Volume 3 — Valuation and Risk Metrics © Copyright 2002, CCRO. All rights reserved. 37 Steps 1—3 1. Market year definition Define market years and non-market years intervals for each asset and for commodities involved with that particular asset. 2. Market year definition for the portfolio Define the market years interval for the entire asset portfolio as the minimum of all the market years obtained in Step 1. 3. Identify position Identify clearly the following: • Asset* positions [delta equivalent volumes, fair market value, etc.] • Hedges associated with the assets positions. * Asset here denotes all owned assets such as generation, pipeline, and storage and also all other assets over which the company has economic control. Market Year Definition Definition for Portfolio Identify Positions Report: Value Report: Changes in Value Volumetric Exposures Operating Margin at Risk Stress Tests 1 2 3 4 5 6 7 8 1. Market year definition Define market years and non - market years intervals for each asset and for commodities involved with that particular asset. 2. Market year definition for the portfolio Define the market years interval for the entire asset portfolio as the minimum of all the market years obtained in Step 1. 3. Identify position Identify clearly the following: • Asset* positions [delta equivalent volumes, fair market value, e tc.] • Hedges associated with the assets positions. * Asset here denotes all owned assets such as generation, pipeli ne, and storage and also all other assets over which the company has economic control. Market Year Definition Definition for Portfolio Identify Positions Report: Value Report: Changes in Value Volumetric Exposures Operating Margin at Risk Stress Tests 1 2 3 4 5 6 7 8 Step 4 a) MTM for all the assets at hedge in a region b) MTM in all regions in the hierarchical setup Region 2 a) MTM for asset over market years b) MTM for the hedge over market years c) Combined Asset 1 a) MTM for all the assets at hedge in a region b) MTM in all regions in the hierarchical setup Region 2 a) MTM for asset over market years b) MTM for the hedge over market years c) Combined Asset 1 Level Report Note: At any point in time, i.e., on any given date, we can obtain and report this information. • The subportfolio values can also be reported solely for the assets, solely for the hedges, or as needed. Market Year Definition Definition for Portfolio Identify Positions Report: Value Report: Changes in Value Volumetric Exposures Operating Margin at Risk Stress Tests 1 2 3 4 5 6 7 8