Rniks
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Message Posted: 31 |
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Posted on 6/18/2009 7:31:53 AM |
FACTBOX-Commodity trading Value at Risk at oil firms vs banks
Many major oil and gas
companies increased their year-average trading Value at Risk
(VaR) last year, while a number of investment banks pared their
risks, according to 10K and 20-F SEC filings.
VaR is the estimated maximum amount of losses that the
company could encur in a given market on any given day, up to a
probability of 95 percent (unless otherwise noted). It is
traditionally based on historical analysis of market
volatility, and can vary widely depending on the models used,
experts say.
All VaR levels are annual average at 95 percent confidence
except the following: Total: 97.5 pct confidence; Citi and
Deutsche Bank: 99 pct confident level; BarCap: 98 pct for 2006
only. Chevron VaR as of Dec. 31, 2008.
BarCap converted from GBP at 2008 average 1.85 USD per GBP.
Deutsche Bank and Total converted at average 1.47 USD per
Euro.
2008 2007 2006
High/Low Avg Avg Avg
Shell-Oil/Petchem 33/5 17 13
na
Gas/Power 28/6 17 11
na
BP -Oil 69/12 25 26
Gas 50/12 24 16
Power 14/3 7 3
Total (in Euro, converted at 1.47 to USD))
-Trading & Shipping 13.5/2.8 6.9 ($10.1) 6.7
8.6
-Gas & Power 16.3/1.3 5.0 ($7.35) 7.9
9.1
Eni (in USD)
-Oil, products 46.5/3.4 19.9 20.2
Gas & Power 67 / 24.4 43.5 34.6
Chevron (as at Dec 31)
-Crude oil 39 29
-Natural gas 5 3
-Refined products 45 23
Statoil (in NOK mln, converted at 5.64 to USD)
- Crude and prod 143/28 79 ($14)
Gas & Power 392/88 216 ($38.3)
2008 2007 2006
Goldman Sachs $44 $26 $30
Morgan Stanley $35 $37 $30
JP Morgan (commods+other) $32 $33 $45
BarCap-GBP (USD) 18.1 ($33.5) 15.3 ($28.3) 11.3
($20.9)
Citigroup $34 $35 $15
Merrill Lynch $19 $18 $11
Deutsche Bank-Euro (USD) 12.2 ($17.9) 11 ($16.2) 11.8
($17.3) Chevron: "The higher amounts in 2008 were associated
with an increase in price volatility for these commodities
during the year."
http://in.reuters.com/money/markets |
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