VaR Model

Please see the following attachment from Vlady Gorny.
---------------------- Forwarded by Tamara Jae Black/HOU/ECT on 11/09/2000
06:55 AM ---------------------------

From: Vladimir Gorny 11/08/2000 07:07 PM

To: Doug Gilbert-Smith/Corp/Enron@ENRON, Rogers Herndon/HOU/ECT@ect, Fletcher
J Sturm/HOU/ECT@ECT, Mark Dana Davis/HOU/ECT@ECT
cc: Kevin M Presto/HOU/ECT@ECT, Tamara Jae Black/HOU/ECT@ECT
Subject: VaR Model

Attached below is the Excel-based VaR Calculator that allows VaR calculations
for up to 5 different curves and/or products. The results may be different
that those generated in the "official" VaR model, because it does not reflect
all the intricacies. We have developed an Ad-hoc VaR model that allows quick
calculations of VaR for a potential transaction, as well as the incremental
VaR on a given portfolio (using the "official" VaR model). We will make this
tool available to you via http://rac.enron.com/ in the near future (pending
IT implementation).

TJ,

I do not have a list of names of all the traders on the desk (individuals who
attended the VaR presentation). Could you please forward this e-mail to them.

Feel free to call me with any questions. Vlady.