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HomeMy WebLinkAboutStaff Report 377-10TO: HONORABLE CITY COUNCIL FROM: CITY MANAGER DEPARTMENT: ADMINISTRATIVE SERVICES DATE: OCTOBER 25, 2010 CMR: 377:10 REPORT TYPE: Information SUBJECT: City of Palo Alto's Energy Risk Management Report for the Fourth Quarter, Fiscal Year 2010 This is an informational report and no Council action is required. EXECUTIVE SUMMARY Staff has continued to purchase electricity and gas in compliance with the City's Energy Risk Management Policies and Procedures with no exceptions. The credit quality for the City's active counterparties remained stable during the quarter and the City's credit exposure in the commodity purchasing arca is minimal. The 36 -month mark to market value of the City's fixed price electricity purchases is negative $4.1 million. The 36 -month mark to market (MTM) value of the City's gas purchases is negative $8.7 million. The 12 -month mark to market value of purchases of renewable power is $5.0 million when marked against the estimated renewable energy forward price curve. The 12 -month mark to market value of electricity from Western hydro is $7.9 million, and the value for Calaveras hydro is negative $3.7 million. The mark to market value represents the difference between the current market price and the contract price. This report is based on market prices and load and supply data as of June 30, 2010. BACKGROUND The purpose of this report is to inform the City Council of the status of the City's energy portfolio and transactions executed with energy suppliers as of the end of the fourth quarter of Fiscal Year 2010. The City's Energy Risk Management Policy (CMR 359:09) requires that staff report on a quarterly basis to Council the City's energy portfolio, the City's credit exposure and market risk profile, transaction compliance, and other key market and risk information. Attachments A and B summarize the current position and exposure of the City with the electricity and gas commodity portfolios, respectively. Attachment A summarizes the electric portfolio in terms of forward purchase volumes, headroom (volume limit less current purchase volumes), and mark to market (current market price less contract price). Attachment B. summarizes the gas portfolio in terms of transaction volume, market value, MTM value and limits. Attachments C and D provide details of the electric and gas portfolio positions. CMR:377:10 Page 1 of 10 DISCUSSION The City obtains electricity from hydroelectric resources (referred to as Western and Calaveras), renewable energy sources (landfill gas and wind generation), and fixed priced forward market purchase contracts to meet its expected load demands. Fixed Price Forward Electricity Purchases. The City currently has purchased supplies of electricity totaling 469,790 Megawatt hours (MWh) for delivery between July 1, 2010 and March 31, 2012. The average price for all of the fixed -price purchases is $55.10 per MWh, slightly up from $55.00 last quarter. The City contracted with four approved counterparties: Shell Energy North America (SENA), Powerex, BP and Sempra Energy. Figure 1 below illustrates the sources of electricity supplies by month for the next 36 months in terms of megawatt hours (MWh). The 36 -month mark to MTM value of the City's forward transactions for wholesale power was negative $4.06 million at the end of the quarter. Figure 2 presents the forward volumes and MTM positions for each electric supplier by month of delivery for all forward fixed price electricity contracts. The reduced value of the contracts, as compared to last quarter, is a result of the recent decline in energy prices. Figure 1. Electric Load Resource Balance 120,000 1 100,000 80,000 - 60,000 - 40,000 - 20,000 - 0 d \s,9 1 �`a �a� )`��� 1 `aoJ� ,,aC1� `a�� �a� �`�� ��4 `aoJ )'y, .