Spreadsheet: john_lavorato__16493__Lavo reports
Sheet: DPR

ENRON CAPITAL AND TRADE RESOURCES
DAILY POSITION STATEMENT |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Approval:
RISK BOOKS
 |  | Cdn Gas (C4) - Alberta |  |  |  | Subtotal Alberta |  |  |  |  |  | Subtotal BC |  | Cdn Gas (C4) -  Pipe Book |  | Pipe Book Index |  | Subtotal Pipe Book |  | Options C$ denominated |  |  |  |  |  | Subtotal Options |  | TOTAL |  |  |  |  |  |  |  |  | TOTAL
 |  |  |  |  |  |  |  |  |  |  |  |  |  | Canadian $ |  | Canadian $ |  |  |  |  |  |  |  |  |  |  |  | CANADIAN GAS
 | Post ID:
[NAME])  (Million MMbtu)
Volatility Factor (d)
Net NPV Position - Price
Net NPV Position - Basis
Net NPV Position - Foreign Currency (000s US$)
Net NPV Position - Index
Price Equivalent Net NPV Position
Gross Purchases Position
Gross Sales Position
Net Notional Position
Gross Purchases Position
Gross Sales Position
Net Notional Position
[NAME]  (in thousands)
LTD Through Prior Month
Gross Book Balance
Prudence
Liquidated
LTD Income
Originated Transactions / CREDIT RESERVE |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Comprised of:
Hedge management |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Credit Reserve: (BR)
Change in New Deals
Change in Price
Change in Basis Price
Change in Index Price
Change in Foreign Currency
Gamma
Change in Implied Volatility (Vega)
Theta
Change in Time |  | 0 |  | 0 |  |  |  | 0 |  | 0 |  |  |  | 0 |  | 0 |  |  |  | 0 |  | 0 |  | 0 |  |  |  |  |  | 0
Broker Fees
Total Hedge Management
Change in Price Prudence
Other Changes
MTD Income (Loss) - Canadian Dollars
MTD Income (Loss) - Canadian Dollars net of origination and credit reserves
Translation Shift in US Dollars
Income (Loss) With Trans. Shift in US Dollars
Gross Book Balance (including Current Month Rho & Drift)
Current Month: Rho
Drift
Gross Book Balance (excluding Current Month Rho & Drift)
Prudence
Liquidated
LTD Income
LTD Through December 31, 1999
LTD Income |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 168774714 |  |  |  |  |  |  |  |  |  |  |  |  |  | MAKE UP OF THE USD AND C$ YTD NUMBERS
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | USD$ | C$ | fx
Gross Book Balance |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Prior Year LTD |  |  | -165996029 | -252933300
Prudence |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | USE19 |  | MTM at MTD rate
Liquidated |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | USB58 |  | Rho at MTD rate
YTD Income - Canadian Dollars |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | USB64 |  | Rho at MTD rate
Gross Recognized Balance with Trans Shift in USD
Translation Shift in US Dollars
YTD Income (USD) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | USB59 |  | Drift at MTD rate
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | USB65 |  | Drift at MTD rate
Income (Loss) from Today's....
