Exhibit 99.1
News Release
Media Contacts: | Doug Kline/Ralph Richardson |
Financial Contacts: | Dennis Arriola/Karen Sedgwick |
SEMPRA ENERGY ANNOUNCES
SECOND-QUARTER 2003 EARNINGS
SAN DIEGO, Aug. 7, 2003 -- Sempra Energy today reported unaudited second-quarter 2003 earnings of $116 million, or $0.55 per diluted share, compared with $147 million, or $0.71 per diluted share, for the same period of 2002.
Second-quarter 2002 earnings included a $25 million, or $0.12 per diluted share, after-tax benefit at San Diego Gas & Electric (SDG&E) from the favorable resolution of tax issues from prior years and an extraordinary gain of $2 million, or $0.01 per diluted share, related to Sempra Energy Trading's acquisition of the metals business.
Year-to-date, Sempra Energy reported earnings of $204 million, or $0.98 per diluted share, in 2003, compared with $293 million, or $1.42 per diluted share, during the first six months of 2002.
Year-to-date 2003 results reflect the $45 million, or $0.21 per diluted share, negative effects of implementing new accounting principle EITF 02-3. The components of this non-cash reduction in earnings consist of $29 million, or $0.14 per diluted share, reflected as a cumulative-effect adjustment at Dec. 31, 2002, and an additional $16 million, or $0.07 per diluted share, for the year-to-date effect of the change. EITF 02-3 eliminated mark-to-market accounting for certain commodity-trading assets, changing the timing for revenue recognition.
Revenues for Sempra Energy rose 20 percent to $1.8 billion in the second quarter 2003 from $1.5 billionin the second quarter 2002. Increased revenues during the second quarter this year resulted from higher commodity prices, primarily at Sempra Energy Utilities, and from SDG&E's resuming the purchase of a portion of its power requirements in 2003.
Earnings Outlook
The company expects reported 2003 earnings-per-share to be in the range of $2.70 to $2.90.
"Our businesses remain on track to meet our operating expectations for the year," said Stephen L. Baum, chairman, president and chief executive officer of Sempra Energy. "Our new guidance is on a reported per-share basis. It reflects an anticipated favorable resolution of tax issues that are expected to more than offset the cumulative effect of mandated accounting changes."
Baum said the new earnings guidance reflects the effect of several non-cash items, including the previously identified cumulative effect of $0.14 per diluted share related to EITF 02-3. In addition, in the third quarter 2003, the company will adopt FASB Interpretation No. 46 (FIN 46), requiring the consolidation of its variable interest entities. The adoption of FIN 46 is expected to result in a non-cash cumulative downward adjustment to earnings of approximately $0.14 per diluted share. The anticipated favorable resolution of tax issues relates primarily to utility balancing accounts.
Sempra Energy Utilities
Sempra Energy Utilities contributed net income of $78 million in the second quarter 2003, compared with net income of $102 million in the second quarter last year. Second-quarter 2002 earnings included the $25 million tax benefit at SDG&E.
Net income at both SDG&E and Southern California Gas Co. (SoCalGas) were negatively impacted by the end of merger savings allocated to shareholders. From 1998, when Sempra Energy was formed, through 2002, both utilities benefited from sharing in savings from the merger.
SDG&E reported net income in the second quarter 2003 of $41 million, down from $51 million for the same period in 2002. Absent the $25 million tax benefit, SDG&E's net income improved primarily due to increased revenues from electric distribution and transmission operations.
Net income for SoCalGas decreased in the second quarter 2003 to $37 million from $51 million in the same period in 2002, due to the loss of sharing merger savings and higher operating expenses.
Sempra Energy Trading
Sempra Energy Trading reported net income of $35 million for the second quarter 2003, up 67 percent from $21 million in the year-earlier period, as trading volumes and margins improved, with significant gains in natural gas and oil trading.
Excluding the EITF 02-3 quarterly impact of $7 million, Sempra Energy Trading's second-quarter 2003 earnings would have been $42 million.
