Volume 3 — Valuation and Risk Metrics © Copyright 2002, CCRO. All rights reserved. 42 Report Examples Reporting Unit Asset Perfromance and Risk Analysis Report CLOSE OF BUSINESS MM/DD/YY Total Market Years Non-Market Years Value & Positions Fair Value/Mark To Market/Model Value Profit & Loss 1 std dev. down 5th percentile 1std dev up 95th percentile Risk Measurements Value at Risk Total Power Fuel Ancillary Services Emissions Stress Tests Price Power Fuel Volatility Power Fuel Interest Rate Other Scenario Analysis Scenario 1 Scenario 2 Scenario 3 Explanations Notes: (1) As the "deal/transaction" goes through time, appropriate components from the non-market years' value, risk and sensitivities will be rolled into the corresponding market years components. The same procedure will also follow when the market components get extended on account of changes in the market place. (2) The stress tests and scenario analyses for the non-market years will be run on a less frequent basis, at a minimum quarterly. The market years' analyses will be performed on a daily basis. Version A Expected volumes for: Power (mwhs) Fuel (bbls) Fuel (mmbtus) Emissions (credits) Summer 2002 Non summer 2002 Summer 2003 Non summer 2003 Summer 2004 Non summer 2004 Summer 2005 Non summer 2005 Expected volumes for: Power (mwhs) Fuel (bbls) Fuel (mmbtus) Emissions (credits) Summer 2006 Non summer 2006 Summer 2007 Non summer 2007 Summer 2008 Non summer 2008 Summer 2009 Non summer 2009 Summer 2010 Non summer 2010 Summer 2011 Non summer 2011 Summer 2012 Non summer 2012 Summer 2013 Non summer 2013 Summer 2014 Non summer 2014 Summer 2015 Non summer 2015 Summer 2016 Non summer 2016 Summer 2017 Non summer 2017 Summer 2018 Non summer 2018 Summer 2019 Non summer 2019 Summer 2020 Non summer 2020 Equivalent Net Open Positions Market Years Non-Market Years