-----Original Message-----
From: 	Yuan, Ding  
Sent:	Friday, August 24, 2001 1:41 PM
To:	Kaminski, Vince J
Subject:	FW: Meeting with Gordon on Raptor

Vince:

Cassandra asked me to forward this note to you, hope it is of some help.

Ding.


 -----Original Message-----
From: 	Yuan, Ding  
Sent:	Thursday, August 23, 2001 5:54 PM
To:	Schultz, Cassandra
Subject:	Meeting with Gordon on Raptor



I have talked with Gordon regarding to the impact of current Enron stock price on the Raptor structure.  Here are the main points:

1) After the March  fix-up, Raptor hedged ENE credit capacity all the way down to ENE $20/share.  And the collars are consists of European type options.  The maturities are:  original collars for Raptor I, II, IV will mature in 2003.  The new collars for Raptor II and IV will mature in 2005.  

2) The collars were transacted with ENE.

3) The option settling method will be equity method.  Enron will hand over shares at the maturity.  But there is a maximum 3 share per option limit.   For example:   With a strike of $80,  if ENE price drop down to $20, the intrinsic value of the option is $60 which means ENE will have to hand over $60/$20=3 shares.   But if ENE price drop down to $10, ENE still only hand over 3 shares, with $30 in value.

4) When options exercised, Enron will have share dilution but no impact on Enron income.

5) A good portion of the public equities have been liquidated by Raptor at a substantial discount. (I have the list and the share numbers) The notional value of all the swapped assets at the time of Raptor inception was $733.68 MM.  Current value of assets remain in Raptors are $141.8 MM.

6) While the raptors have hedged Enron's credit capacities,  the current Enron credit capacity dropped from around ($36MM) after the fix up, to around ($237MM) as of 8/20/01.

Hope these information help answering some of the question you had.

Ding.