°t ei N11LIJjJIiI i.IIPILIIII 111111511- iiiiiHi'ii1i Western ® Calaveras Wind ,:r.r.r Landfill Wholesale Purchases (Total Load Non -Carbon Emitting Electricity. Staff estimates that the City will utilize non -carbon emitting electricity sources, including hydro power, for approximately 69.4% of the total annual electric load over the next 12 months. The 12 month MTM value of the City's forward positions for landfill gas and wind renewable power is positive $4.9 million when marked against the California forward price renewable price curve for those resources. This price curve represents CMR:377:10 Page 2 of 10 the cost of comparable long term contracts with a combined cycle gas turbine facility plus a carbon adder. It is currently the best approximation of long-term renewable energy prices in lieu of a transparent and liquid marketplace. Hydroelectricity With regard to the hydroelectric purchases, which are not considered renewable under the State' s Renewable Portfolio. Standard, the 12 -month MTM value of Western hydro is $7.9 million, while the MTM value of Calaveras hydro is negative $3.6 million. This negative number for Calaveras means that the costs are greater than the value of electricity projected by the forward market curve for the next 12 months. Note that the Calaveras project provides other benefits to the City which have not been included in the market value. Therefore, the total value of the Calaveras project is not fully reflected in the MTM value. Figure 2. Electric Forward Volumes and Mark to Market Values as of June 30, 2010 CMR:377:10 Page 3 of 10 Fixed Price Forward Natural Gas. The City currently has purchased supplies of gas totaling 3.44 million MMBtu for delivery between July 1, 2010 and March 2013. The average price for all of the fixed -price purchases is $6.84 per MMBtu, up from $5.89 last quarter. The forward purchases have been transacted with five approved counterparties: SENA (Shell Energy), JP Morgan Chase, Sempra, Powerex, and British Petroleum. The forward volumes and MTM values of all fixed price forward natural gas contracts by month and by counterparty are presented in Figure 3. Figure 3. Gas Forward Volumes and Mark to Market Values as of June 30, 2010 CMR:377:10 Page 4 of 10 Figure 4 presents the mark to market history for the wholesale fixed price purchases of both gas and electricity. It shows how the downturn in energy prices since the mid -2008 has decreased the value of the City's electricity and gas portfolios. Figure 4. Mark to Market Value of Gas and Electric Portfolio Gas and Electric Mark to Market History MTM $ (Millions) 25 - 20 - 15 10- 5- 0 The negative mark to market value of many of the City's resources means that the City's contracted price for these resources is higher than current market prices. This is due to a lowering of energy prices, combined with the City's laddering strategy for energy purchases. Credit Risk To manage credit risk, staff reports on major credit rating agency (S&P and Moody's) scores, and the "expected default frequency" (EDF) using the Moody's KMV CreditEdge© and RiskCalc c0 analytical tools. The EDF is an estimated probability that a counterparty will default in the next 12 months. The KMV tools allow staff to carry out "real-time" credit evaluations that include equity pricing and asset value changes that are not reflected in the static and annually - conducted credit rating agencies' reports. Under the City's current Risk Management Policy and the City's Purchasing Ordinance, the City is not permitted to transact with any counterparty which has an S&P rating below BBB-, unless approved by City Council. Some exceptions to this prohibition are made on a case -by -case CMR:377: I 0 Page 5 of I0 basis, largely for suppliers of renewable energy. These exceptions are approved by City Council. Table 1 illustrates how the Moody's KMV expected default frequency (EDF) ratings correspond to S&P credit categories. To be equivalent to a BBB- or better rating, any counterparty should have an EDF measure of 0.15% or lower. Table 1. Expected Default Rates and the Equivalent S&P Credit Category Equivalent Median Credit Category AAA AA+ AA AA- A+ A A - BBB+ BBB BB+ Bound Range EDF credit Credit EDF credit measure Lower Upper Category measure Lower Upper 0.01% 0.01% 0.01% BB 0.25% 0.21% 0.33% 0.02% 0.01% 0.02% BB- 0.45% 0.33% 0.61% 0.02% 0.02% 0.02% B+ 0.83% 0.61% 1.12% 0.03% 0.02% 0.03% 8 1.52% 1.12% 2.32% 0.04% 0.03% a05% B- 3.55% 2.32% 5.42% 0.05% 0.05% 0.06% CCC+ 8.28% 5A2% 12.66% 0.06% 0.06% 0.07% CCC 19.35% 12.66% 19.99% 0.07% 0.07% 0.08% CCC- 20.66% 19.99% 22.07% 0.09% 0.08% 0.10% CC 23.57% 22.07% 26.02% C 28.72% 26.02% 35.00% 0.17% D 35,00% 35.00% 35.00% 0.15% 0.21% Equivalent Median Bound Range The City has Energy Master Agreements signed with 7 counterparties in total: Sumitomo, JP Morgan Chase, Sempra, ConocoPhiIlips, Shell, Powerex and BP. In addition, the City has renewable