Message-ID: <10397906.1075841429846.JavaMail.evans@thyme> Date: Thu, 31 Jan 2002 08:12:35 -0800 (PST) From: j..sturm@enron.com To: m..presto@enron.com Subject: What do you think? Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Sturm, Fletcher J. X-To: Presto, Kevin M. X-cc: X-bcc: X-Folder: \ExMerge - Presto, Kevin M.\Deleted Items X-Origin: PRESTO-K X-FileName: kevin presto 2-7-02.pst VaR Portfolio Commodity Trader Book Instrument Location Tenor Liquidity (volume/day) Best Risk Mitigator Power Ballato ST - ECAR Forward Phys Cinergy < 30 Days 5,000 MW Power - PJM Power Ballato ST - ECAR Forward Phys Cinergy 30 - 60 Days 2,500 MW Power - PJM Power Sturm LT - MW Forward Phys Cinergy 60 - 365 Days 1,000 MW NG Power Sturm LT - MW Forward Phys Cinergy 1 - 2 Years 750 MW NG Power Kaniss ST - MAIN Forward Phys ComEd < 30 Days 1,500 MW Power - Cinergy Power Kaniss ST - MAIN Forward Phys ComEd 30 - 60 Days 750 MW Power - Cinergy Power Sturm LT - MW Forward Phys ComEd 60 - 365 Days 250 MW Power - Cinergy Power Sturm LT - MW Forward Phys ComEd 1 - 2 Years 150 MW Power - Cinergy Power Saibi ST - SERC Forward Phys Entergy < 30 Days 2,000 MW Power - Cinergy Power Saibi ST - SERC Forward Phys Entergy 30 - 60 Days 1,000 MW Power - Cinergy Power Carson LT - SE Forward Phys Entergy 60 - 365 Days 750 MW Power - Cinergy Power Carson LT - SE Forward Phys Entergy 1 - 2 Years 250 MW Power - Cinergy Power Saibi ST - SERC Forward Phys SOCO < 30 Days 2,000 MW Power - Cinergy Power Saibi ST - SERC Forward Phys SOCO 30 - 60 Days 1,000 MW Power - Cinergy Power Carson LT - SE Forward Phys SOCO 60 - 365 Days 750 MW NG Power Carson LT - SE Forward Phys SOCO 1 - 2 Years 250 MW NG