forward prices simulations credit reserve model bill mark figure shows happens simulate forward prices using current methodology credit reserve model time scale figure goes 0 30 years started 5 2 gas prices time 0 used ng forward volatility curve 50 volatilities front 13 5 vols long term contracts see figure example 30 years horizon price 13 4 probability 5 less 22 1 probability 99 corresponding lower bounds 1 17 0 71 tanya william bradford enron enronxgate 03 26 2001 11 22 mark ruane enron enronxgate naveen andrews enron enronxgate tanya rohauer enron enronxgate debbie r brackett hou ect ect tanya tamarchenko hou ect ect rabi de na enron enron wenyao jia enron enronxgate cc subject gbm vs reversion seem provide fairly unrealistic values 50 gas term seems improbable however 6 gas peak represent capture potential price movement 99 confience interval assumptions price curves volatilty curves trend reversion bill original message ruane mark sent monday march 26 2001 11 11 bradford william andrews naveen rohauer tanya brackett debbie tamarchenko tanya de rabi jia winston subject gbm vs reversion quick example impact using gbm based simulation based five year swap expected losses 18 higher result gbm attached chart shows relative long term gas prices processes mark