electricity contracts with Iberdrola Renewable Holdings Inc. (formerly Pacificorp Power Marketing) and Ameresco. Of this group of nine companies, the City currently has outstanding contracts with seven counterparties, as listed in Table 3, Table 4 and Table 5 below. The credit worthiness of all of the City's active, and passive, counterparties deteriorated in the past quarter. This deterioration is due to a combination of factors including 1) the real and perceived financial and environmental risk exposures by the oil and gas sector highlighted by the Gulf of Mexico oil leak crisis; and 2) the poor recovery of US and European Markets following the depths of the recession. In particular, BP's estimated default rate has risen by 500% in the last quarter. Counterparties with the highest default risk continue to be the financial -based institutions which continued to be impacted by extreme volatility in the credit markets. Currently, the two counterparties with the highest default risk are the financially -based counterparties JP Morgan Chase and Sumitomo. It is important to note that the City has no exposure to any financially -based counterparty. Table 2 presents analysis of the changes in default rates in Palo Alto's publically traded counterparties in the last 90 days of trading as of June 30, 2010. CMR:377:10 Page 6 of 10 Table 2. Changes in Expected Default Rates of Counterparties in the Last 90 Days Define Current: 8129110 Define Previous_ Three Mont Companies per page: 100 EDF Credit Category Company Name Current Previous `Amt. Change % Change Curren! Previous 1 SUMITOMO CORPORATION .1.00% 0.53% +47 bp +88.68% 131 Bal 2 JPMORGAN CHASE & CO 0.67% 0.40% +27 bp +67.50% Bat Baa3 3 IBERDROLA S.A. 0.50% 0.27% +23 by +85.19% Bal Baal 4 PG&E CORP 0.34% 0.28% +6 bp +21.43% Baa3 Baal 5 CONOCOPHILLIPS 0.34% 0.28% +6 bp +21.43% Baa3 Bara2 6 SEMPRA ENERGY 0.16% 0.13% +3 by +23.08% A3 . A2 7 IBERDROLA RENOVABLES S 0.15% 0.10% +5 bp +50.00% A3 Al 8 BP PLC 0,12% 0.02% +10 bp +500.00% A2 Aaa 9 ROYAL DUTCH SHELL PLC 0.07% 0.05% +2 bp +40.00% Aa3 Aaa Electricity. CPAU's electric supplier counterparty credit exposure and the supplier credit ratings are presented below. Note that City has a credit exposure only when the mark to market value is positive. There are currently no contracts with a positive forward mark to market value. Table 3. Electricity Suppliers — Credit Exposure, Credit Ratings and Expected Default Rates as of June 30, 2010 Counterparty Total Mark to Market S&P Ranking Current Expected Default Frequency Expected "Loss" (MTM x Expected Default Frequency) BP $ -551,572 A+ 0.12 $ 0 Shell $ -1,669,504 A- 0.07 $ 0 Powerex $ -1,132,823 AAA 0.01 $ 0 Sempra $ -701,524 AA- 0.16 $ 0 Total $ -4,055,432 $ 0 t?i,:e rA i Renewable Electricity. Palo Alto's contracts for renewable energy include both wind contracts with Iberdrola Renewable Holdings Inc. as well as contracts to convert landfill gas to electricity with Ameresco, Inc. The credit exposure and EDF ratings for these counterparties are presented below. CMR:377:10 Page 7 of 10 Table 4. 12 Month Renewable Energy Credit Exposure and Credit Ratings Marked Against the Calculated Renewable Market Forward Prices as of June 30, 2010 Counterparty Market Price Referent 12 -Month MTM Value Ameresco, Inc. Iberdrola SA $ 2,153,633 $ 2,820,045 Total $ 4,973,678 Current Calculated Expected Default Frequent Expected "Loss" (MTM x Expected Default Frequency) $ 17,229 $ 14,100 $ 31,329 1. Iberdrola Renewable Holdings Inc is formerly known as Pacificorp Power Marketing. Credit support is by Iberdrola SA. As Table 4 shows, the City does have contracts for renewable power with counterparties whose EDF score is significantly higher than the 0.15% BBB- equivalent. One counterparty, Ameresco, a renewable power developer with whom the City has seven existing long-term power contracts. The City currently receives approximately 72,000 MWh of electricity from these projects annually. Ameresco was not publically traded at the end of the quarter and is not rated by any of the major credit rating agencies; the EDF score listed in Table 2 is based on staff's analysis of Ameresco's confidential financial reporting. Ameresco went public and issued stock in July of 2010, after the quarter ended. While Ameresco's EDF score is below the BBB - equivalent, the City has additional protections in these contracts which