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It looks like they are now going to use AECO index rather than NYMEX. See
attached. ---------------------- Forwarded by Peter Keohane/CAL/ECT on 09/13/2000 06:20 PM --------------------------- Soma Ghosh 09/13/2000 06:02 PM To: "Ellison, Mike" <Mike.Ellison@rbcds.com<, "'bordenr@macleoddixon.com'" <bordenr@macleoddixon.com< cc: Brian Kerrigan/HOU/ECT@ECT, Catherine Clark/HOU/ECT@ECT, Peter Keohane/CAL/ECT@ECT, Cris Sherman/HOU/ECT@ECT, Jonathan McKay/CAL/ECT@ECT, John Griffith/Corp/Enron@Enron Subject: RE: Alberta PPA Hi Mike, Re. question of what index we will use, we are proposing AECO C/NIT 7A Dec 01 contract. Having spoken with our trader in Calgary, this is a liquid contract traded OTC & one that RBC trades in & is very familiar with. AECO contracts are CAD settled therefore avoiding the currency issues we discussed. We will include the exact contractual wording for the reference index in our draft ISDA. As far as volatility, our structuring guy is running some numbers which we will pass on ASAP. As we discussed. I think we are talking in a range of not more than 15-20% for 1yr forward vol, and will provide some supporting price analysis. Just to confirm, the interest repayment will flow as monthly/quarterly payments from Enron Canada to BF Equity Capital, embedded in the swap as a margin on the index price Enron Canada pays. Please also confirm that BF Equity Capital is the contractual counterparty to the GPA, & not 'Financing SPV' as is shown on the most recent structure you sent us. Speak to you soon, Regards, Soma
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