Exhibit 99.1
News Release
Media Contacts: | Doug Kline/Ralph Richardson |
Analysts Contacts: | Dennis Arriola/Karen Sedgwick |
SEMPRA ENERGY THIRD-QUARTER
EARNINGS PER SHARE RISE 37 PERCENT
- California Utilities Continue Solid Performance
- Electric Generation Business Contributes Steady Earnings Stream
- Company Affirms Earnings Guidance of $2.70 to $2.90 per Share for 2003 and $2.60 to $2.90 per Share for 2004
SAN DIEGO, Nov. 6, 2003--Sempra Energy (NYSE: SRE) today reported earnings for the third quarter 2003 of $211 million, or $1.00 per diluted share, up 37 percent per share over third-quarter 2002 earnings of $150 million, or $0.73 per diluted share.
Third-quarter 2003 results reflected several unusual items. Excluding these items, for comparison purposes, Sempra Energy's third-quarter 2003 earnings would have been $232 million, or $1.09 per diluted share, an increase of 49 percent over third-quarter 2002 earnings per share.
Unusual items in the third quarter 2003 included a positive contribution of $65 million, or $0.31 per diluted share, from the settlement of litigation with the California Public Utilities Commission (CPUC) related to intermediate-term power-purchase contracts owned by San Diego Gas & Electric (SDG&E). Third-quarter 2003 results also included after-tax charges of $47 million, or $0.22 per diluted share, related to the write-down of the carrying value of assets of Frontier Energy, a North Carolina-based gas utility subsidiary, as well as $37 million, or $0.17 per diluted share, for litigation costs at Southern California Gas Co. (SoCalGas) and SDG&E, and for losses associated with a sublease on portions of the SoCalGas headquarters building in Los Angeles. Finally, Sempra Energy recorded a negative impact of $2 million, after tax, in the third quarter 2003 to cover the settlement announced last week by Sempra Energy Trading with Federal Energy Regulatory Commission (FERC) staff on several iss ues involved in FERC's investigation of participants in Western U.S. energy markets during 2000 and 2001.
"We are pleased with our strong third-quarter results," said Stephen L. Baum, chairman, president and chief executive officer of Sempra Energy. "Our California utilities continue to perform well and SDG&E will see future growth in rate base as it returns to its role as a full-service provider. Additionally, through its contracting strategy, Sempra Energy Resources is producing a steady income stream that has become a reliable and consistent contributor to our earnings."
Sempra Energy generated revenues of $2.1 billion in the third quarter 2003, up from $1.4 billion in the same quarter last year, primarily due to increased electric sales by Sempra Energy Resources and SDG&E and higher gas revenues at SoCalGas.
For the first nine months of 2003, Sempra Energy recorded earnings of $415 million, or $1.98 per diluted share, compared with $443 million, or $2.15 per diluted share, during the same period last year. Baum affirmed the company's earnings guidance for 2003 of $2.70 to $2.90 per share and, for 2004, of $2.60 to $2.90 per share.
SUBSIDIARY OPERATING RESULTS
Southern California Gas Co.
Net income for SoCalGas in the third quarter 2003 was $53 million, compared with $56 million in the third quarter 2002. Third-quarter 2003 results included the charge for litigation costs and for losses associated with SoCalGas' headquarters sublease.
During the quarter, the CPUC approved $48 million, pre-tax, in incentives for SoCalGas' gas purchasing for the two award years ended March 31, 2002.
San Diego Gas & Electric
Net income for SDG&E in the third quarter 2003 was up sharply to $120 million from $46 million earned in the third quarter 2002. The increase was primarily due to the positive impact of the settlement with the CPUC on the intermediate-term power contracts and higher electric transmission and distribution revenues, offset by the charge for litigation costs.
During the quarter, the CPUC approved $18 million, pre-tax, in incentives for SDG&E's distribution operations for the two years ended Dec. 31, 2002.
"Of special note, I am particularly proud of the dedicated response by SDG&E and SoCalGas employees during last week's devastating wildfires in Southern California," Baum said.
Sempra Energy Trading
Net income for Sempra Energy Trading for the third quarter 2003 rose to $22 million from $10 million in the same period last year, due to the timing of earnings recognition under new accounting principle EITF 02-3. EITF 02-3 eliminated mark-to-market accounting for certain commodity-trading assets and liabilities, changing the timing for revenue recognition.
