Bryan,

FYI

Vince
---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 03/21/2001 
01:28 PM ---------------------------
From: Mark Wilson/ENRON@enronXgate on 03/16/2001 10:08 AM
To: Vince J Kaminski/HOU/ECT@ECT, Vasant Shanbhogue/HOU/ECT@ECT, Rabi 
De/NA/Enron@ENRON, Amitava Dhar/Corp/Enron@ENRON, Teresa 
Seibel/ENRON@enronXgate
cc: William S Bradford/ENRON@enronXgate 
Subject: FW: meeting follow-up

Dan sent this information as a follow up to our meeting this week.  If there 
is any additional information you would like to see, please let me know.

In the absense of any objections, I would like to begin having our analysts 
use the Financial Stress score to underwrite small exposures where financial 
statements are not received.  In addtion to saving some expense, this will 
allow greater consistentency.  And moving forward, I believe we can map 
expected defaults from FStress score ranges to those implied in credit 
spreads, and in doing so map to E-ratings for use in credit reserve 
analytics.  I've had prelimiary discussions with Rabi and Amititava regarding 
this.

Any additional insights would be helpful, and thanks for your help.



 -----Original Message-----
From:  "Barry, Dan" <BarryD@dnb.com>@ENRON 
[mailto:IMCEANOTES-+22Barry+2C+20Dan+22+20+3CBarryD+40dnb+2Ecom+3E+40ENRON@ENR
ON.com] 
Sent: Thursday, March 15, 2001 10:26 AM
To: mark_wilson@enron.com
Cc: Marcom, Karen; Johnson, Judy
Subject: meeting follow-up

Mark,

Attached are a presentation on the Financial Stress Score and the countries
that have risk scores available today. Please let me know if you have any
questions.

In response Vince's question regarding false positives from the model, that
is a little difficult to answer.  The model is predicting the likelihood of
a company experiencing financial distress.  We are not saying that all
companies with a high risk score will experience financial distress.  In
other words, it is not really a yes or no proposition.  It' not like a drug
test where the test either comes back positive or negative and ocassionally,
you get a false positive test result.  We are identifying companies that are
at high risk for failure.  Some of those high risk companies will fail and
some will not fail.  How many in each classification that will ultimately
fail is addressed in the performance charts attached below.

Please let me know if you have any other questions or need any additional
information.

Dan Barry
Dun & Bradstreet
Analytical Services
barryd@dnb.com
Phone (713) 953-5458
Fax     (713) 953-5454
 <<enron fss.ppt>>  <<Globalfailure.ppt>>  <<Fin Stress Understanding.doc>>
 <<FSS performance.doc>>

 - enron fss.ppt
 - Globalfailure.ppt
 - Fin Stress Understanding.doc
 - FSS performance.doc