5 Day Loss Explanation

Chris,

Here is our explanation of the 5 Day loss violation. Let me know if you need
any more information.

Due to a forecast for mild November weather, futures prices have fallen
sharply over the last five days. Nymex futures prices have fallen a total
of $0.68 over the last five days. The Gas desk's loss is primarily driven by
a long price position held by the Financial desk, which averaged 7, 295
contracts over the same period.

Robin