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Enron Mail |
Summary Risk Data as of 20Dec2001 Previous
Active Financial Deals 71 98 * Active Physical Positions 40 40 P&L Daily ($thousands) 0.5 (2.2) VaR ($thousands) 1,533.8 492.1 * ETS Margin Account Deals 0 0 *The decrease in active deals is from the early termination of both the NNG & TW ISDA agreements with RMTC effective 12/14/2001. The increase in VaR is because the TW terminated contracts with RMTC have not yet been replaced. The VaR is currently over the ETS VaR limit of $1,000,000. Company MTM by Counter Party Asset Liability Net 20Dec01 Previous Change NNG EL Paso Energy Marketing** 18,337.6 (20,632.1) (2,294.5) (2,259.2) (35.3) NNG Reliant Energy Services 76.5 - 76.5 75.2 1.3 NNG TransCanada Energy 22,687.4 (22,067.1) 620.3 620.2 0.1 NNG Grand Total 45,858.9 (42,699.2) 3,159.7 3,193.6 (33.9) ** All of our El Paso positions are closed as of December 18, 2001 and we have a net liability with a fair value of $2.3mm. The terminated contracts with RMTC are now fixed receivables as of the early termination date of December 14, 2001 except for interest. NNG is owed $4.8mm and TW is owed $33.9mm. Amounts are past due. Definitions: Physical deals modeled in the Caminus Zainet system are deals which have some form of price risk, (i.e. Index to index deals, and anticipated fuel sales) This does not include standard transport and storage agreements or unhedged natural positions. P&L Daily: Daily change in the mark-to-market (MTM) valuation of all deals being tracked in the Caminus Zainet system. This includes the origination and changes in value for both the physical and financial sides of hedges, along with any speculative trades and floating unhedged physical positions. VaR is "Value at Risk": Enron Corp policy defines this as the maximum expected one day loss on the portfolio given a 95% statistical confidence interval. This number is currently calculated on the Caminus system using a variance covariance methodology, rather than a Monte Carlo simulation per the Enron Corp policy.
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