would allow the City to continue receiving the renewable power in the event of an Ameresco default. The second counterparty, Iberdrola Renewable Holdings Inc, is owned by Iberdrola SA, a global renewable energy firm based in Spain. The city has contracts for power from two wind farms and receives approximately 125,000 MWh from these projects each year. Table 4 illustrates the credit impacts of the widening variance between the wholesale power curve and the State developed renewable Market Price Referent. If either of the counterparties were to default, the City would bear increasing costs if it were required to replace the energy with renewable energy in order to meet the City's Renewable Portfolio Standard goals. Natural Gas. As Table 5 shows, MTM value of contracts with all five counterparties is negative. Because the current portfolio is valued less than the contract price, the City has no potential loss at present. Table 5 below calculates the loss which the City would suffer should one of its gas counterparties default. This loss is calculated as the product of expected default frequency and the MTM value. CMR:377:10 Page 8 of 10 Table 5. Credit Exposure and Expected Default Frequency of Natural Gas Suppliers as of June 30, 2010 Counter party Total MTM Value S&P Ranking Current Expected Default Frequency Expected Loss (MTM x Expected Default Frequency) BP $ -2,113,245 - AA+ 0.12 $ 0 JPMorgan $ -2,228 A+ 0.67 $ 0 Shell $ -4,487,916 A- 0.07 $ 0 Powerex $ -380,110 AAA 0.01 $ 0 Sempra $ -719,570 AA- 0.16 $ 0 Total $ -7,703,070 $ 0 Reserves Assessment A key premise of the City's risk management practices centers on ensuring the adequacy of supply reserves with respect to the risks undertaken as a result of purchases of gas and electricity commodities. Table 6 below summarizes the current and projected supply reserve levels for gas and electricity as of March 31, 2010 based on the City's SAP financial system. Table 6. Supply Rate Stabilization Reserve Levels for Electricity and Gas for FY2010 ($ Millions) (Preliminary unaudited figures from City's Financial System) Commodity Beginning Reserve Balance as of 6/30/09 Minimum Guideline Reserve Level Maximum Guideline Reserve Level Unaudited Current Projected Reserve Balance ($ Millions) as of 6/30/10 for FY 2010* Electricity $ 41.4 $ 38.8 $ 77.7 $ 44.8 Gas $ 8.7 $ 6.7 $13.4 $ 12.3 * Accounting activity figures to date reflect what has been booked into the City's financial system. These figures are preliminary until outside auditors have completed their review and the Comprehensive Annual Financial Report is produced. There could be significant changes to the RSR balances based on year end adjustments that have not as yet been booked. The data presented in Table 6 and discussed below, are based on unaudited preliminary financial reports. These data are presented here to provide timely information to Council. The current reserves for electricity are above the minimum and below the maximum ranges as well above CMR:377:10 Page 9 of 10 credit, regulatory and other risks through the end of the 2010 Fiscal Year. Total risks associated with the electric supply reserve for Fiscal Year 2011 include: $2.0 million for credit reserves; $5.5 million for hydro risk; $0.5 million for market risk of the yet -to -be -purchased positions; and $2.9 million for possible regulatory, operational and other risks. These risks total $10.9 million. With regard to gas, the current projected reserve level of $12.3million is above the minimum but below the maximum ranges as set by current guidelines. Total risks to the gas supply reserve are estimated at $1.8 million, well below the expected reserve levels. Changing market dynamics, international events, and other factors outside the City's control, can have a significant and adverse impact on the adequacy of reserves for `both gas and electricity over a short timeframe. Staff monitors these factors as well as the financial condition of the City's counterparties on an on -going basis. Exceptions There are no exceptions during the Quarter. ATTACHMENTS Attachment A. Electric Portfolio Summary Attachment B. Gas Portfolio Summary Attachment C. Electric Portfolio Detail Attachment D. Gas Portfolio Detail PREPARED BY: DEPARTMENT HEAD APPROVAL: CITY MANAGER APPROVAL: KARL VAN•ORSDOL Energy Risk Manager LALO PE Director, A Ir MES KEEN ity Manager ive Services