"The fundamentals of our trading operation remain solid," said Baum. "During the second quarter, the volume of our customer transactions grew, demonstrating the strength of this business in both volatile and stable commodity markets. We focus on a short-dated portfolio of customer contracts that convert into cash relatively quickly -- the majority in less than one year. "
Sempra Energy Resources
Sempra Energy Resources, the wholesale power-generation subsidiary of Sempra Energy, reported net income of $5 million in the second quarter 2003, compared with $34 million in the second quarter 2002. Lower 2003 second-quarter earnings were primarily related to the requirements of its contract with the California Department of Water Resources (CDWR).
"Under our contract with the CDWR, a substantial portion of the power deliveries are scheduled for the second half of the year, so we are on track at Sempra Energy Resources to reach our 2003 target of $55 million to $65 million," Baum said.
Sempra Energy Resources has brought online three new, state-of-the-art power plants operating in Arizona, California and Mexico, representing a combined total of about 1,500 megawatts, producing power to help meet the energy needs of the Pacific Southwest. An additional generating unit of 625 megawatts at the Arizona power plant is scheduled to be operational by December 2003.
Sempra Energy Resources received two favorable regulatory and court rulings, one by the Federal Energy Regulatory Commission June 25, 2003, and another by the California Superior Court May 20, 2003, upholding the company's 10-year contract with the CDWR.
In another positive ruling for the company, a U.S. District Court decision July 9, 2003, allowed for the continued import of power into the United States from Sempra Energy Resources' Termoelectrica de Mexicali 600-megawatt natural gas-fueled power plant in Mexico. The plant is designed to be one of the cleanest in North America.
Baum said the company expects to prevail in any appeals of these matters.
Sempra Energy International
For the second quarter of 2003, Sempra Energy International's net income rose to $18 million from $9 million during the same quarter in 2002, primarily due to the successful resolution of a dispute related to the company's South American operations.
The company continues development of two liquefied natural gas (LNG) receiving terminals in Baja California, Mexico, and Louisiana. The Baja California facility, Energia Costa Azul, has received its environmental permit from Mexican regulators and two other key permits -- one for operations and, the other, for local land use -- are expected to be granted in the third quarter 2003. The Louisiana terminal, Cameron LNG, also is in the permitting phase and is expected to receive final regulatory approvals by the end of the year. Energia Costa Azul and Cameron LNG are scheduled to be operational by 2006 and 2007, respectively.
Sempra Energy Solutions
Sempra Energy Solutions, which offers energy outsourcing and commodity services to commercial and industrial customers, recorded net income of $8 million in the second quarter 2003, compared with net income of $5 million in the same period in 2002.
Internet Broadcast
Sempra Energy will broadcast a live discussion of its earnings results over the Internet today at 1 p.m. EDT with Baum; Neal E. Schmale, executive vice president and chief financial officer, Sempra Energy; Donald E. Felsinger, group president, Sempra Energy Global Enterprises; Edwin A. Guiles, group president, Sempra Energy Utilities; Frank H. Ault, senior vice president and controller, Sempra Energy; and Dennis V. Arriola, vice president of communications and investor relations, Sempra Energy. Access is available by logging onto the Web site atwww.sempra.com. For those unable to log onto the live Webcast, the teleconference will be available on replay a few hours after its conclusion by dialing (888) 203-1112 and entering passcode number 745256.
Sempra Energy (NYSE: SRE), based in San Diego, is a Fortune 500 energy services holding company with 2002 revenues of $6 billion. The Sempra Energy companies' 12,000 employees serve more than 9 million customers in the United States, Europe, Canada, Mexico, South America and Asia.
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Sempra Energy Trading, Sempra Energy Resources, Sempra Energy International and Sempra Energy Solutions are not the same as the utilities, San Diego Gas & Electric and Southern California Gas Co.
