sec var december entered two swaps enron stock hedge exposure created granting options consider trading securities included spreadsheet accordingly gail tholen explained long term contracts remove variability revenues bammel looper mid texas changed total return swap model use volatility prices 2013 contracts expire rather spot volatilities result december var total return swaps fell 34 28 million partly offsetting effects new enron stock total return swaps december var trading securities therefore fell 70 68 million recalculated total return swap var rest 2000 using volatilities 2013 nevertheless impact small since spot volatilities high throughout year december matter fact average high low trading securities vars 2000 remain largely unchanged regards eugenio