Originated Transactions
Hedge management
Change in New Deals
Change in Price
Change in Basis Price
Change in Index Price
Change in Foreign Currency
Gamma
Change in Implied Volatility (Vega)
Theta
Change in Time
Broker Fees
Total Hedge Management
Change in Price Prudence
Other Changes
Total Income (Loss) - Canadian Dollars
Income (Loss) with Translation Shift in US Dollars
Translation Shift in US Dollars
Income (Loss) Without Trans. Shift in US Dollars
Total Income (Loss) - Canadian Dollars - WEST & EOL
LTD Gross recognized as of prior day |  | 248842117.4749132 | 0 | 35679351 |  | 284521468.4749132 | 0 | 5432813 | 0 | 1875520 |  | 7308333 | 0 | -12087894 | 0 | 2272814 | 0 | -9815080 | 0 | -4089407.539999992 | 0 | -1833304 | 0 | -2667866 |  | -8590577.539999992 | 0 | 273424143.9349132 | 0.3788187205791473 |  | 0 |  |  | 0 |  | 0.0325787365436554 | 158315437.8070485
Prior Day Origination |  | 2363053 |  | 0 |  | 2363053 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 116184 |  | 0 |  | 0 |  | 116184 |  | 2479237 |  | 1649903.286187623 |  |  |  |  |  | 0 | 7940848.847911123
Prior Day Hedge Management
Prior Day Change in new Deals |  | 1183968 |  | 1259 |  | 1185227 |  | 2959088 |  | 714 |  | 2959802 |  | -18993 |  | 0 |  | -18993 |  | 541789 |  | 443729 |  | -398130 |  | 587388 |  | 4713424 |  | 3136728.657565053
Prior Day Change in Price |  | 2681933 |  | 0 |  | 2681933 |  | -2270775 |  | 0 |  | -2270775 |  | 5146739 |  | 0 |  | 5146739 |  | 18199762 |  | 0 |  | -1950893 |  | 16248869 |  | 21806766 |  | 14512148.2474344 |  |  |  |  |  |  | 2052745.867332009
Prior Day Change in Basis Price |  | 1566759 |  | 0 |  | 1566759 |  | -699898 |  | 0 |  | -699898 |  | 587489 |  | 0 |  | 587489 |  | -18228863 |  | 0 |  | 3320485 |  | -14908378 |  | -13454028 |  | -8953498.600440495 |  |  |  |  |  |  | -540658.4336950084
Prior Day Change in Index Price |  | 0 |  | -229 |  | -229 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | -229 |  | -152.3968271435791 |  |  |  |  |  |  | 0
Prior Day Change in Foreign Currency |  | -338252 |  | 139236 |  | -199016 |  | -69570 |  | -5 |  | -69575 |  | -13803 |  | 2833 |  | -10970 |  | -179963 |  | -609 |  | -56074 |  | -236646 |  | -516207 |  | -343529.7334030808
Prior Day Gamma |  | -1105 |  | 0 |  | -1105 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | -1859337 |  | 0 |  | 1060518 |  | -798819 |  | -799924 |  | -532340.0853973816 |  |  |  |  |  |  | 53363.92215259756
Prior Day Change in Implied Volatility |  | 696 |  | 0 |  | 696 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 22557 |  | 0 |  | -839943 |  | -817386 |  | -816690 |  | -543497.6627069416 |  |  |  |  |  |  | -10470.26741602534
Prior Day Theta |  | 791 |  | 0 |  | 791 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 232478 |  | 0 |  | -931280 |  | -698802 |  | -698011 |  | -464518.1734118637 |  |  |  |  |  |  | -43546.32436661722
Prior Day Change in Time |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
Prior Day  Broker Fees |  | -70000 |  | 0 |  | -70000 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | -70000 |  | -46584.182969653 |  |  |  |  |  |  | 0
Prior Day Hedge Management - Total |  | 5024790 |  | 140266 |  | 5165056 |  | -81155 |  | 709 |  | -80446 |  | 5701432 |  | 2833 |  | 5704265 |  | -1271577 |  | 443120 |  | 204683 |  | -623774 |  | 10165101 |  | 6764756.069842895 |  |  |  |  |  |  | 1511434.764006955
Prior Day Prudency |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | -1568824.33028974
Prior Day Other |  | -3232402 |  | 453602 |  | -2778800 |  | 3068506 |  | -6 |  | 3068500 |  | 25060 |  | -10 |  | 25050 |  | 526105 |  | 14 |  | -10165 |  | 515954 |  | 830704 |  | 552823.8161374661 |  |  |  |  |  |  | 5362.56788379982
 |  | 4155441 |  | 593868 |  | 4749309 |  | 2987351 |  | 703 |  | 2988054 |  | 5726492 |  | 2823 |  | 5729315 |  | -629288 |  | 443134 |  | 194518 |  | 8364 |  | 13475042 |  | 8967483.172167985 |  |  |  |  |  |  | 7888821.849512138
 |  |  |  |  |  | 2386256 |  |  |  |  |  | 2988054 |  |  |  |  |  | 5729315 |  |  |  |  |  | 194518 |  | -107820 |  | 10995805 |  | 7317579.885980362
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2321102.090775602
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 11288585.26294359
DO NOT ERASE - USED TO ROLL AT MONTH END | ==>> | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 | 0 | 0 |  | 0 |  |  |  |  |  | 0 | 0
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  | 0
 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
 |  |  |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  | 0
 |  | 0 |  | 0 |  |  |  |  |  |  |  |  |  | 0 |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  |  |  |  | 0
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0