This press release contains statements that are not historical fact and constitute forward-looking statements within the meaning of the Private Securities Legislation Reform Act of 1995. When the company uses words like "believes," "expects," "anticipates," "intends," "plans," "estimates," "may," "would," "should" or similar expressions, or when the company discusses its strategy or plans, the company is making forward-looking statements. Forward-looking statements are not guarantees of performance. They involve risks, uncertainties and assumptions. Future results may differ materially from those expressed in the forward-looking statements. Forward-looking statements are necessarily based upon various assumptions involving judgments with respect to the future and other risks, including, among others: national, international, regional and local economic, competitive, political, legislative and regulatory conditions and developments; actions by the California Public Utilities Commission, the California State Legislature, the California Department of Water Resources and the Federal Energy Regulatory Commission; capital market conditions, inflation rates and interest rates; energy and trading markets, including the timing and extent of changes in commodity prices; weather conditions; business, regulatory and legal decisions; the pace of deregulation of retail natural gas and electricity delivery; the timing and success of business development efforts; and other uncertainties, all of which are difficult to predict and many of which are beyond the company's control. These risks and uncertainties are further discussed in the company's reports filed with the Securities and Exchange Commission that are available through the EDGAR system without charge at its Web site, www.sec.gov.
SEMPRA ENERGY | ||||||||
Table A | ||||||||
STATEMENTS OF CONSOLIDATED INCOME (Unaudited) | ||||||||
Three months ended | Six months ended | |||||||
June 30, | June 30, | |||||||
(Dollars in millions, except per share amounts) | 2003 |
| 2002 | 2003 |
| 2002 | ||
Operating Revenues | ||||||||
California utilities: | ||||||||
Natural gas | $ 929 | $ 754 | $ 2,091 | $ 1,634 | ||||
Electric | 397 | 323 | 792 | 604 | ||||
Other | 514 | 411 | 880 | 725 | ||||
Total | 1,840 | 1,488 | 3,763 | 2,963 | ||||
Operating Expenses | ||||||||
California utilities: | ||||||||
Cost of natural gas distributed | 480 | 305 | 1,157 | 729 | ||||
Electric fuel and net purchased power | 137 | 79 | 300 | 140 | ||||
Other cost of sales | 296 | 206 | 515 | 338 | ||||
Other operating expenses | 518 | 475 | 963 | 890 | ||||
Depreciation and amortization | 149 | 152 | 297 | 300 | ||||
Franchise fees and other taxes | 57 | 43 | 113 | 87 | ||||
Total | 1,637 | 1,260 | 3,345 | 2,484 | ||||
Operating Income | 203 | 228 | 418 | 479 | ||||
Other income - net | 9 | 8 | 4 | 27 | ||||
Interest income | 10 | 10 | 22 | 21 | ||||
Interest expense | (71) | (78) | (145) | (147) | ||||
Preferred dividends / distributions by subsidiaries | (8) | (8) | (15) | (15) | ||||
Income before income taxes | 143 | 160 | 284 | 365 | ||||
Income taxes | 27 | 15 | 51 | 74 | ||||
Income before extraordinary item and cumulative effect of | ||||||||
change in accounting principle | 116 | 145 | 233 | 291 | ||||
