RPT-FACTBOX-Commodity trade Value at Risk at oil firms vs banks

lunes 22 de junio de 2009 06:18 CEST
 

 (Repeats to fix table format)
 SINGAPORE, June 18 (Reuters) - 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."
 Conoco: VaR on instruments held for trading purposes was
"immaterial to our net income and cash flow"
 (Reporting by Jonathan Leff; Editing by Michael Urquhart)