Excluding the cumulative effect of EITF 02-3 and the pending FERC settlement in 2003, as well as the extraordinary gain from the acquisition of the metals business in 2002, Sempra Energy Trading's earnings for the first nine months of 2003 would have been $70 million, compared with $71 million earned in the same period last year.
Sempra Energy Resources
Sempra Energy Resources, the wholesale power-generation subsidiary of Sempra Energy, reported net income of $33 million in the third quarter 2003, compared with $29 million in the third quarter 2002. The rise in net income was due primarily to the positive contribution from the operations of Twin Oaks Power, the coal-fired Texas power plant that Sempra Energy Resources acquired in November 2002.
Sempra Energy International
Sempra Energy International, which develops and operates utilities in North and South America, reported a quarterly net loss of $32 million, compared with net income of $13 million in the third quarter 2002. The net loss was due to the after-tax charge related to Frontier Energy.
Absent the charge, Sempra Energy International earned $18 million in the third quarter 2003. The improved operating performance was primarily due to increased earnings from the company's Gasoducto Bajanorte natural gas pipeline.
Sempra Energy LNG Corp.
During the quarter, Sempra Energy LNG Corp. received key regulatory approvals for its Energía Costa Azul and Cameron LNG liquefied natural gas (LNG) receiving terminals under development in Baja California, Mexico, and Louisiana.
On Sept. 10, 2003, the company announced that the FERC authorized construction and operation of Cameron LNG, which will be the first new LNG receipt facility built in the United States in more than two decades. On Aug. 18, 2003, the company announced it had received a storage and re-gasification permit for Energía Costa Azul from the Comisión Reguladora de Energía, Mexico's national energy regulatory agency, and a key local land-use permit from the Municipality of Ensenada in Baja California. Construction of both terminals is slated to begin next year with completion expected in 2007.
"With the permitting process nearly complete for both of our LNG receiving terminals and supply negotiations well underway, we have a first-mover advantage in this critical developing market," Baum said.
Sempra Energy Solutions
Results for Sempra Energy Solutions, which offers energy outsourcing and commodity services to commercial and industrial customers, were break-even during the third quarter 2003, compared with $5 million in net income in the third quarter 2002.
Internet Broadcast
Sempra Energy will broadcast a live discussion of its earnings results over the Internet today at 1 p.m. Eastern Time with Baum, Neal E. Schmale, executive vice president and chief financial officer; 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; and Dennis V. Arriola, vice president of communications and investor relations. Access is available by logging onto the Web site at www.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 655829.
Sempra Energy, based in San Diego, is a Fortune 500 energy services holding company with 2002 revenues of $6 billion. The Sempra Energy companies' nearly 12,000 employees serve more than 9 million customers in the United States, Europe, Canada, Mexico, South America and Asia.
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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 Solutions, Sempra Energy Trading, Sempra Energy International, Sempra Energy LNG Corp. and Sempra Energy Resources are not the same companies as the utilities, San Diego Gas & Electric and Southern California Gas Co., and are not regulated by the California Public Utilities Commission.
