Message-ID: <19452233.1075857077252.JavaMail.evans@thyme> Date: Thu, 24 Feb 2000 06:33:00 -0800 (PST) From: paulo.issler@enron.com To: vince.kaminski@enron.com, stinson.gibner@enron.com Subject: LJM Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Paulo Issler X-To: Vince J Kaminski, Stinson Gibner X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_9\Notes Folders\Untitledmartin X-Origin: Kaminski-V X-FileName: vkamins.nsf Vince/Stinson: The following is an update on LJM deal: 1) I participated on a conference call with AA (Jitendra and others) and our Accounting/Credit Group (Wes, Bill Bradford and others) yesturday, in which we discussed the best approach for definining credit reserves at year-end for the puts we own. 2) A big chunck of the meeting was dedicated to explain AA the details of the deal. Little progress was made on achieving the meeting's goal. 3) Apparently, Accounting did want to expose the calculation we made for puts value that considers credit risk - the two factor model we developed. That line of action was implied on a pre-meeting we had early that morning. From my understanding, Accounting argues that we should not make any credit reserve because we could not liquidate our position by year-end. 4) At a certain point Jintendra suggested me to use a two factor MC-simulation for calculating the position with credit risk. The approach is actually a more simplified version of the model we have. I and nobody mentioned the results we got from our 2-factor model. 5) At that same afternoon I knew from Accounting that we are in a process of unwinding our position. These are the main points. Please let me know if need more details. Paulo Issler