LJM Update

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 02/17/2000
07:59 AM ---------------------------

Paulo Issler
02/16/2000 04:04 PM
To: Vince J Kaminski/HOU/ECT@ECT, Stinson Gibner/HOU/ECT@ECT
cc:
Subject: LJM Update

Vince/Stinson:

I just came back from a meeting with Accounting (Ryan Siueck) and Credit (Rod
Nelson - works with Bill Bradford) in which we presented the two-factor model
for calculating credit loss on our LJM's position. Rod seemed positive with
the model conceptual approach. He will position Bill Bradford on that.
Accounting will have a meeting with AA to discuss the treatment on credit
reserves on this deal tomorrow 9:00 AM. They feel my participation is not
necessary.

At year-end the difference on both valuations - without and with credit risk
- indicates a credit loss of about 100 MM.

Paulo Issler