Message-ID: <11542386.1075841360309.JavaMail.evans@thyme> Date: Mon, 29 Apr 2002 11:00:10 -0700 (PDT) From: randall.curry@enron.com To: ragan.bond@enron.com, joe.parks@enron.com, tiffany.smith@enron.com, bridgeline <.stephens@enron.com>, e-mail <.hugh@enron.com>, e-mail <.robert@enron.com>, e-mail <.trevor@enron.com> Subject: FW: DYN($15/sh): Additional Detail on Collateral---CORRECTED. Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Curry, Randall X-To: Bond, Ragan , Parks, Joe , Smith, Tiffany , Stephens, Jeffery (Bridgeline) , Hugh Connett (E-mail) , Robert Morgan (E-mail) , Trevor Mihalik (E-mail) X-cc: X-bcc: X-Folder: \ExMerge - Parks, Joe\Deleted Items X-Origin: PARKS-J X-FileName: joe parks 6-26-02.pst -----Original Message----- From: jdietert@simmonsco-intl.com [mailto:jdietert@simmonsco-intl.com] Sent: Monday, April 29, 2002 12:31 PM To: Sales_Trading@simmonsco-intl.com Subject: DYN($15/sh): Additional Detail on Collateral---CORRECTED. In our earlier note we confused the collateral requirements disclosed in DYN's 10K. As stated in the 10K, in the event of trigger, Catlin, LLC and West Coast Power would require a total of $301MM in collateral. This is comprised of $270MM from Catlin (the trigger would require both Moodys & S&P to downgrade) and $31MM from West Coast Power (which we believe only requires one agency to downgrade). These corrections do not change our total collateral estimate of up to $1B. This was our mistake and we apologize for the confusion we have created related to this issue. Simmons estimates for DYN's collateral requirements: Assuming one agency downgrades to below investment grade: Existing Trading book, $300MM (Simmons estimate), West Coast Power, $31MM (from DYN 10K) Incremental business, $300MM (Simmons estimate) Total required-roughly $630MM, assuming one agency downgrades Assuming BOTH S&P & Moodys downgrade to below investment grade: Collateral provided above, $630MM Catlin, LLC, $270MM (from DYN 10K) Incremental misc. collateral, $100MM (Simmons estimate) Total required-roughly $1B, assuming both agencies downgrade ****************************************************************************************************************************************** ORIGINAL NOTE: DYN's 10K (page 27) provides some of the detail in our thinking on collateral. Assuming a single downgrade in credit rating, DYN disclosed that its existing business would require $301MM in collateral (as of 12/31/01) and that West Coast power would require $31MM. We estimate that incremental transactions would require an additional $300MM, for a total collateral requirement of roughly $650MM in the event of a Moodys downgrade (only). A downgrade by BOTH Moodys and S&P would trigger an additional $270MM associated with Catlin, LLC (DYN's Midwest generation financing vehicle), bring the total collateral to just under $1B. ***************************************************************************************************** This e-mail is based on information obtained from sources which Simmons & Company International believes to be reliable, but Simmons & Company International does not represent or warrant its accuracy. The opinions and estimates contained in this e-mail represent the views of Simmons & Company as of the date of the e-mail, and may be subject to change without prior notice. Simmons & Company International, its partners and/or employees may have positions in the securities discussed. Simmons & Company International may make a market in the securities discussed and may have served as a financial advisor and/or underwriter to companies discussed. Simmons & Company International will not be responsible for the consequence of reliance upon any opinion or statement contained in this e-mail. This e-mail is confidential, and may not be reproduced, in whole or in part, without the prior written permission of Simmons & Company International.