 6572060.498672615 |  | Liquidated |  | 517298.9202888739 | 157501.7417475443 | 674800.6620364182
Gross Recognized Balance |  | 1857723.0413979 | 0 | 1393749.93689653 |  | 1287080.8334184 |  | 522251.6467076052 |  | 4741.2938017 |  | -505.8414783999999 |  | 306004.0319181 |  | 136996.3321771 |  | 54476.35674259999 |  | 853614.8153477 |  | 111304.9362074 |  | 14361.1453599 |  | 195853.1903232 |  | 2853914.576057693 |  |  |  |  |  |  |  |  |  | 9591566.294877429 |  | 239353.7246950943 |  | -99990.94453722489 |  | 506583.832206851 |  | 73018.25190579776 |  | 183277.9242288545 |  | 5512.204033620321 |  | 69931.122 |  | -0.3698038547399847 |  | 846271.945960867 |  | 10233.07333069155 |  | 21883.53447840933 |  | -261.426 |  |  |  |  |  | 1855812.872499106 |  | 101887.8510285 |  | 73759.4689919 |  |  |  |  |  |  |  | 175647.3200204 |  | 11623026.48739694 |  | Gross Recognized Balance |  | 503258.6708560972 | 343013.2751047697 | 846271.945960867
MTD Through November 30, 2001
Originated transactions |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Originated transactions |  |  | 0
Hedge management |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Hedge management
New Deals
Change in Price |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Change in Price
Change in Basis Price |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Change in Basis Price |  |  | 0
Change in Index Price |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Change in Index Price |  |  | 0
Gamma |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Gamma |  |  | 0
Change in Implied Volatility |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Change in Implied Volatility |  |  | 0
Theta |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Theta |  |  | 0
Options Variance |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Change in Time
Broker Fees |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Broker Fees |  |  | 0
Total Hedge Management |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Total Hedge Management
Change in Price prudence |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Change in Price prudence |  |  | 0
Other Changes |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Other Changes
MTD Income (Loss) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | MTD Income (Loss)
 |  |  |  |  |  | -2416.759 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -1587.9813176 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1 |  | 1 |  | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1 |  | 1
LTD Through November 30, 2001
Gross Book Balance |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Gross Book Balance
Prudence |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Prudence |  |  | 0
Liquidated |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -262.26269 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Liquidated
Gross Recognized Balance |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -261.426 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Gross Recognized Balance
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | LTD Through December 31, 1998
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Gross Recognized Balance |  | 73210.04067695505 | 423746.8810972234 | 496956.921774179
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | YTD Through  June 30, 1999
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Gross Book Balance
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Prudence
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Liquidated
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Gross Recognized Balance