Volume 3 — Valuation and Risk Metrics © Copyright 2002, CCRO. All rights reserved. 55 EXAMPLE 3 Qty Market Deal Price Value (MWh) Price A: FMV of Asset without Hedges Sell Power -800 40 -32000 Buy Fuel 800 30 24000 Net FMV -8000 B: MTM of Hedges Sell Power -400 40 35 2000 Buy Fuel 400 30 32 800 Net MtM (Gain)/Loss on Hedge 2800 C: Contract Revenue Stream of Hedges without Overheads Sell Power -400 35 -14000 Buy Fuel 400 32 12800 Net Hedge (Gain)/Loss -1200 Value Based Percentage Hedged C/(A+B) 0.230769 EXAMPLE 4 Qty Market Deal Price Value (MWh) Price A: FMV of Asset without Hedges Sell Power -800 30 -24000 Buy Fuel 800 30 24000 Net FMV 0 B: MTM of Hedges Sell Power -400 30 35 -2000 Buy Fuel 400 30 32 800 Net MtM (Gain)/Loss on Hedge -1200 C: Contract Revenue Stream of Hedges without Overheads Sell Power -400 35 -14000 Buy Fuel 400 32 12800 Net Hedge (Gain)/Loss -1200 Value Based Percentage Hedged C/(A+B) 1