CMR:377:10 Page 10 of 10 Attachment A. Electricity Summary Sheet Limit report as of: 29 -Jun -10 NO VIOLATIONS Total Number of Deals 28 Volumes Counterparty Limit (Volume) FY Ending 10 (12 months) FY Ending 11 FY Ending 12 FY Ending 13 FY Ending 14 FY Ending 15 FY Ending 16 Vi olation BP 660,000 6,080 41,960 24,640 0 0 0 0 Co nocoPhillips 660,000 - - - 0 0 0 0 JP Morgan Chase 600,000 109,200 - - 0 0 0 0 Powerex 660,000 58,185 75,575 109,800 0 0 0 0 Sempra 660,000 41,850 44,180 - 0 0 0 0 SENA 660,000 174,265 129,715 43,920 0 0 0 0 Total #N/A 389,580 291,430 178,360 0 0 0 0 #N/A Head Room Counterparty Unit: MWh FY Ending 10 (12 months) FY Ending 11 FY Ending 12 FY Ending 13 FY Ending 14 FY Ending 15 FY Ending 16 BP 653,920 618,040 635,360 660,000 660,000 660,000 660,000 ConocoPhillips 660,000 660,000 660,000 660,000 660,000 660,000 660,000 JP Morgan Chase 490,800 600,000 600,000 600,000 600,000 600,000 600,000 Powe re x 601,815 584,425 550,200 660,000 660,000 660,000 660,000 Sempra 618,150 615,820 660,000 660,000 660,000 660,000 660,000 SENA 485,735 530,285 616,080 660,000 660,000 660,000 660,000 Ma rk to M arket Counterparty 12 Month Fwd Credit Exposure Limit Rolling 12 Months M2M Sta rting in July- 10 Violation Hea droom Total Credit Exposur e Limit Total M2M of Op en Transactions Starting in July -10 Violation Headroom Ameresco $ 10,000,000 $ - $ 10,000,000 $ 25,000,000 $ - $ 25,000,000 BP $ 30,000,000 $ (456,417) $ 30,456,417 $ 60,000,000 $ (551,572) $ 60,551,572 ConocoPhillips $ 15,000,000 $ - $ 15,000,000 $ 25,000,000 $ - $ 25,000,000 JP Morgan Chase $ 10,000,000 $ - $ 10,000,000 $ 20,000,000 $ - $ 20,000,000 Powerex $ 10,000,000 $ (873,587) $ 10,873,587 $ 10,000,000 $ (1,132,832) $ 11,132,832 Sempra $ 15,000,000 $ (701,524) $ 15,701,524 $ 25,000,000 $ (701,524) $ 25,701,524 SENA $ 15,000,000 $ (1,263,447) $ 16,263,447 $ 30,000,000 $ (1,669,504) $ 31,669,504 Tota l $ (3,294,974) $ (4,055,432) Attachment B. Gas Summary Sheet NO VIOLATION Total Open St arting in July- 10 Open FY E nding/10 (starts in July -10) FY Ending 10 (July to June) FY Ending 11 FY Ending 12 FY E nding 13 FY Ending 14 12 Month (from Jul -10 to Jun -11) Tr ansaction Volume (All deals) MMBt u 3,854 .410 - 5,300,135 2,288,370 . 1,169 ,040 397 ,000 - 2,288,370 Tr ansaction V olume (Fix & Capped) MMBt u 3,444,510 - 2.073,765 1,878,470 1,169,040 397,000 - 1,878,470 Transaction Costs $ $ 26,359,650 $ - $ 962,013 $ 15,597,707 $ 8,196,263 $ 2,565,680 $ - $ 15,597 ,707 Transaction Market Value $ $ 17,683,827 $ - $ 395,448 $ 9,094,665 $ 6,339,199 $ 2,249,943 $ - $ 9,094,685 Mark to Market $ $ (7,703,070) $ - $ (345,269) $ (5,530,269) $ (1,857,064) $ (315,738) $ - $ (5,530,269) Open FY Total peen Starting in July- E nding/10 in FY Ending 10 FY Ending 11 10 (starts in (July to June) I, Jv_1 n1 FY Ending 12 FY Ending 13 FY Ending 14 12 Mo nth (from Jul -10 to Jun -11) PG&E T ransaction Volume (PMdeals) MMBtu - - 695.90 - - - - _ Tran saction Volume (Fix & Capped) - - 695.90 - - - - _ Transaction Limit MMBtu 12,000.00 12,000.00 12,000.00 12,000.00 12,000 .00 Vio la tion? Transaction V alu e 5 - $ - $ - $ - $ - $ - $ - $ _ Mark to Markel $ - $ - $ - $ - $ - $ - $ - $ - M ask to M arket Limit 5 $ 1,000 .000 $ 1,000,000 V io lation? Co noco Phillips Transaction Volume (At deals ) MMBtu - - 499,650 - - - - Transaction Volume (Fix & Capped) - - 350 - - - - - Transaction Limit MMBtu 1,500,000 1,500.000 1,500 .000 1,500,000 1,500,000 Vio lation? Transaction Value $ - $ - $ - $ - $ - $ - $ - $ - Mark to M arket $ - $ - $ - $ - $ - $ - $ - $ - Mark to M arket Limit $ $ 20,000,000 $ 12,000,000 Violation? _ JP Mo rgan Transaction Volume (All deals) MMBtu - - 147,600 - - - - - Transaction Volume (Fix & Ca pped) - - 16 000 - - - - - - Transaction Limit MMBtu 1,500,000 1,500,000 1,500,000 1,500,000 1,500,000 Violation? Transaction Value $ (37, 767) $ - $ (7,912) $ (37 ,767) $ - $ - $ - $ (37,767) Mark to Market $ (2, 228) $ - $ 173 $ (2,228) $ - $ - $ - $ (2,228) Mark to Ma rket Limit $ $ 2,500,000 $ 1.500,000 Violation? BP Transaction Volume (All deals) M MBtu 759,170 - 331,140 487,000 272,170 - - 487,000 Transaction Volume (Fix & Ca pped) 759,170 - 331,140 487,000 272,170 - 487,000 Transaction Limit MM Btu 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000 Violation? Transaction Va lue $ 3, 907,817 $ - $ 115, 245 $ 2 ,379,996 $ 1,527,821 $ - $ - $ 2.379 ,996 Ma rk to Ma