SEMPRA ENERGY | ||||||||||
Table A | ||||||||||
STATEMENTS OF CONSOLIDATED INCOME (Unaudited) | ||||||||||
Three months ended | Nine months ended | |||||||||
September 30, | September 30, | |||||||||
(Dollars in millions, except per share amounts) | 2003 |
| 2002 | 2003 |
| 2002 | ||||
Operating Revenues | ||||||||||
California utilities: | ||||||||||
Natural gas | $ 870 | $ 658 | $ 2,961 | $ 2,292 | ||||||
Electric | 576 | 358 | 1,368 | 962 | ||||||
Other | 612 | 369 | 1,492 | 1,094 | ||||||
Total | 2,058 | 1,385 | 5,821 | 4,348 | ||||||
Operating Expenses | ||||||||||
California utilities: | ||||||||||
Cost of natural gas | 372 | 216 | 1,529 | 945 | ||||||
Electric fuel and net purchased power | 128 | 81 | 428 | 221 | ||||||
Other cost of sales | 371 | 165 | 886 | 503 | ||||||
Other operating expenses | 668 | 424 | 1,631 | 1,314 | ||||||
Depreciation and amortization | 158 | 147 | 455 | 447 | ||||||
Franchise fees and other taxes | 54 | 42 | 167 | 129 | ||||||
Total | 1,751 | 1,075 | 5,096 | 3,559 | ||||||
Operating Income | 307 | 310 | 725 | 789 | ||||||
Other income (expense) - net | 34 | (21 | ) | 38 | 6 | |||||
Interest income | 8 | 10 | 30 | 31 | ||||||
Interest expense | (78 | ) | (73 | ) | (223 | ) | (220 | ) | ||
Preferred dividends / distributions by subsidiaries | (2 | ) | (7 | ) | (17 | ) | (22 | ) | ||
Income before income taxes | 269 | 219 | 553 | 584 | ||||||
Income taxes | 58 | 69 | 109 | 143 | ||||||
Income before extraordinary item and cumulative effect of | ||||||||||
change in accounting principle | 211 | 150 | 444 | 441 | ||||||
Extraordinary item, net of tax | - | - | - | 2 | ||||||
Income before cumulative effect of change in accounting principle | 211 | 150 | 444 | 443 | ||||||
Cumulative effect of change in accounting principle, net of tax | - | - | (29 | ) | - | |||||
Net Income | $ 211 | $ 150 | $ 415 | $ 443 | ||||||
Weighted-average number of shares outstanding | ||||||||||
Basic* | 208,816 | 204,932 | 207,620 | 205,047 | ||||||
Diluted* | 212,273 | 205,366 | 210,160 | 206,263 | ||||||
Income before extraordinary item and cumulative effect of | ||||||||||
change in accounting principle per share of common stock | ||||||||||
Basic | $ 1.01 | $ 0.73 | $ 2.14 | $ 2.15 | ||||||
Diluted | $ 1.00 | $ 0.73 | $ 2.12 | $ 2.14 | ||||||
Income before cumulative effect of change in accounting | ||||||||||
principle per share of common stock | ||||||||||
Basic | $ 1.01 | $ 0.73 | $ 2.14 | $ 2.16 | ||||||
Diluted | $ 1.00 | $ 0.73 | $ 2.12 | $ 2.15 | ||||||
Net income per share of common stock | ||||||||||
Basic | $ 1.01 | $ 0.73 | $ 2.00 | $ 2.16 | ||||||
Diluted | $ 1.00 | $ 0.73 | $ 1.98 | $ 2.15 | ||||||
Dividends declared per share of common stock | $ 0.25 | $ 0.25 | $ 0.75 | $ 0.75 | ||||||
*In thousands of shares | ||||||||||
SEMPRA ENERGY | ||||||
Table B | ||||||
CONSOLIDATED BALANCE SHEETS (Unaudited) | ||||||
Balance at | ||||||
September 30, | December 31, | |||||
(Dollars in millions) | 2003 |
| 2002 | |||
Assets | ||||||
Current assets: | ||||||
Cash and cash equivalents | $ 411 | $ 455 | ||||
Accounts receivable | 753 | 889 | ||||
Due from unconsolidated affiliates | 134 | 80 | ||||
Deferred income taxes | 71 | 20 | ||||
Trading assets | 4,650 | 5,064 | ||||
Regulatory assets arising from fixed-price contracts and other derivatives | 145 | 151 | ||||
Other regulatory assets | 88 | 75 | ||||
Inventories | 240 | 134 | ||||
Other | 161 | 142 | ||||
Total current assets | 6,653 | 7,010 | ||||
Investments and other assets: | ||||||
