Message-ID: <26790598.1075841342620.JavaMail.evans@thyme>
Date: Fri, 30 Nov 2001 19:45:32 -0800 (PST)
From: heather.dunton@enron.com
To: matt.motley@enron.com, m..driscoll@enron.com
Subject: 11/30 Curve Shift Explanation
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Matt the Curves in Portcalc for 11/29/01 for 2003 - 2010 did not use the updated 11/29 SP15 curves - they used 11/28/01 - therefore 11/29/01
Curve Shift was understated.  11/30 Calc is picking up the correct curves - therefore you have a larger Curve Shift on 11/30/01 than you expected.

Roughly we underestimated Curve Shift in SP15 by 5MM  11/29/01  and overestimated CurveShift by 5MM 11/30/01 to trueup.