RE: Daily Summary of Risk Data

Yes,

We have received the outside Confirmation on both the Base Gas purchaase hedge and the 10/26/01 Fuel hedge. Vernon is preparing the hedge documentation on the Base Gas hedge.

Vince.
713.853.6701

-----Original Message-----
From: Saunders, James
Sent: Tuesday, October 30, 2001 7:58 AM
To: Strohmeyer, Vincent; Hayslett, Rod; Peters, Jerry; McCarty, Danny
Cc: Cobb Jr., John; Neubauer, Dave; Harris, Steven; Perchal, Cheryl
Subject: RE: Daily Summary of Risk Data

Vince, John C,
In Stan's staff mtg on Monday, Mr Harris indicated that he put on a fuel hedge, and Mr Neubauer indicated that he initiated a hedge on
part of the base gas restructuring. Has any documentation made it through to you???

-----Original Message-----
From: Strohmeyer, Vincent
Sent: Tuesday, October 30, 2001 7:44 AM
To: Strohmeyer, Vincent; Hayslett, Rod; Peters, Jerry; McCarty, Danny
Cc: Saunders, James; Cobb Jr., John; Neubauer, Dave; Harris, Steven; Perchal, Cheryl
Subject: RE: Daily Summary of Risk Data

Summary Risk Data as of 10/29/2001

Active Financial Deals 52
Active Physical Deals 35
P&L Daily ($thousands) 389.3
VaR ($thousands) 495.5

ETS Margin Account Deals 0

Physical deals modelled in the Caminus Zainet system are deals which have some form of price risk, (i.e. Index to index deals, and anticipated fuel sales) This does not include standard transport or storage agreements.

P&L Daily: Daily change in the mark-to-market (MTM) valuation of all deals being tracked in the Caminus Zainet system. This includes the origination and changes in value for both the physical and financial sides of hedges, along with any speculative trades and floating unhedged phsycal positions.

VaR is "Value at Risk": Enron Corp policy defines this as the maximum expected one day loss on the portfolio given a 95% statistical confidence interval. This number is currently calculated on the Caminus system using a variance covariance metholodogy, rather than a Monte Carlo simulation per the Enron Corp policy.

NOTE: We are reviewing the modelling of one of the financial deals which may have a significant impact on the numbers reported above.

More detailed reports are available from the Caminus Zainet risk management system. Please call Vince Strohmeyer at 713.853.6701 with any questions you may have.