Volume 3 — Valuation and Risk Metrics © Copyright 2002, CCRO. All rights reserved. 34 APPENDIX A – METRIC MATRIX Structured Deals Inventory Tolling Agreement Physical Purchase/Sale Financial Purchase/Sale Inventory Tolling agreement, capacity, shaped, commodity spread, and combination Transactions, native load Physical transactions around the structured deal Options, futures, swaps transactions around the structured deal Fuel, storage or pipeline inventory Depends on contract terms and accounting rules May be normal purchases/sales, hedges under FAS133 or Mark- to- Market accounting FAS133 hedge accounting if effective otherwise mark-to- market accounting Accrual accounting Depends on contract terms and accounting rules Depends on accounting method Depends on accounting method Lower of cost or market, LIFO, FIFO, weighted average or spot price under certain provisions of ARB 43 Discounted: -Market to market value for the "market years" -Mark to model for non- market years, Gross Operating Margin Discounted [Volume * (Current Market (or model) price -Contract price)] Discounted [Volume * (Current Market (or model) price -Contract price)] Discounted [Volume * (anticipated withdrawal - injection price)] Generally high due to transaction complexities. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low Low to High depending on market based curves. Involved. See Note on Level of Price Discovery . Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. 95% confidence, various holding periods for the market years 95% confidence, various holding periods 95% confidence, various holding periods N/A Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Sensitivity For disclosure purposes, inventory is included in the assets Portfolio Proprietary Trading Assets P&L/Risk Metric Linear Non-Linear Physical Asset Physical Purchase/Sale Financial Purchase/Sale Examples Standard exchange or OTC trades of forwards, futures and swaps Options on forwards, futures and swaps, including spread, asians, and floating strike options. Power plant, pipeline, storage facility, liquids processing, E&P assets, refineries, native load Physical transactions around the physical assets Options, futures, swaps transactions around the assets Accounting and Valuation Accounting method Mark-to-Market accounting Mark-to- Market accounting Accrual accounting May be normal purchases/sales, hedges under FAS133 or Mark- to-Market accounting FAS133 hedge accounting if effective otherwise mark-to- market accounting Accounting P&L Discounted (Volume * (Current Market price - Contract price)) Discounted (Volume * (Option price - contract price)) Historical cost - depreciation Depends on accounting method Depends on accounting method Risk management P&L (section ) Discounted (Volume * (Current Market (or model) price - Contract price)) Discounted (Volume * (Current option market price -contract price)) Discounted: -Mark to market value for the "market years" -Mark to model for non- market years, - change in fair value Discounted [Volume * (Current Market (or model) price -Contract price)] Discounted [Volume * (Current Market (or model) price -Contract price)] Model complexity Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. High due to correlation estimation and operating characteristic valuation. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Level of price discovery Low to High depending on certain indicators. See Note on Level of Price Discovery Low to High depending on certain indicators. See Note on Level of Price Discovery Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Risk Metrics Value at Risk assumptions (section) -95%, 99% confidence interval -1 day holding period -1 & 2-tail test -95%, 99% confidence interval -1 day holding period -1 & 2- tail test 95% confidence, various holding periods for the market years 95% confidence, various holding periods 95% confidence, various holding periods Other metrics (section) Sensitivity, Stress, Tests Duration Sensitivity, Stress Tests, Greeks, Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Performance Measures (section) See note Structured Deals Inventory Tolling Agreement Physical Purchase/Sale Financial Purchase/Sale Inventory Tolling agreement, capacity, shaped, commodity spread, and combination Transactions, native load Physical transactions around the structured deal Options, futures, swaps transactions around the structured deal Fuel, storage or pipeline inventory Depends on contract terms and accounting rules May be normal purchases/sales, hedges under FAS133 or Mark - to - Market accounting FAS133 hedge accounting if effective otherwise mark - to - market accounting Accrual accounting Depends on contract terms and accounting rules Depends on accounting method Depends on accounting method Lower of cost or market, LIFO, FIFO, weighted average or spot price under certain provisions of ARB 43 Discounted: - Market to market value for the "market years" - Mark to model for non - market years, Gross Operating Margin Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (anticipated withdrawal - injection price)] Generally high due to transaction complexities. