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Enron Mail |
Summary Risk Data as of 26Dec2001 Previous Active Financial Deals 71 71 Active Physical Positions 40 40 P&L Daily ($thousands) 88.3 47.0 VaR ($thousands) 1,626.3* 1,611.4* ETS Margin Account Deals 0 0 *The VaR continues to be over the ETS VaR limit of $1,000,000. Company MTM by Counter Party Asset Liability Net 21Dec01 Previous Change NNG EL Paso Energy Marketing 17,727.8 (20,164.3) (2,436.5) (2,296.6) (139.9) NNG Reliant Energy Services 81.5 - 81.5 76.5 5.0 NNG TransCanada Energy 21,039.6 (20,429.4) 610.2 620.5 (10.3) NNG Grand Total 38,848.9 (40,593.7) (1,744.8) (1,599.6) (145.2) 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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