Spreadsheet: darron_c_giron__7961__Ftoc0500
Sheet: Roll-5

Roll Forward Schedule
Book: | Book Name Here | Add'l Desc. Here
Accounting Month:
Date:
Current Day Post ID: | 0 |  |  |  |  |  |  |  |  | NOTIONAL VOLUMES |  |  |  |  |  |  |  | CALCULATED LONG/SHORT |  |  | Permanent Volume Adjustment
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 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 |  |  |  | 0 | [NAME] | (Oracle  - P&L Top Page) |  |  |  | Long | 0 | 0 | 0 | 0 | 0 | 0
Mid P/L Options |  |  |  | 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 |  |  |  | 0 | [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 | [NAME] | (Oracle - NYMEX Accounting Summary Schedule) |  |  |  | Futures | 0 | 0 | 0 | 0 | 0 | 0
Foreign Currency |  |  |  | 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 |  |  |  | 0 | [NAME] |  |  |  |  | Prior Month
Current Month Swap/Options Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Gross Book Balance |  | 0 |  | [NAME]
Current Month NYMEX Futures Liquidations |  |  |  |  | Cell Ref |  |  |  |  | Prudency |  | 0 |  | [NAME]
Current Month NYMEX Option Premiums |  |  |  |  | Cell Ref |  |  |  |  | LTD Liquidations |  | 0 |  | [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] |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |  | 4 | W
Basis Curve Shift |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 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 | R
Index [NAME] |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |  | 6 | F
Gas Daily Curve Shift |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |  | 7 | S
FX Curve Shift |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
[NAME] |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
New Deals |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Change in Existing Deals |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Gamma |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Vega |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Theta |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Rho |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Drift |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Origination |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Liquidations - Book |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
2nd Order |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Prudency |  |  |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
FX Rho |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
FX Drift |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Prepaid Amortization |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Broker Fees (s/b negative) |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Spot Liquidations |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Book/Act Recon Liquid |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
Other (See schedule E) |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
"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
LTD Through 1994 | LTD Rho/Drift Adjustment through December 1994 |  |  | 0
1995-01-01 00:00:00 | Adj. Drift & Rho-01/95 |  |  | 0
1995-02-01 00:00:00 | Adj. Drift & Rho-02/95 |  |  | 0
1995-03-01 00:00:00 | Adj. Drift & Rho-03/95 |  |  | 0
1995-04-01 00:00:00 | Adj. Drift & Rho-04/95 |  |  | 0
1995-05-01 00:00:00 | Adj. Drift & Rho-05/95 |  |  | 0
1995-06-01 00:00:00 | Adj. Drift & Rho-06/95 |  |  | 0
1995-07-01 00:00:00 | Adj. Drift & Rho-07/95 |  |  | 0
1995-08-01 00:00:00 | Adj. Drift & Rho-08/95 |  |  | 0
1995-09-01 00:00:00 | Adj. Drift & Rho-09/95 |  |  | 0
1995-10-01 00:00:00 | Adj. Drift & Rho-10/95 |  |  | 0
1995-11-01 00:00:00 | Adj. Drift & Rho-11/95 |  |  | 0
1995-12-01 00:00:00 | Adj. Drift & Rho-12/95 |  |  | 0
 |  |  | 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
 |  |  |  | Total Prior Period Liquidation Adjustments