Extraordinary item, net of tax | - | 2 | - | 2 | ||||
Income before cumulative effect of change in accounting principle | 116 | 147 | 233 | 293 | ||||
Cumulative effect of change in accounting principle, net of tax | - | - | (29) | - | ||||
Net Income | $ 116 | $ 147 | $ 204 | $ 293 | ||||
Weighted-average number of shares outstanding: | ||||||||
Basic* | 207,626 | 205,354 | 207,013 | 205,105 | ||||
Diluted* | 210,164 | 207,084 | 208,882 | 206,729 | ||||
Income before extraordinary item and cumulative effect of | ||||||||
change in accounting principle per share of common stock | ||||||||
Basic | $ 0.56 | $ 0.71 | $ 1.13 | $ 1.42 | ||||
Diluted | $ 0.55 | $ 0.70 | $ 1.12 | $ 1.41 | ||||
Income before cumulative effect of change in accounting | ||||||||
principle per share of common stock | ||||||||
Basic | $ 0.56 | $ 0.72 | $ 1.13 | $ 1.43 | ||||
Diluted | $ 0.55 | $ 0.71 | $ 1.12 | $ 1.42 | ||||
Net income per share of common stock | ||||||||
Basic | $ 0.56 | $ 0.72 | $ 0.99 | $ 1.43 | ||||
Diluted | $ 0.55 | $ 0.71 | $ 0.98 | $ 1.42 | ||||
Dividends declared per share of common stock | $ 0.25 | $ 0.25 | $ 0.50 | $ 0.50 | ||||
*In thousands of shares | ||||||||
SEMPRA ENERGY | |||||
Table B | |||||
CONSOLIDATED BALANCE SHEETS (Unaudited) | |||||
Balance at | |||||
June 30, | December 31, | ||||
(Dollars in millions) | 2003 |
| 2002 | ||
Assets | |||||
Current assets: | |||||
Cash and cash equivalents | $ 325 | $ 455 | |||
Accounts receivable | 822 | 889 | |||
Due from unconsolidated affiliates | 144 | 80 | |||
Deferred income taxes | 77 | 20 | |||
Trading assets | 4,853 | 5,064 | |||
Regulatory assets arising from fixed-price contracts and other derivatives | 146 | 151 | |||
Other regulatory assets | 90 | 75 | |||
Inventories | 129 | 134 | |||
Other | 137 | 142 | |||
Total current assets | 6,723 | 7,010 | |||
Investments and other assets: | |||||
Fixed-price contracts and other derivatives | 36 | 42 | |||
Due from unconsolidated affiliates | 54 | 57 | |||
Regulatory assets arising from fixed-price contracts and other derivatives | 740 | 812 | |||
Other regulatory assets | 490 | 532 | |||
Nuclear-decommissioning trusts | 534 | 494 | |||
Investments | 1,446 | 1,313 | |||
Sundry | 723 | 665 | |||
Total investments and other assets | 4,023 | 3,915 | |||
Property, plant and equipment - net | 7,477 | 6,832 | |||
Total assets | $ 18,223 | $ 17,757 | |||
Liabilities and Shareholders' Equity | |||||
Current liabilities: | |||||
Short-term debt | $ 311 | $ 570 | |||
Accounts payable | 749 | 744 | |||
Income taxes payable | 4 | 22 | |||
Trading liabilities | 4,141 | 4,094 | |||
Dividends and interest payable | 136 | 133 | |||
Regulatory balancing accounts - net | 666 | 578 | |||
Regulatory liabilities | 11 | 18 | |||
Fixed-price contracts and other derivatives | 151 | 153 | |||
Current portion of long-term debt | 204 | 281 | |||
Other | 622 | 654 | |||
Total current liabilities | 6,995 | 7,247 | |||
Long-term debt | 4,214 | 4,083 | |||
Deferred credits and other liabilities: | |||||
Due to unconsolidated affiliate | 162 | 162 | |||
Customer advances for construction | 96 | 91 | |||
Post-retirement benefits other than pension | 138 | 136 | |||
Deferred income taxes | 791 | 800 | |||