rket $ (2,113.245) $ - $ (128, 055) $ (1 ,636,662) $ (47.6,584) $ - $ - $ (1,636,662) Ma rk to Ma rket Limit $ $ 25, 000,000 $ 12.000,000 Violation? Powerex Transaction Vo lume (A ll deals) MM Btu 377.300 - 642,000 131,300 123,000 123,000 - 131,300 Transaction Vo lume (Fix & Capped) 337,000 - 392,000 91,000 123,000 123,000 - 91,000 Transaction Limit MM$tu 3,000,000 3,000,000 3,000,000 3,000,000 3,000,000 Violation ? - Transaction Va lue $ 1,731,220 $ - $ - $ 442,727 $ 626 .878 $ 661,616 $ - $ 4 42,727 Ma rk to Market $ (380,110) $ - $ - $ (125,568) $ (141,257) $ (113,285) $ - $ (125,568) Mark to Marke t Limit $ $ 2,500,000 5 5,000,000 Violation? SENA Transaction Volume (All deals) MMBtu 2,354,940 - 1, 530,700 1,549, 070 662,870 123,000 - 1,549,070 Tra nsa ction Volume (Fix & Capped) 1,985,340 - 859,930 1,179,470 682,870 123,000 - 1,179,470 Transa ction Limit MMBtu 1, 500. 000 1,500,000 1,500,000 1,500,000 1,500,000 V iolatio n? Transaction Valu e $ 10. 108,195 $ - $ 288,113 $ 5,703,329 $ 3,687,541 $ 717,325 $ - $ 5,703,329 Mark to M arket $ (4,487,916) $ - $ (217,387) $ (3,291,378) $ (1,090,992) $ (105,546) $ - $ (3,291,378) Mark to M arket Limit $ $ 20,000,000 $ 10,000,000 Violation ? Sempra Transaction Vo lu me (All dea(e) MMBtu 363,000 - 2,148,350 121,000 91,000 151,000 - 121,000 Transaction Volume (Fix & Capped) 363,000 - 473,650 121,000 91,000 151,000 - 121,000 Transaction Limit MM Btu 1500000 1500000 1500000 1500000 1500000 Violation? Transaction Va lue $ 1, 974,363 $ - $ - $ 606,401 $ 496,960 $ 671,003 $ - $ 606,401 Mark to Ma rket $ (719,570) $ - $ - $ (474,432) $ (148,231) $ (96,907) $ - $ (474,432) Ma rk to Ma rket Limit $ $ 10,000,000 Violation? Attachment C. Electric Portfolio Detail n '3 � rrx A. ]"'PN'3p,i .. '$''-'rua �f5 '� 5' ""vix .. , sris+1� � '.:,.: 5 C e�sw•-Y" • P,'� = V ei4-o e� 4 ' •• " gyro. e re6 a.. v. , . BP NP15 8/1/2010 11,160 $ 661,230 6,240 4,920 $ 47.25 $ 34 .86 ,$ 466,371 11,160 $ (194,858.74) P urchase SENA 8/1/2010 - $ - - - $ 46.75 $ 38.90 $ - . 0 $ - Purchase Powerex NP15 9/1/2010 21,600 $ 1,190,160 12,000 9,600 $ 45.50 $ 33.89 $ 871,371 21,600 $ (318,788.54) Purchase SENA 9/1/2010 - $ - - - $ 45.97 $ 36 .47 $ - 0 $ - P urchase SENA NP15 10/1/2010 7,440 $ 399,900 4,160 3,280 $ 46.82 8 35.82 $ 312,253 7,440 _ $ (87,646.83) P urchase SENA 10/1/2010 - $ - - - $ 45.40 $ 38.30 $ - 0 $ - P urchase SENA NP15 10/1/2010 18,600 $ 1,004,400 10,400 8,200 $ 46.82 $ 35.82 $ 780,633 I8,600 $ (223,767.08) Purchase BP NP15 10/1/2010 10,400 $ 579,800 10,400 - $ 46 .82 $ 35.82 $ 486,924 10,400 $ (92 ,875.69) Purchase Sempra NP15 10/1/2010 14,880 $ 874,200 8,320 6,560 $ 46 .82 $ 35.82 $ 624,506 14,880 $ (249,693.66) Purchase SENA NP15 11/1/2010 3,210 $ 125,993 - 3,210 $ 46.65 $ 37.03 $ 118,877 3 ,210 $ (7,1I5 .10) P urchase BP NP15 11/1/2010 10,000 $ 557,500 10,000 - $ 46 .65 $ 37.03 $ 466,466 I0,000 $ (91,034.39) Purchase SENA NP15 11/1/2010 18,025 $ 973,350 10,000 8,025 $ 46 .65 $ 37.03 $ 763,659 18,025 $ (209,690.90) Purchase Sempra NP15 11/1/2010 14,420 $ 847,175 8,000 6,420 $ 46 .65 $ 37.03 $ 610,927 14,420 $ (236,247.72) Purchase SENA NP15 11/1/2010 7,210 $ 387,538 4,000 3,210 $ 46 .65 $ 37.03 $ 305,464 7 ,210 $ (82,073 .86) Purchase Sempra NP15 12/1/2010 14,880 $ 874,200 8,320 6,560 $ 48.28 $ 39.16 $ 658,618 14,880 $ (215,582.16) Purchase BP NP15 12/1/2010 10,400 $ 579,800 10,400 - $ 48 .28 $ 39.16 $ 502,151 10,400 $ (77,648 .54) Purchase SENA NP15 12/1/2010 7,440 $ 399,900 4,160 3,280 $ 48.28 $ 39 .16 $ 329 ,309 7,440 $ (70,591.08) Purchase SENA NP15 12/1/2010 3,280 $ 128,740 - 3,280 $ 48.28 $ 39.16 $ 128,448 3,280 $ (291.66) Purchase SENA NP15 12/1/2010 18,600 $ 1,004,400 10,400 8,200 $ 48.28 $ 39.16 $ 823,272 18,600 $ (181,127.70) P urchase SENA NP15 1/1/2011 8,000 $ 424,000 8,000 - $ 49 .46 $ 39.09 $ 395,656 8,000 $ (28,344.30) P urchase Powerex NP15 1/1/2011 18,600 $ 1,003,470 10,000 8,600 $ 49 .46 $ 39.09 $ 830,747 18,600 $ (172,723.18) P urchase SENA NP15 1/1/2011 7,440 $ 418,500 4,000 3,440 $ 49 .46 $ 39.09 $ 332,299 7 ,440 $ (86,201 .27) P urchase Powerex NP15 2/1/2011 16,800 $ 906,360 9,600 7,200 $ 48.58 $ 38 .89 $ 746 ,376 16,800 $ (159,984.19) P urchase SENA NP15 2/1/2011 7,680 $ 407,040 7,680 - $ 48 .58 $ 38.89 $ 373 ,070 7 ,680 $ (33,969.95) P urchase SENA NP15 2/1/2011 6,720 $ 378,000 3,840 2,880 $ 48 .58 $ 38.89 $ ' 298,550 6 ,720 $ (79,449.67) Purchase SENA NP15 3/1/2011 8,640 $ 457,920 8,640 - $ 45.22 $ 37.52 $ 390,668 . 