Duke Energy Corporation (holding Company) · NYSE:DUK
Duke Energy Corporation (holding Company) — Duke Energy Analyst Conference 2003
10 slides from Duke Energy Corporation (holding Company)'s conference presentation, May 30, 2003
Slide 1: Risk Management
Risk Management Rich Osborne Executive Vice President and Chief Risk Officer
Slide 2: Disclosures
Disclosures Safe Harbor Statement Under the Private Securities Litigation Act of 1995 This document contains forward looking information which is subject to risks and uncertainties, including, but not limited to, changes in the utility regulatory environment, the impact of competition from other ene
Slide 3: Balancing Risks
Balancing Risks • Market Risks Assets – prices of inputs and outputs Contractual positions • Credit Risks Counterparty performance • Liquidity Risk Exposure to fluctuations in working capital 3
Slide 4: Net Credit Position
Net Credit Position ($ in millions) DENA’s Credit Position for Energy Contracts Position Credit Net Number of Net Position of as of March 31, 2003 Before Credit Collateral Position Counterparties Counterparties Collateral >10% > 10% Investment Grade – External Rated $ 1,563 $ 300 $ 1,263 0 $0 Invest
Slide 5: Collateral Stress Tests at March 31, 2003
Collateral Stress Tests at March 31, 2003 • Collateral stress tests on DENA Based on credit downgrade scenarios • Downgraded one level by Moody’s or S&P or both will incur additional collateral of $4 million or $15 million or $19 million, respectively • Downgraded below investment grade by Moody’s
Slide 6: Stress Test
Stress Test • Estimates impact of extreme price movements in power and gas prices from current level Power price movements range between +$15/MWhr and -$10/MWhr Gas price movements range between +$2/MMbtu and -$1.25/MMbtu Percentile of Daily Changes Percentile of Daily Changes 1/1/02-4/16/03 1/1
Slide 7: Stress Test – DENA's Incremental Collateral
Stress Test – DENA’s Incremental Collateral ($ in millions) Incremental Outgoing Collateral, 2003-2012 Gas Prices +$2 7 8 9 High $270 $240 $830 4 5 6 Base Current $90 $710 Case 1 2 3 Low $250 $240 $910 -$1.25 Low Current High - $10 $15 Power Prices Excludes any offsets from inbound collateral. 7
Slide 8: Activities of the CCRO
Activities of the CCRO • CCRO Best Practices – Phase I (Issued November 2002) Governance Valuation Credit Risk Financial Disclosure • CCRO Best Practices – Phase II Energy Price Indices (Issued February 2003) Capital Adequacy (Under Development) 8
Slide 9: CCRO Best Practices – Energy Price Indices
CCRO Best Practices – Energy Price Indices • Recommended processes for data providers Transaction-level data • Price, volume, location, delivery timing All transactions submitted Additional data elements that can be provided following adequate demonstrated protection by index developers • Coun
Slide 10: CCRO Best Practices – Energy Price Indices
CCRO Best Practices – Energy Price Indices • Duke Energy Response In 2002, Duke formalized procedures to require all pricing data provided to indices be validated and conveyed by risk management staff reporting to CRO -- no longer directly from the trading floor Duke is implementing processes to