The following is a summary of daily losses attributable to our 5-day rolling loss limit violation.  The majority of the loss was attributable to curve shift in response to various market factors such as warmer than normal temperatures in the front end and mean reversions to market prices subsequent to widespread sell-offs.  A detailed breakdown of curve shift by day is as follows: 


7/3:  The majority of the $(13)M loss was attributable to power curve shift in the following regions: 

Northeast:   $(3.3)M
Midwest:     $(3.3)M 
Southeast:  $(1.5)M
Ercot:  	$(4.6)M

7/5:  The majority of the $(14)M loss was attributable to power curve shift in the following regions:
Midwest:     $(12)M 
Ercot:  	$(1.5)M

7/6:  Power East lost approximately $(21)M in both power and gas curve shift. Power curve shift by region was as follows: 

Northeast:   $(2)M
Midwest:     $(10)M 
Southeast:  $(1)M
Ercot:  	$(1.8)M

An additional loss related to gas curve shift occurred in the following books:

Ercot:    $(2.6)M
Mgmt:   $(2.5)M    


Please let me know if you have further questions.

Thanks!
Casey
3-4361