Fixed-price contracts and other derivatives | - | 42 | ||||
Due from unconsolidated affiliates | 54 | 57 | ||||
Regulatory assets arising from fixed-price contracts and other derivatives | 704 | 812 | ||||
Other regulatory assets | 455 | 532 | ||||
Nuclear-decommissioning trusts | 529 | 494 | ||||
Investments | 1,481 | 1,313 | ||||
Sundry | 725 | 665 | ||||
Total investments and other assets | 3,948 | 3,915 | ||||
Property, plant and equipment - net | 7,453 | 6,832 | ||||
Total assets | $ 18,054 | $ 17,757 | ||||
Liabilities and Shareholders' Equity | ||||||
Current liabilities: | ||||||
Short-term debt | $ 639 | $ 570 | ||||
Accounts payable | 734 | 744 | ||||
Income taxes payable | 82 | 22 | ||||
Trading liabilities | 3,890 | 4,094 | ||||
Dividends and interest payable | 131 | 133 | ||||
Regulatory balancing accounts - net | 422 | 578 | ||||
Fixed-price contracts and other derivatives | 152 | 153 | ||||
Current portion of long-term debt | 726 | 281 | ||||
Other | 624 | 672 | ||||
Total current liabilities | 7,400 | 7,247 | ||||
Long-term debt | 3,536 | 4,083 | ||||
Deferred credits and other liabilities: | ||||||
Due to unconsolidated affiliate | 162 | 162 | ||||
Customer advances for construction | 98 | 91 | ||||
Post-retirement benefits other than pension | 136 | 136 | ||||
Deferred income taxes | 751 | 800 | ||||
Deferred investment tax credits | 85 | 90 | ||||
Fixed-price contracts and other derivatives | 791 | 813 | ||||
Regulatory liabilities arising from asset retirement obligations | 241 | - | ||||
Other regulatory liabilities | 91 | 121 | ||||
Asset retirement obligations | 310 | - | ||||
Mandatorily redeemable preferred securities | 223 | - | ||||
Deferred credits and other liabilities | 841 | 985 | ||||
Total deferred credits and other liabilities | 3,729 | 3,198 | ||||
Preferred stock of subsidiaries | 179 | 204 | ||||
Mandatorily redeemable trust preferred securities | - | 200 | ||||
Shareholders' equity | 3,210 | 2,825 | ||||
Total liabilities and shareholders' equity | $ 18,054 | $ 17,757 | ||||
SEMPRA ENERGY | |||||||
Table C | |||||||
CONDENSED STATEMENTS OF CONSOLIDATED CASH FLOWS (Unaudited) | |||||||
Nine months ended | |||||||
September 30, | |||||||
(Dollars in millions) | 2003 |
| 2002 | ||||
Cash Flows from Operating Activities: | |||||||
Net income | $ 415 | $ 443 | |||||
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 | 455 | 447 | |||||
Provision for impairment on long-lived assets | 77 | - | |||||
Deferred income taxes and investment tax credits | (52 | ) | (22 | ) | |||
Other - net | 38 | 67 | |||||
Net changes in other working capital components | (33 | ) | (58 | ) | |||
Changes in other assets | (34 | ) | 70 | ||||
Changes in other liabilities | 28 | 70 | |||||
Net cash provided by operating activities | 923 | 1,015 | |||||
Cash Flows from Investing Activities: | |||||||
Expenditures for property, plant and equipment | (664 | ) | (802 | ) | |||
Investments and acquisitions of affiliates, net of cash acquired | (182 | ) | (337 | ) | |||
Dividends received from unconsolidated affiliates | 21 | 11 | |||||
Loan to unconsolidated affiliate | (54 | ) | (48 | ) | |||
Other - net | (8 | ) | (17 | ) | |||
Net cash used in investing activities | (887 | ) | (1,193 | ) | |||
Cash Flows from Financing Activities: | |||||||
Common stock dividends | (155 | ) | (154 | ) | |||
Issuances of common stock | 81 | 12 | |||||
Repurchases of common stock | (6 | ) | (16 | ) | |||
Issuances of long-term debt | 400 | 800 | |||||
Payments of long-term debt | (481 | ) | (431 | ) | |||
