Spreadsheet: sally_beck__33936__SEC VaR
Sheet: 9-30-99

SEC VaR Calc and Reporting Template
Description | VaR |  | Application |  |  | Calc | Data Provider |  | CHANGE |  |  | 6/30 NUMBER |  | CHANGE |  |  | 98 NUMBER
AGG_ECT | 18742019 | Trading | Commodities | NO PROBLEM | [NAME] TO ME FROM SOME [NAME] | DPR
AGG_INDEX | 3654177 | Trading | Commodities | NO PROBLEM | [NAME] TO ME FROM SOME [NAME] | DPR
AGG_EUROPE | 6513072.74714849 | Trading | Commodities | NO PROBLEM | GOT FROM DPR | DPR
WEATHER | 1608245.29507195 | Trading | Commodities | NO PROBLEM | GOT FROM DPR | DPR
ENRON SOUTH AMERICA GAS | 222549 | Trading | Commodities | NO PROBLEM | GOT FROM DPR | DPR
ENRON SOUTH AMERICA POWER | 94610 | Trading | Commodities | NO PROBLEM | GOT FROM DPR | DPR
AUSTRALIA | 421077 | Trading | Commodities | NO PROBLEM | 10/6 NUMBER (SINCE CALCULATED ONCE A WEEK) GOT FROM RUDI | Rudi, [NAME], & Nick (in [NAME] group)
EES | 945166 | Trading | Commodities | FROM MAY ON NO PROBLEM; BEFORE MAY NUMBERS MUST BE CALCULATED (WHICH MEANS TRACKING DOWN POSITIONS).  NOBODY SEEMS TO KNOW WELL, BUT I WILL ESTIMATE TWO WEEKS | [NAME] SENT ME NEW NUMBERS (11/8); POWER ONLY; GAS IS ROLLING INTO AGG ECT | DPR
IR | 411253.9050788594 | Trading | IR | HAVE FROM MAY; CALCULATIONS WOULD TAKE ABOUT ONE WEEK OF TIME FROM SHEILA'S GROUP; TO COLLECT DATA ANOTHER SIX DAYS. | HAVE COMBINED VAR FOR 30TH, BUT NO BREAKDOWN, SO USED SAME PROPORTION AND CORRELATION (WHICH I BACKED OUT) AS THE FIRST. | DPR
FX | 16806.14183305922 | Trading | FX | HAVE FROM MAY; CALCULATIONS WOULD TAKE ABOUT ONE WEEK OF TIME FROM SHEILA'S GROUP; TO COLLECT DATA ANOTHER SIX DAYS. | HAVE COMBINED VAR FOR 30TH, BUT NO BREAKDOWN, SO USED SAME PROPORTION AND CORRELATION (WHICH I BACKED OUT) AS THE FIRST. | DPR
[NAME] | 1948189.86652764 | Trading | Securities | HAVE FROM JUNE.  DOES NOT KNOW WHAT IT WOULD REQUIRE TO GET NUMBERS | TOTAL VAR INCLUDING HEDGES TAKING THE 60% + 15% (DEREK TOLD ME) | [NAME]
ENRON NORTH AMERICA FINANCIAL TRADING EQUITY | 1028975 | Trading | Securities | NO PROBLEM | GOT FROM DPR | DPR
ENRON NORTH AMERICA FINANCIAL TRADING DEBT | 239022.45 | Trading | Securities | NO PROBLEM | GOT FROM DPR | DPR |  |  |  |  | These numbers were combined in 6/30
MERCHANT ASSETS | 12351283.01948611 | Trading | Securities | CALCULATIONS WOULD TAKE ABOUT FIVE WEEKS OF WORK | HUSNAIN REVISED NUMBERS 11/8; USED ECONOMIC OWNERSHIP | [NAME]
RYTHMS | 4050000 | Trading | Securities | ABOUT 2 HOURS OF WORK | STINSEN GIBNER GAVE ME A MODEL, WHICH I STRESSED IN MONTE CARLO: 8,000 SIMULATIONS STOCHASTIC GEOMETRIC BROWNIAN MOTION.
TOTAL RETURN SWAPS | 5201871.634718025 | Trading | Securities | ASSUMING HAVE DATA; ONE WEEK. | INCLUDING BAMMEL 11/8; EXCLUDING ARTEMIS AND FIXING MODEL 11/10 | Rudi, [NAME], & Nick | [NAME]
AFFILIATE | 0 | Non-Trading | Commodities | NO PROBLEM; CAN'T FIND TONY ON DIRECTORY SO RUDI WILL CALL ME BACK | [NAME] CALLED; NO POSITIONS | Rudi, [NAME], & Nick
PGE | 1649441 | Non-Trading | Commodities | NO PROBLEM | [NAME] [PHONE] (BECAUSE TERRI 8304 IS OUT) | [NAME]
[NAME] AND OPEN POSITION | 267043 | Non-Trading | Commodities | [NAME] WILL CALC AND GET DATA FROM DAN AND DEBBIE | DAN FANCLER | [NAME] |  |  |  |  | These books were not included before
[NAME] | 4272190.53 | Non-Trading | IR | [NAME] CAN DO THE DATA (TWO DAYS); TANYA WOULD NEED A WEEK AFTERWARD |  | [NAME] | [NAME] through Dart Arnaez 36427
ECM FX | 4736824.84 | Non-Trading | FX | [NAME] CAN DO THE DATA (TWO DAYS); TANYA WOULD NEED A WEEK AFTERWARD |  | [NAME] | [NAME] through Dart Arnaez 36426
SEC VaR Matrix/Reporting Template As Of 9/30/99
 | Trading | Non-Trading
Commodities
Interest Rates
Foreign Exchange
Securities |  | 0
TOTAL
 |  | sum squaring all
 |  | 25599414.17407602