Subject: HC Costless Collar
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked]
Date: Tue, 9 Jan 2001 01:09:00 -0800 (PST)

Andrea,

We finished the the costless collar valuation. See the spreadsheets for 
details.

We checked the Bloomberg for volatility assumption. The 100 days volatility is
around 50%.  Since the option is for 3 years, the volatility should be 
somewhat smaller.
So we put an array of calculations, with the volatility ranges from 20% to 
60%.

If you have any questions,  please call me or Bob Lee.

Zimin

---------------------- Forwarded by Zimin Lu/HOU/ECT on 01/09/2001 09:02 AM 
---------------------------

Bob Lee@ENRON
01/09/2001 08:48 AM
To: Zimin Lu/HOU/ECT@ECT
cc:  
Subject: HC Costless Collar