Increase (decrease) in short-term debt | 89 | (200 | ) | ||||
Other - net | (8 | ) | (18 | ) | |||
Net cash used in financing activities | (80 | ) | (7 | ) | |||
Decrease in cash and cash equivalents | (44 | ) | (185 | ) | |||
Cash and cash equivalents, January 1 | 455 | 605 | |||||
Cash and cash equivalents, September 30 | $ 411 | $ 420 | |||||
SEMPRA ENERGY | ||||||||||
Table D | ||||||||||
BUSINESS UNIT EARNINGS AND CAPITAL EXPENDITURES & INVESTMENTS (Unaudited) | ||||||||||
Three months ended | Nine months ended | |||||||||
September 30, | September 30, | |||||||||
(Dollars in millions) | 2003 |
| 2002 | 2003 |
| 2002 | ||||
Net Income | ||||||||||
California Utilities: | ||||||||||
San Diego Gas & Electric | $ 120 | $ 46 | $ 206 | $ 150 | ||||||
Southern California Gas | 53 | 56 | 148 | 167 | ||||||
Total California Utilities | 173 | 102 | 354 | 317 | ||||||
Global Enterprises: | ||||||||||
Trading | 22 | 10 | 39 | (1) | 73 | (2) | ||||
Resources | 33 | 29 | 48 | 60 | ||||||
International | (32) | (3) | 13 | (7) | (3) | 30 | ||||
Solutions | - | 5 | 7 | (1) | 11 | |||||
Total Global Enterprises | 23 | 57 | 87 | 174 | ||||||
Financial | 13 | 9 | 32 | 23 | ||||||
Parent & Other | 2 | (18) | (58) | (71) | ||||||
Consolidated Net Income | $ 211 | $ 150 | $ 415 | $ 443 | ||||||
(1) | Consolidated net income includes ($29) cumulative effect of change in accounting principle. The effects at Trading and Solutions were ($28) and ($1), respectively. | |||||||||
(2) | Includes $2 extraordinary gain associated with negative goodwill from Trading's acquisition of the metals business in 2002. | |||||||||
(3) | Includes ($50) write-down of the carrying value of assets of Frontier Energy. | |||||||||
Three months ended | Nine months ended | |||||||||
September 30, | September 30, | |||||||||
(Dollars in millions) | 2003 |
| 2002 | 2003 |
| 2002 | ||||
Capital Expenditures and Investments: | ||||||||||
California Utilities: | ||||||||||
San Diego Gas & Electric | $ 102 | $ 92 | $ 285 | $ 274 | ||||||
Southern California Gas | 82 | 70 | 217 | 213 | ||||||
Total California Utilities | 184 | 162 | 502 | 487 | ||||||
Global Enterprises: | ||||||||||
Resources | 60 | 144 | 231 | 404 | ||||||
Trading | 8 | 24 | 20 | 126 | ||||||
International | 10 | 35 | 65 | 82 | ||||||
Total Global Enterprises | 78 | 203 | 316 | 612 | ||||||
Parent & Other | 9 | 16 | 28 | 40 | ||||||
Consolidated Capital Expenditures and Investments | $ 271 | $ 381 | $ 846 | $ 1,139 | ||||||
SEMPRA ENERGY | ||||||||||
Table E | ||||||||||
OTHER OPERATING STATISTICS (Unaudited) | ||||||||||
Three months ended | Nine months ended | |||||||||
September 30, | September 30, | |||||||||
CALIFORNIA UTILITIES | 2003 |
| 2002 | 2003 |
| 2002 | ||||
Revenues (Dollars in millions) | ||||||||||
SDG&E (excludes intercompany sales) | $ 662 | $ 424 | $1,735 | $1,269 | ||||||
SoCalGas (excludes intercompany sales) | $ 784 | $ 592 | $2,594 | $1,985 | ||||||
Gas Sales (Bcf) | 65 | 66 | 279 | 294 | ||||||
Transportation and Exchange (Bcf) | 163 | 175 | 410 | 446 | ||||||
Total Deliveries (Bcf) | 228 | 241 | 689 | 740 | ||||||
Total Gas Customers (Thousands) | 6,188 | 6,107 | ||||||||
Electric Sales (Millions of kWhs) | 4,160 | 3,787 | 11,223 | 10,652 | ||||||
Direct Access (Millions of kWhs) | 891 | 925 | 2,456 | 2,618 | ||||||
Total Deliveries (Millions of kWhs) | 5,051 | 4,712 | 13,679 | 13,270 | ||||||
Total Electric Customers (Thousands) | 1,293 | 1,273 | ||||||||
RESOURCES |