8 ,640 $ (67251 .97) P urchase Powerex NP15 3/1/2011 18,575 $ 1,002,121 10,800 7,775 $ 45 .22 $ 37 .52 $ 780,030 18,575 $ (222,090.91) P urchase SENA NP15 3/1/2011 7,430 $ 417,938 4,320 3,110 $ 45.22 $ 37 .52 $ 312,012 7,430 $ (105,925.36) Purchase Powerex NP15 10/1/2011 18,600 $ 1,036,950 10,400 8,200 $ 53.14 $ 40 .19 $ 882,253 18,600 $ (154,696.77) Purchase SENA NP15 10/1/2011 7,440 $ 446,400 4,160 3,280 $ 53.14 $ 40.19 $ 352,901 7 ,440 $ (93 ,498.71) Purchase BP NP15 10/1/2011 8,320 $ 478,400 8,320 - $ 53.14 $ 40.19 $ 442,132 8,320 $ (36,268 .24) Purchase Powerex NP15 11/1/2011 18,025 $ 1,004,894 10,000 8,025 $ 52. 94 $ 41.57 $ 863,082 18,025 $ (141,811.80) Purchase SENA NP15 11/1/2011 7,210 $ 432,600 4,000 3,210 $ 52.94 $ 41.57 $ 345,233 7 ,210 $ (87,367 .22) Purchase BP NP15 11/1/2011 8,000 $ 460,000 8,000 - $ 52. 94 $ 41.57 $ 423,555 8,000 $ (36 ,444 .93) Purchase SENA NP15 12/1/2011 7,440 $ 446,400 4,160 3,280 $ 54. 80 $ 43.97 $ 372,213 7,440 $ (74,187.44) Purchase BP NP15 12/1/2011 8,320 $ 478,400 8,320 - $ 54. 80 $ 43.97 $ 455 ,958 8,320 $ (22,441.85) Purchase Powerex NP15 12/1/2011 18,600 $ 1,036,950 10,400 8,200 $ 54.80 $ 43. 97 $ 930,531 18,600 $ (106,418.61) Purchase Powerex NP15 1/1/2012 18,600 $ 938,370 10,000 8,600 $ 60. 34 $ 47.17 $ 1,009,.046 18,600 $ 70,676.24 Pur chase SENA NP15 1/1/2012 7,440 $ 446,400 4,000 3,440 $ 60.34 $ 47.I7 $ 403,6I9 7,440 $ (42,781.50) Purchase Powerex NP15 2/1/2012 17,400 $ 877,830 10,000 7,400 $ 59.26 $ 46.94 $ 939,999 17,400 $ 62,169.45 Purchase SENA NP15 2/1/2012 6,960 $ 417,600 4,000 2,960 $ 59.26 $ 46.94 $ 376, 000 6,960 $ (41,600 .21) P urchase Po werex NP15 3/1/2012 18,575 $ 937,109 10,800 7,775 $ 55.16 $ 45.30 $ 947,945 18,575 $ 10 ,836.24 Pur chase SENA NP15 3/1/2012 7,430 $ 445,800 4,320 3,110 $ 55.16 $ 45.30 $ 379,178 7,430 $ • (66,622.00) Purchase Totals 469,790 $ 25,887,736 294,560 175,230 $ 21,832,304 $ 469,790 $ (4,055,432) Attachment D. Gas Portfolio Detail SAW TIZIRITREEMETNIMEIRSENZWEISEIFEMNEMMITNIENNTIMEZTEMPV MALIN Jul -10 46,500 $ 350,610 Purchase $ (159,007) $ (11,588) SENA JP Morgan MALIN Jul -10 36,270 $ 161,039 Purchase SENA CG Jul -10 99,200 $ - Purchase $ - SENA CG Jul -10 (21,700) $ - Sale $ SENA MALIN Jul -10 31,000 $ 171,740 Purchase $ (44,004) Powerex MALIN Jul -10 40,300 $ - Purchase $ - BP MALIN Jul -10 31,000 $ 214,210 Purchase $ (86,474) JP Morgan CG Jul -10 (36,270) $ 173,733 Sale $ 9,865 JP Morgan CG Aug -10 (33,1a $ 158,884 Sale $ 7,148 JP Morgan MALIN Aug -10 33,170 $ 147,275 Purchase $ (7,894) BP MALIN Aug -10 31,000 $ 214,210 Purchase $ (83,948) $ SENA CG ' Aug -10 80,600 $ - Purchase SENA CG Aug -10 (21,700) $ - Sale $ - SENA MALIN Aug -10 46,500 $ 350,610 Purchase $ (155;217) $ (41',478) SENA MALIN Aug -10 31,000 $ 171,740 Purchase BP MALIN Sep -10 30,000 $ 207,300 Purchase $ (78,810) SENA MALIN Sep -10 45,000 $ 339,300 Purchase $ (146,565) $ 5,280 JP Morgan CG Sep -10 (32,100) $ 153,759 Sale JP Morgan MALIN Sep -10 32,100 $ 142,524 Purchase $ (5,040) SENA MALIN Sep -10 30,000 $ 166,200 Purchase $ (37,710) SENA CG Sep -10 (27,000) $ - Sale $ - SENA CG Sep -10 99,000 $ - Purchase $ - BP MALIN Oct -10 31,000 $ 214,210 Purchase $ (72,958) BP MALIN Oct -10 31,000 $ 262,260 Purchase $ (121,009) $ (121,474) SENA MALIN Oct -10 31,000 $ 262,725 Purchase SENA MALIN Oct -10 31,000 $ 171,740 Purchase $ (30,488) SENA CG Oct -10 192,200 $ - Purchase $ - SENA CG Oct -10 (31,000) $ - Sale $ - SENA MALIN Nov -10 30,000 $ 254,250 Purchase $ (105,555) BP MALIN Nov -10 30,000 $ 296,175 Purchase $ (147,480) BP MALIN Nov -10 30,000 $ 253,800 Purchase $ (105,105) SENA MALIN Nov -10 29,100 $ 215,631 Purchase $ (71,397) SENA CG Nov -10 45,000 $ 328,050 Purchase $ (89,145) SENA MALIN Nov -10 60,000 $ 379,200 Purchase $ (81,810) BP MALIN Dec -10 31,000 $ 306,048 Purchase $ (146,568) $ (103,246) SENA MALIN Dec -10 31,000 $ 262,725 Purchase Sempra MALIN Dec -10 31,000 $ 276,907 Purchase $ (117,428) SENA CG Dec -10 46,500 $ 338,985 Purchase $ (83,374) SENA MALIN Dec -10 30,070 -$ 222,819 Purchase $ (68,124) SENA MALIN Dec -10 31,000 $ 251,410 Purchase $ (91,930) BP MALIN Dec -10 31,000 $ 262,260 Purchase $ (102,781) BP CG Dec -10 31,000 $ 218,860 Purchase $ (48,453) BP MALIN Jan -11 31,000 $ 306,048 Purchase $ (147,901) $ (118,761) Sempra MALIN Jan -11 31,000 $ 276,907 Purchase SENA MALIN Jan -11 30,070 $ 222,819 