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low Low to High depending on market based curves. Involved. See Note on Level of Price Discovery . Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. 95% confidence, various holding periods for the market years 95% confidence, various holding periods 95% confidence, various holding periods N/A Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Sensitivity For disclosure purposes, inventory is included in the assets Portfolio Proprietary Trading Assets P&L/Risk Metric Linear Non - Linear Physical Asset Physical Purchase/Sale Financial Purchase/Sale Examples Standard exchange or OTC trades of forwards, futures and swaps Options on forwards, futures and swaps, including spread, asians , and floating strike options. Power plant, pipeline, storage facility, liquids processing, E&P assets, refineries, native load Physical transactions around the physical assets Options, futures, swaps transactions around the assets Accounting and Valuation Accounting method Mark - to - Market accounting Mark - to - Market accounting Accrual accounting May be normal purchases/sales, hedges under FAS133 or Mark - to - Market accounting FAS133 hedge accounting if effective otherwise mark - to - market accounting Accounting P&L Discounted (Volume * (Current Market price - Contract price)) Discounted (Volume * (Option price - contract price)) Historical cost - depreciation Depends on accounting method Depends on accounting method Risk management P&L (section ) Discounted (Volume * (Current Market (or model) price - Contract price)) Discounted (Volume * (Current option market price - contract price)) Discounted: for the "market years" - Mark to model for non - market years, - change in fair value Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (Current Market (or model) price - Contract price)] Model complexity Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. High due to correlation estimation and operating characteristic valuation. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Level of price discovery Low to High depending on certain indicators. See Note on Level of Price Discovery Low to High depending on certain indicators. See Note on Level of Price Discovery Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Risk Metrics Value at Risk assumptions (section) - 95%, 99% confidence interval - 1 day holding period - 1 & 2 - tail test - 95%, 99% confidence interval - 1 day holding period - 1 & 2 - tail test 95% confidence, various holding periods for the market years 95% confidence, various holding periods 95% confidence, various holding periods Other metrics (section) Sensitivity, Stress, Tests Duration Sensitivity, Stress Tests, Greeks, Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Performance Measures (section) See note Structured Deals Inventory Tolling Agreement Physical Purchase/Sale Financial Purchase/Sale Inventory Tolling agreement, capacity, shaped, commodity spread, and combination Transactions, native load Physical transactions around the structured deal Options, futures, swaps transactions around the structured deal Fuel, storage or pipeline inventory Depends on contract terms and accounting rules May be normal purchases/sales, hedges under FAS133 or Mark - to - Market accounting FAS133 hedge accounting if effective otherwise mark - to - market accounting Accrual accounting Depends on contract terms and accounting rules Depends on accounting method Depends on accounting method Lower of cost or market, LIFO, FIFO, weighted average or spot price under certain provisions of ARB 43 Discounted: - Market to market value for the "market years" - Mark to model for non - market years, Gross Operating Margin Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (anticipated withdrawal - injection price)] Generally high due to transaction complexities. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low Low to High depending on market based curves. Involved. See Note on Level of Price Discovery . Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. 