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Power Sold (Millions of kWhs) | 3,530 | 1,755 | 6,895 | 3,189 | ||||||
SOLUTIONS |
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Revenues (Dollars in millions) | $ 37 | $ 45 | $ 134 | $ 126 | ||||||
INTERNATIONAL | ||||||||||
(Represents 100% of these subsidiaries, although only the Mexican subsidiaries are 100% owned by Sempra Energy). | ||||||||||
Natural Gas Sales (Bcf) | ||||||||||
Argentina | 75 | 71 | 184 | 174 | ||||||
Mexico | 11 | 16 | 30 | 37 | ||||||
Chile | 1 | 1 | 2 | 2 | ||||||
Natural Gas Customers (Thousands) | ||||||||||
Argentina | 1,401 | 1,347 | ||||||||
Mexico | 90 | 81 | ||||||||
Chile | 36 | 35 | ||||||||
Electric Sales (Millions of kWhs) | ||||||||||
Peru | 1,005 | 998 | 3,017 | 2,959 | ||||||
Chile | 446 | 414 | 1,371 | 1,310 | ||||||
Electric Customers (Thousands) | ||||||||||
Peru | 729 | 715 | ||||||||
Chile | 493 | 483 | ||||||||
SEMPRA ENERGY | |||||||
Table E (Continued) | |||||||
TRADING |
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Three Months Ended | Nine Months Ended | ||||||
September 30, | September 30, | ||||||
Trading Margin (Dollars in millions) | 2003 | 2002 | 2003 | 2002 | |||
Geographical: | |||||||
North America | $ 111 | $ 73 | $ 262 | $ 226 | |||
Europe/Asia | 24 | 7 | 97 | 91 | |||
Total | $ 135 | $ 80 | $ 359 | $ 317 | |||
Product Line: | |||||||
Gas | $ 21 | $ 32 | $ 113 | $ 149 | |||
Power | 36 | 18 | 48 | 68 | |||
Oil - Crude & Products | 27 | (5) | 77 | 35 | |||
Metals | 21 | 16 | 47 | 45 | |||
Other | 30 | 19 | 74 | 20 | |||
Total | $ 135 | $ 80 | $ 359 | $ 317 | |||
Physical Statistics |
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Natural Gas (BCF/Day) | 13.2 | 10.8 | 13.3 | 9.8 | |||
Electric (Billions of kWhs) | 81.7 | 50.2 | 213.1 | 102.3 | |||
Oil & Liquid Products (Millions Bbls/Day) | 1.4 | 1.7 | 1.6 | 2.0 | |||
Fair | |||||||
Market Value | |||||||
September 30, | Scheduled Maturity (in months) | ||||||
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 | $ 290 | $ 190 | $ 68 | $ 16 | $ 16 | ||
Prices provided by other external sources | (6) | (5) | (2) | - | 1 | ||
Prices based on models and other valuation methods | 19 | 6 | 3 | - | 10 | ||
Total OTC Fair Value (1) | 303 | 191 | 69 | 16 | 27 | ||
Maturity of OTC Fair Value | |||||||
Percentage | 100.0% | 63.0% | 22.8% | 5.3% | 8.9% | ||
Cumulative Percentages |
| 63.0% | 85.8% | 91.1% | 100.0% | ||
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Exchange Contracts (2) | $ 110 | $ 113 | $ (5) | $ (1) | $ 3 | ||
Total Net Unrealized Revenue | $ 413 | ||||||
(1) The present value of unrealized revenue to be received or (paid) from outstanding OTC contracts | |||||||
(2) Cash (paid) or received associated with open Exchange Contracts | |||||||
September 30, | June 30, | March 31, | December 31, | September 30, | |||
Credit Quality of Unrealized Trading Assets (net of margin) | 2003 | 2003 | 2003 | 2002 | 2002 | ||
Commodity Exchanges | 8% | 6% | 7% | 3% | 6% | ||
Investment Grade | 66% | 71% | 62% | 67% | 69% | ||
Below Investment Grade | 26% | 23% | 31% | 30% | 25% | ||
Three Months Ended | Nine Months Ended | ||||||
September 30, | September 30, | ||||||
Risk Adjusted Performance Indicators | 2003 | 2002 | 2003 | 2002 | |||
VaR at 95% (Dollars in millions) (1) | $ 6.2 | $ 6.4 | $ 7.2 | $ 6.1 | |||
VaR at 99% (Dollars in millions) (2) | $ 8.7 | $ 9.0 | $ 10.2 | $ 8.6 | |||
Risk Adjusted Return on Capital (RAROC) (3) | 17% | 18% | 20% | 26% | |||
(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 | |||||||