Transport

Pursuant to our discussions this morning, attached is John Griffith's file
regarding the changes in extrinsic value for each of the transport books. As
we discussed, each of you should make a determination as to what changes in
correlation you should make to offset the decreases in value due to the
change in the model. Since you have been using the correlation factor to
adjust the values to reflect market, a simple change decreasing these
correlations will offset the change in value due to John's "fix". This
change simply makes the transport model one step closer to properly
reflecting the intra- and inter-month optionality values--Research did review
the change and agrees that it is appropriate. If you have any questions,
please call me at x35514.

John, thanks for your help with this!

Greg, please coordinate with the traders when you expect to make this change
official in the books so that they can change their correlations accordingly.

---------------------- Forwarded by Colleen Sullivan/HOU/ECT on 12/21/2000
11:28 AM ---------------------------

John Griffith@ENRON
12/21/2000 10:20 AM
To: Colleen Sullivan/HOU/ECT@ECT
cc: Greg Couch/HOU/ECT@ECT, Ed McMichael/HOU/ECT@ECT, Eric Moon/HOU/ECT@ECT
Subject: Transport

Colleen,

Attached is a spreadsheet with 3 sheets - 1 with the 12/19 value, 1 with the
changed value and 1 with the difference. Call me with any questions. I am
working on explaining why a couple of deals went up in value. Thanks.

John