Deferred investment tax credits | 87 | 90 | |||
Fixed-price contracts and other derivatives | 827 | 813 | |||
Regulatory liabilities | 117 | 121 | |||
Regulatory liabilities arising from asset retirement obligations | 241 | - | |||
Asset retirement obligations | 309 | - | |||
Deferred credits and other liabilities | 812 | 985 | |||
Total deferred credits and other liabilities | 3,580 | 3,198 | |||
Preferred stock of subsidiaries | 203 | 204 | |||
Mandatory redeemable trust preferred securities | 200 | 200 | |||
Shareholders' equity | 3,031 | 2,825 | |||
Total liabilities and shareholders' equity | $ 18,223 | $ 17,757 | |||
SEMPRA ENERGY | |||||
Table C | |||||
CONDENSED STATEMENTS OF CONSOLIDATED CASH FLOWS (Unaudited) | |||||
Six months ended | |||||
June 30, | |||||
(Dollars in millions) | 2003 |
| 2002 | ||
Cash Flows from Operating Activities: | |||||
Net income | $ 204 | $ 293 | |||
Adjustments to reconcile net income to net cash provided by operating | |||||
activities: | |||||
Extraordinary item, net of tax | - | (2) | |||
Cumulative effect of change in accounting principle | 29 | - | |||
Depreciation and amortization | 297 | 300 | |||
Deferred income taxes and investment tax credits | (25 | ) | (54) | ||
Other - net | 39 | 17 | |||
Changes in other assets | (48 | ) | 32 | ||
Changes in other liabilities | 12 | 23 | |||
Net changes in other working capital components | 248 | 145 | |||
Net cash provided by operating activities | 756 | 754 | |||
Cash Flows from Investing Activities: | |||||
Expenditures for property, plant and equipment | (441 | ) | (559) | ||
Investments and acquisitions of affiliates, net of cash acquired | (134 | ) | (199) | ||
Dividends received from unconsolidated affiliates | - | 9 | |||
Loan to unconsolidated affiliate | (64 | ) | - | ||
Other - net | - | (10) | |||
Net cash used in investing activities | (639 | ) | (759) | ||
Cash Flows from Financing Activities: | |||||
Common stock dividends | (104 | ) | (102) | ||
Issuances of common stock | 50 | 11 | |||
Repurchases of common stock | (6 | ) | (4) | ||
Issuances of long-term debt | 400 | 800 | |||
Payments of long-term debt | (339 | ) | (303) | ||
Decrease in short-term debt | (240 | ) | (462) | ||
Other - net | (8 | ) | (18) | ||
Net cash used in financing activities | (247 | ) | (78) | ||
Decrease in cash and cash equivalents | (130 | ) | (83) | ||
Cash and cash equivalents, January 1 | 455 | 605 | |||
Cash and cash equivalents, June 30 | $ 325 | $ 522 | |||
Supplemental Disclosure of Cash Flow Information: | |||||
Interest payments, net of amounts capitalized | $ 136 | $ 141 | |||
Income tax payments, net of refunds | $ 94 | $ 24 | |||
Supplemental Schedule of Non-cash Investing and Financing | |||||
Activities: | |||||
Acquisition of subsidiaries: | |||||
Assets acquired | $ - | $ 1,210 | |||
Cash paid | - | (199) | |||
Liabilities assumed | $ - | $ 1,011 | |||
SEMPRA ENERGY | ||||||||||
Table D | ||||||||||
BUSINESS UNIT EARNINGS AND CAPITAL EXPENDITURES & INVESTMENTS (Unaudited) | ||||||||||
Three months ended | Six months ended | |||||||||
June 30, | June 30, | |||||||||
(Dollars in millions) | 2003 |
| 2002 | 2003 |
| 2002 | ||||
Net Income: | ||||||||||
California Utilities: | ||||||||||