Purchase $ (69,417) BP MALIN Jan -11 31,000 $ 262,260 Purchase $ (104,114) SENA MALIN Jan -11 31,000 $ 262,725 Purchase $ (104,579) SENA MALIN Jan -11 31,000 $ 251,410 Purchase $ (93,263) BP CG Jan -11 31,000 $ 218,860 Purchase $ (49,786) SENA CG Jan -11 46,500 $ 338,985 Purchase $ (85,374) Sempra MALIN Feb -11 28,000 $ 250,110 Purchase $ (109,872) BP MALIN Feb -11 28,000 $ 276,430 Purchase $ (136,192) $ (138,502) SENA MALIN Feb -11 28,000 $ 278,740 Purchase SENA MALIN Feb -11 28,000 $ 227,080 Purchase $ (86,842) BP CG Feb -11 28,000 $ 197,680. Purchase $ (47,572) SENA MALIN Feb -11 28,000 $ 180,600 Purchase $ (40,362) SENA MALIN Feb -11 27,160 $ 201,256 Purchase $ (65,225) BP MALIN Mar -11 31,000 $ 306,048 Purchase $ (157,511) SENA MALIN Mar -11 30,070 $ 222,819 Purchase $ (78,738) Sempra MALIN Mar -11 31,000 $ 276,907 Purchase $ (128,371) SENA MALIN Mar -11 31,000 $ 194,060 Purchase $ (45,524) Attachment D. Gas Portfolio Detail 1? tlanumfreiszfr SENA MALIN Mar -11 31,000 $ 199,950 Purchase $ (51,413) SENA MALIN Mar -11 31,000 $ 308,605 Purchase $ (160,068) $ (49,185) SENA MALIN Apr -11 30,000 $ , 193,500 Purchase SENA MALIN Apr -11 30,000 $ 285,600 Purchase $ (141,285). $ (154,335) $ (43,035) SENA MALIN Apr -11 30,000 $ 298,650 Purchase Powerex MALIN Apr -11 30,000 $ 187,350 Purchase 'SENA MALIN Apr -11 30,000 $ 187,800 Purchase $ (43,485) SENA MALIN May -11 31,000 $ 308,605 Purchase $ (157,898) $ (144,414) $ (42,888) SENA MALIN May -11 31,000 $ 295,120 Purchase Powerex MALIN May -11 31,000 $ 193,595 Purchase SENA MALIN Jun -11 30,000 $ 298,650 Purchase $ (150,945) $ (39,645) Powerex MALIN Jun -11 30,000 $ 187,350 Purchase SENA MALIN Jul -11 31,000 $ 241,800 Purchase $ (87,715) Powerex MALIN Jul -11 31,000 $ 193;595 Purchase $ (39,509) Powerex MALIN Aug -11 31,000 $ 193,595 Purchase $ (38,486) SENA MALIN Aug -11 31,000 $ 241,800 Purchase $ (86,692) SENA MALIN Sep -11 30,000 $ 234,000 Purchase $ (81,345) Powerex MALIN Sep -11 30,000 $ 187,350 Purchase $ (34,695) SENA . MALIN Oct -11 31,000 $ 241,800 Purchase $ (76,772) Powerex MALIN Oct -11 31,000 $ 193,595 Purchase $ (28,566) BP MALIN Nov -11 30,000 $ 216,300 Purchase $ (48,435) SENA MALIN Nov -11 30,000 $ 207,300 Purchase $ (39,435) BP MALIN Nov -11 59,100 $ 446,796 Purchase $ (116,102) SENA MALIN Nov -11 30,000 $ 204,900 Purchase $ (37,035) SENA MALIN Dec -11 31,000 $ 211,730 Purchase $ (32,503) SENA MALIN Dec -11 31,000 $ 214,210 Purchase $ (34,983) SENA MALIN Dec -11 31,000 $ 215,760 Purchase $ (36,534) BP MALIN Dec -11 61,070 $ 461,689 Purchase $ (108,613) $ (44,284) BP MALIN Dec -11 31,000 $ 223,510 Purchase SENA MALIN . Jan -12 31,000 $ 216,845 Purchase $ (39,540) SENA MALIN Jan -12 30,070 $ 207,483 Purchase $ (35,498) SENA MALIN Jan -12 31,000 $ 211,730 Purchase $ (34,425) SENA MALIN Jan -12 31,000 $ 215,760 Purchase $ (38,456) BP MALIN Jan -12 31,000 $ 223,510 Purchase $ (46,206) Sempra MALIN Jan -12 31,000 $ 219,790 Purchase $ (42,486) SENA MALIN Feb -12 28,130 $ 194,097 Purchase $ (37,765) SENA MALIN Feb -12 29,000 $ 202,855 Purchase $ (41,687) BP MALIN Feb -12 29,000 $ 209,090 Purchase $ (47,923) Sempra MALIN Feb -12 29,000 $ 205,610 Purchase $ (44,443) Sempra MALIN Mar -12 31,000 $ 219,790 Purchase $ (61,303) SENA MALIN Mar -12 30,070 $ 207,483 Purchase $ (53,750) BP MALIN Mar -12 31,000 $ 223,510 Purchase $ (65,023) SENA MALIN Mar -12 31,000 $ 216,845 Purchase $ (58,357) SENA { MALIN Apr -12 45,000 $ 293,850 Purchase $ (63,563) SENA MALIN Apr -12 29,100 $ 200,790 Purchase $ (51,871) SENA MALIN May -12 46,500 $ 303,645 Purchase $ (63,914) SENA MALIN Jun -12 45,000 $ 293,850 Purchase $ (59,153) Powerex MALIN Jul -12 31,000 $ 195,300 Purchase $ (32,225) Powerex MALIN Aug -12 31,000 $ 195,300 Purchase $ (31,295) Powerex MALIN Sep -12 30,000 $ 189,000 Purchase $ (27,585) SENA MALIN Oct -12 31,000 $ 207,390 Purchase $ (34,271) Powerex MALIN Oct -12 31,000 $ 195,300 Purchase $ (22,181) Sempra MALIN Nov -12 30,000 $ 192,300 Purchase $ (17,925) SENA MALIN Nov -12 30,000 $ 200,700 Purchase $ (26,325) SENA MALIN Dec -12 31,000 $ 207,390 Purchase $ (21,623) Sempra MALIN Dec -12 31,000 $ 198,710 Purchase $ (12,942) SENA MALIN Jan -13 31,000 $ 207,390 Purchase $ (23,328) Sempra MALIN Jan -13 31,000 $ 198,710 Purchase $ (14,647) Sempra MALIN Feb -13 28,000 $ 179,480 Purchase $ (17,990) Sempra MALIN Mar -13 31,000 $ 198,710 Purchase $ (33,402) tne'F wwlAw - s54614-1 }sYA'`