95% confidence, various holding periods for the market years 95% confidence, various holding periods 95% confidence, various holding periods N/A Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Sensitivity For disclosure purposes, inventory is included in the assets Portfolio Proprietary Trading Assets P&L/Risk Metric Linear Non - Linear Physical Asset Physical Purchase/Sale Financial Purchase/Sale Examples Standard exchange or OTC trades of forwards, futures and swaps Options on forwards, futures and swaps, including spread, asians , and floating strike options. Power plant, pipeline, storage facility, liquids processing, E&P assets, refineries, native load Physical transactions around the physical assets Options, futures, swaps transactions around the assets Accounting and Valuation Accounting method Mark - to - Market accounting Mark - to - Market accounting Accrual accounting May be normal purchases/sales, hedges under FAS133 or Mark - to - Market accounting FAS133 hedge accounting if effective otherwise mark - to - market accounting Accounting P&L Discounted (Volume * (Current Market price - Contract price)) Discounted (Volume * (Option price - contract price)) Historical cost - depreciation Depends on accounting method Depends on accounting method Risk management P&L (section ) Discounted (Volume * (Current Market (or model) price - Contract price)) Discounted (Volume * (Current option market price - contract price)) Discounted: - Mark to market value for the "market years" - Mark to model for non - market years, - change in fair value Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (Current Market (or model) price - Contract price)] Model complexity Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. High due to correlation estimation and operating characteristic valuation. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Level of price discovery Low to High depending on certain indicators. See Note on Level of Price Discovery Low to High depending on certain indicators. See Note on Level of Price Discovery Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Risk Metrics Value at Risk assumptions (section) - 95%, 99% confidence interval - 1 day holding period - 1 & 2 - tail test - 95%, 99% confidence interval - 1 day holding period - 1 & 2 - tail test 95% confidence, various holding periods for the market years 95% confidence, various holding periods 95% confidence, various holding periods Other metrics (section) Sensitivity, Stress, Tests Duration Sensitivity, Stress Tests, Greeks, Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Performance Measures (section) See note Structured Deals Inventory Tolling Agreement Physical Purchase/Sale Financial Purchase/Sale Inventory Tolling agreement, capacity, shaped, commodity spread, and combination Transactions, native load Physical transactions around the structured deal Options, futures, swaps transactions around the structured deal Fuel, storage or pipeline inventory Depends on contract terms and accounting rules May be normal purchases/sales, hedges under FAS133 or Mark - to - Market accounting FAS133 hedge accounting if effective otherwise mark - to - market accounting Accrual accounting Depends on contract terms and accounting rules Depends on accounting method Depends on accounting method Lower of cost or market, LIFO, FIFO, weighted average or spot price under certain provisions of ARB 43 Discounted: - Market to market value for the "market years" - Mark to model for non - market years, Gross Operating Margin Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (anticipated withdrawal - injection price)] Generally high due to transaction complexities. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low Low to High depending on market based curves. Involved. See Note on Level of Price Discovery . Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. 95% confidence, various holding periods for the market years 95% confidence, various holding periods 95% confidence, various holding periods N/A Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Sensitivity For disclosure purposes, inventory is included in the assets Portfolio Proprietary Trading Assets P&L/Risk Metric Linear Non - Linear Physical Asset Physical Purchase/Sale Financial Purchase/Sale Examples Standard exchange or OTC trades of forwards, futures and swaps Options on forwards, futures and swaps, including spread, asians , and floating strike options. Power plant, pipeline, storage facility, liquids processing, E&P assets, refineries, native load Physical transactions around the physical assets Options, futures, swaps transactions around the assets Accounting and Valuation Accounting method Mark - to - Market accounting Mark - to - Market accounting Accrual accounting May be normal purchases/sales, hedges under FAS133 or Mark - to - Market accounting FAS133 hedge accounting if effective otherwise mark - to - market accounting Accounting P&L Discounted (Volume * (Current Market price - Contract price)) Discounted (Volume * (Option price - contract price)) Historical cost - depreciation Depends on accounting method Depends on accounting method Risk management P&L (section ) Discounted (Volume * (Current Market (or model) price - Contract price)) Discounted (Volume * (Current option market price - contract price)) Discounted: - Mark to market value for the "market years" - Mark to model for non - market years, - change in fair value Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (Current Market (or model) price - Contract price)] Model complexity Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. High due to correlation estimation and operating characteristic valuation. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Level of price discovery Low to High depending on certain indicators. See Note on Level of Price Discovery Low to High depending on certain indicators. See Note on Level of Price Discovery Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Risk Metrics Value at Risk assumptions (section) - 95%, 99% confidence interval - 1 day holding period - 1 & 2 - tail test - 95%, 99% confidence interval - 1 day holding period - 1 & 2 - tail test 95% confidence, various holding periods for the market years 95% confidence, various holding periods 95% confidence, various holding periods Other metrics (section) Sensitivity, Stress, Tests Duration Sensitivity, Stress Tests, Greeks, Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Performance Measures (section) See note Structured Deals Inventory Tolling Agreement Physical Purchase/Sale Financial Purchase/Sale Inventory Tolling agreement, capacity, shaped, commodity spread, and combination Transactions, native load Physical transactions around the structured deal Options, futures, swaps transactions around the structured deal Fuel, storage or pipeline inventory Depends on contract terms and accounting rules May be normal purchases/sales, hedges under FAS133 or Mark - to - Market accounting FAS133 hedge accounting if effective otherwise mark - to - market accounting Accrual accounting Depends on contract terms and accounting rules Depends on accounting method Depends on accounting method Lower of cost or market, LIFO, FIFO, weighted average or spot price under certain provisions of ARB 43 Discounted: - Market to market value for the "market years" - Mark to model for non - market years, Gross Operating Margin Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (anticipated withdrawal - injection price)] Generally high due to transaction complexities. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low Low to High depending on market based curves. Involved. See Note on Level of Price Discovery . Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. 95% confidence, various holding periods for the market years 95% confidence, various holding periods 95% confidence, various holding periods N/A Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Sensitivity For disclosure purposes, inventory is included in the assets Portfolio Proprietary Trading Assets P&L/Risk Metric Linear Non - Linear Physical Asset Physical Purchase/Sale Financial Purchase/Sale Examples Standard exchange or OTC trades of forwards, futures and swaps Options on forwards, futures and swaps, including spread, asians , and floating strike options. Power plant, pipeline, storage facility, liquids processing, E&P assets, refineries, native load Physical transactions around the physical assets Options, futures, swaps transactions around the assets Accounting and Valuation Accounting method Mark - to - Market accounting Mark - to - Market accounting Accrual accounting May be normal purchases/sales, hedges under FAS133 or Mark - to - Market accounting FAS133 hedge accounting if effective otherwise mark - to - market accounting Accounting P&L Discounted (Volume * (Current Market price - Contract price)) Discounted (Volume * (Option price - contract price)) Historical cost - depreciation Depends on accounting method Depends on accounting method Risk management P&L (section ) Discounted (Volume * (Current Market (or model) price - Contract price)) Discounted (Volume * (Current option market price - contract price)) Discounted: for the "market years" - Mark to model for non - market years, - change in fair value Discounted [Volume * (Current Market (or model) price - Contract price)] Discounted [Volume * (Current Market (or model) price - Contract price)] Model complexity Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. High due to correlation estimation and operating characteristic valuation. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Low to High depending on model characteristics. See note on model complexity. Level of price discovery Low to High depending on certain indicators. See Note on Level of Price Discovery Low to High depending on certain indicators. See Note on Level of Price Discovery Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Low to High depending on market based curves involved. See Note on Level of Price Discovery. Risk Metrics Value at Risk assumptions (section) - 95%, 99% confidence interval - 1 day holding period - 1 & 2 - tail test - 95%, 99% confidence interval - 1 day holding period - 1 & 2 - tail test 95% confidence, various holding periods for the market years 95% confidence, various holding periods 95% confidence, various holding periods Other metrics (section) Sensitivity, Stress, Tests Duration Sensitivity, Stress Tests, Greeks, Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Fair Value at Risk, Sensitivity, Stress Tests, Greeks, Hedge metrics (see note), Duration Performance Measures (section) See note