San Diego Gas & Electric | $ 41 | $ 51 | $ 86 | $ 104 | ||||||
Southern California Gas | 37 | 51 | 95 | 111 | ||||||
Total California Utilities | 78 | 102 | 181 | 215 | ||||||
Global Enterprises: | ||||||||||
Trading | 35 | 21 | (1) | 17 | (2) | 63 | (1) | |||
Resources | 5 | 34 | 15 | 31 | ||||||
International | 18 | 9 | 25 | 17 | ||||||
Solutions | 8 | 5 | 7 | (2) | 6 | |||||
Total Global Enterprises | 66 | 69 | 64 | 117 | ||||||
Financial | 8 | 7 | 19 | 14 | ||||||
Parent & Other | (36 | ) | (31 | ) | (60 | ) | (53 | ) | ||
Consolidated Net Income | $ 116 | $ 147 | $ 204 | $ 293 | ||||||
(1) | Includes $2 extraordinary gain | |||||||||
(2) | Consolidated net income includes ($29) cumulative effect of change in accounting principle. The effects to Trading and Solutions were ($28) and ($1), respectively. | |||||||||
Three months ended | Six months ended | |||||||||
June 30, | June 30, | |||||||||
(Dollars in millions) | 2003 |
| 2002 | 2003 |
| 2002 | ||||
Capital Expenditures and Investments: | ||||||||||
California Utilities: | ||||||||||
Southern California Gas | $ 77 | $ 73 | $ 135 | $ 143 | ||||||
San Diego Gas & Electric | 94 | 105 | 183 | 182 | ||||||
Total California Utilities | 171 | 178 | 318 | 325 | ||||||
Global Enterprises: | ||||||||||
Resources | 87 | 204 | 171 | 260 | ||||||
Trading | 5 | 52 | 12 | 102 | ||||||
International | 29 | 22 | 55 | 47 | ||||||
Total Global Enterprises | 121 | 278 | 238 | 409 | ||||||
Parent & Other | 10 | 13 | 19 | 24 | ||||||
Consolidated Capital Expenditures and Investments | $ 302 | $ 469 | $ 575 | $ 758 | ||||||
SEMPRA ENERGY | |||||||||||||
Table E | |||||||||||||
OTHER OPERATING STATISTICS (Unaudited) | |||||||||||||
Three months ended | Six months ended | ||||||||||||
June 30, | June 30, | ||||||||||||
CALIFORNIA UTILITIES | 2003 |
| 2002 | 2003 |
| 2002 | |||||||
Revenues (Dollars in millions) | |||||||||||||
SDG&E (excludes intercompany sales) | $ 514 | $ 413 | $ 1,073 | $ 845 | |||||||||
SoCalGas (excludes intercompany sales) | $ 812 | $ 664 | $ 1,810 | $ 1,393 | |||||||||
Gas Sales (BCF) | 89 | 86 | 214 | 228 | |||||||||
Transportation and Exchange (BCF) | 113 | 133 | 247 | 271 | |||||||||
Total Deliveries (BCF) | 202 | 219 | 461 | 499 | |||||||||
Total Gas Customers (Thousands) | 6,166 | 6,089 | |||||||||||
Electric Sales (Millions of kWhs) | 3,454 | 3,341 | 7,063 | 6,865 | |||||||||
Direct Access (Millions of kWhs) | 759 | 890 | 1,565 | 1,693 | |||||||||
Total Deliveries (Millions of kWhs) | 4,213 | 4,231 | 8,628 | 8,558 | |||||||||
Total Electric Customers (Thousands) | 1,289 | 1,268 | |||||||||||
RESOURCES |
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Power Sold (Millions of kWhs) | 1,962 | 928 | 3,365 | 1,434 | |||||||||
SOLUTIONS |
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Revenues (Dollars in millions) | $ 55 | $ 43 | $ 97 | $ 81 | |||||||||
INTERNATIONAL | |||||||||||||
(Represents 100% of these subsidiaries, although only the Mexican subsidiaries are 100% owned by Sempra Energy). | |||||||||||||
Natural Gas Sales (BCF) | |||||||||||||
Argentina | 67 | 65 | 109 | 103 | |||||||||
Mexico | 10 | 12 | 19 | 21 | |||||||||
Chile | - | - | 1 | 1 | |||||||||
Natural Gas Customers (Thousands) | |||||||||||||
Argentina | 1,387 | 1,336 | |||||||||||
