Subject: Petrobras Sensitivities
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Date: Wed, 2 May 2001 10:48:07 -0700 (PDT)

John,

Attached are the sensitivities on the Petrobras deal you asked for.

The speadsheet contains three sheets:

Sheet 1:  Pay Out Diagram

Sheet 2:  Petrobras:  MTM Sensitivity in which the options shown in the Pay Out Diagram for 2002 and 2003 are repriced for each move of the forward curve.  The volatility curve is held constant.

Sheet 3:  Petrobras:  Intrinsic Value Analysis - Price Curve Sensitivities in which volatility is assumed to be zero.  This represents the value if our price forecast were 100% accurate and the structure with Petrobras were to be finalized as presented.  Kind of an area under the curves analysis.

Note:  In both Sheets 2 & 3 the 2004-2011 piece is estimated as an area under the curve (volatility = 0).  That is why it does not change.

If you have any questions, please call.  We will obviously keep you posted as things progress.

Thanks,

Kish