Mexico | 87 | 79 | |||||||||||
Chile | 36 | 35 | |||||||||||
Electric Sales (Millions of kWhs) | |||||||||||||
Peru | 994 | 985 | 2,012 | 1,961 | |||||||||
Chile | 444 | 428 | 925 | 896 | |||||||||
Electric Customers (Thousands) | |||||||||||||
Peru | 724 | 712 | |||||||||||
Chile | 488 | 480 | |||||||||||
SEMPRA ENERGY | |||||||
Table E (Continued) | |||||||
TRADING |
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Three months ended | Six months ended | ||||||
June 30, | June 30, | ||||||
Trading Margin (Dollars in millions) | 2003 | 2002 | 2003 | 2002 | |||
Geographical: | |||||||
North America | $ 89 | $ 63 | $ 151 | $ 153 | |||
Europe/Asia | 51 | 37 | 73 | 84 | |||
Total | $ 140 | $ 100 | $ 224 | $ 237 | |||
Product Line: | |||||||
Gas | $ 62 | $ 50 | $ 92 | $ 117 | |||
Power | 14 | 27 | 12 | 50 | |||
Oil - Crude & Products | 18 | 1 | 50 | 40 | |||
Metals | 19 | 25 | 26 | 29 | |||
Other | 27 | (3) | 44 | 1 | |||
Total | $ 140 | $ 100 | $ 224 | $ 237 | |||
Physical Statistics |
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Natural Gas (BCF/Day) | 13.2 | 9.0 | 13.4 | 9.3 | |||
Electric (Billions of kWhs) | 65.3 | 29.2 | 65.7 | 52.0 | |||
Oil & Liquid Products (Millions Bbls/Day) | 1.9 | 1.8 | 1.7 | 2.1 | |||
Fair | |||||||
Market Value | |||||||
June 30, | Scheduled Maturity (in months) | ||||||
Liquidity of Net Unrealized Revenue (Dollars in millions) | 2003 | 0 - 12 | 13 - 24 | 25 - 36 | > 36 | ||
Sources of Over-the-Counter (OTC) Fair Value: | |||||||
Prices actively quoted | $ 354 | $ 407 | $ (72) | $ 12 | $ 7 | ||
Prices provided by other external sources | (2) | (5) | (2) | - | 5 | ||
Prices based on models and other valuation methods | 26 | 7 | 5 | 1 | 13 | ||
Total OTC Fair Value (1) | 378 | 409 | (69) | 13 | 25 | ||
Maturity of OTC Fair Value | |||||||
Percentage | 100.0% | 108.2% | (18.2%) | 3.4% | 6.6% | ||
Cumulative Percentages |
| 108.2% | 90.0% | 93.4% | 100.0% | ||
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Exchange Contracts (2) | $ 76 | $ 19 | $ 38 | $ 13 | $ 6 | ||
Total Net Unrealized Revenue | $ 454 | ||||||
(1) The present value of net unrealized revenue to be received (paid) from outstanding OTC contracts | |||||||
(2) Cash (paid) received associated with open Exchange Contracts | |||||||
June 30, | March 31, | December 31, | September 30, | June 30, | |||
Credit Quality of Unrealized Trading Assets (net of margin) | 2003 | 2003 | 2002 | 2002 | 2002 | ||
Commodity Exchanges | 6% | 7% | 3% | 6% | 11% | ||
Investment Grade | 71% | 62% | 67% | 69% | 69% | ||
Below Investment Grade | 23% | 31% | 30% | 25% | 20% | ||
Three months ended | Six months ended | ||||||
June 30, | June 30, | ||||||
Risk Adjusted Performance Indicators | 2003 | 2002 | 2003 | 2002 | |||
VaR at 95% (Dollars in millions) (1) | $ 5.6 | $ 5.4 | $ 7.7 | $ 5.9 | |||
VaR at 99% (Dollars in millions) (2) | $ 7.9 | $ 7.6 | $ 10.9 | $ 8.4 | |||
Risk Adjusted Return on Capital (RAROC) (3) | 38% | 24% | 22% | 29% | |||
(1) Average Daily Value-at-Risk for the period using a 95% confidence level | |||||||
(2) Average Daily Value-at-Risk for the period using a 99% confidence level | |||||||
(3) Average Daily Trading Margin/Average Daily VaR at 95% confidence level | |||||||