Message-ID: <4980340.1075858587894.JavaMail.evans@thyme> Date: Tue, 21 Aug 2001 08:42:14 -0700 (PDT) From: lindsay.renaud@enron.com To: legal <.taylor@enron.com> Subject: Approval for amended long description - US Gas Daily Opt Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: quoted-printable X-From: Renaud, Lindsay X-To: Taylor, Mark E (Legal) X-cc: X-bcc: X-Folder: \MTAYLO1 (Non-Privileged)\Taylor, Mark E (Legal)\Archive\2001/08 X-Origin: Taylor-M X-FileName: MTAYLO1 (Non-Privileged).pst Mark, After further discussion with Larry May regarding his Straddles. We decided= to amend the current US Gas Daily Opt product type to allow Straddle optio= ns to be built under this current product type rather than building a separ= ate product type. The proposed amended language is included below; please d= isregard the language sent previously for the different product types. Coul= d you please review and provide any comments or your approval on this long = description so that we can make the appropriate changes in the system? Give= me a call if you have any questions Thanks, Lindsay US Gas Daily Opt=09Hhub A financial Option Transaction with Enron North America Corp., under which = the Seller receives the Premium and the Buyer receives the Cash Settlement = Amount. Each calendar month during the Term of the Transaction will be a De= termination Period, provided that if the Term of the Transaction is less th= an one calendar month the Determination Period shall be the Term of the Tra= nsaction. The Notional Quantity per Determination Period shall be calculate= d from the volume submitted by Counterparty on the website in accordance wi= th the unit of measure. The Premium shall equal the product of (i) the pric= e submitted by Counterparty via the website, multiplied by (ii) the number = of calendar days during the Term of the Transaction, multiplied by (iii) th= e volume submitted by Counterparty on the website. The Payment Date for the= Premium shall be 2 business days after the Trade Date of the Transaction. = The Payment Date(s) for the Cash Settlement Amount shall be 5 business days= after the Cash Settlement Amount is determinable. Where this Transaction i= s a Call Option, the Cash Settlement Amount shall be the sum of the product= of (a) the Notional Quantity per day during the Determination Period, mult= iplied by (b) the greater of (i) zero, or (ii) the Index minus the Strike P= rice. Where this Transaction is a Put Option, the Cash Settlement Amount sh= all be the sum of the product of (a) the Notional Quantity per day during t= he Determination Period, multiplied by (b) the greater of (i) zero, or (ii)= the Strike Price minus the Index. Where this Transaction is a Straddle Opt= ion, the Cash Settlement Amount for each Determination Period shall be the = sum of the product of (a) the Notional Quantity per day during the Determin= ation Period, multiplied by (b) the absolute difference between the Strike = Price and the Index. The term of the Transaction shall correspond to the da= te(s) set forth in the Product description on the Website. The Index shall = be the Daily Midpoint price published on each calendar day during such Dete= rmination Period under the heading "Daily Price Survey" in the Louisiana -O= nshore South - Henry Hub section of Gas Daily, or if a calendar day is not = a Business Day then the price used shall be the Daily Midpoint price publis= hed on the next succeeding Business Day. The Strike Price for a Determinati= on Period shall be the South Louisiana - Henry Hub Index price in the "Mark= et Center Spot-Gas Prices" section located in the first issue of Inside Fer= c's Gas Market Report published during such Determination Period. The price is quoted in US Dollars per unit of volume, which will be the Con= tractual Currency. The unit of measure against which the price is quoted shall be millions of = British thermal units and the quantity shown shall be in millions of BTUs p= er day. The Option Style is European, and the Option Type is a Straddle (the simult= aneous buy or sale of Calls and Puts at the specified Strike Price). Automatic Exercise is Applicable. -----Original Message----- From: =09Renaud, Lindsay =20 Sent:=09Monday, August 20, 2001 10:27 AM To:=09Taylor, Mark E (Legal) Subject:=09Approval for US Gas Daily Straddle Opt - Long description Mark, Larry May has requested a new US Gas Daily Straddle Option and asked that w= e revise the long description on his current Daily Options. The long descri= ptions for both are provided below. Could you please review and approve the= se so that we can begin building in the system? If you have any questions, = please give me a call. US Gas Daily Stdle Opt=09Hhub A financial Option Transaction with Enron North America Corp., under which = the Seller receives the Premium and the Buyer receives the Cash Settlement = Amount. Each calendar month during the Term of the Transaction will be a De= termination Period, provided that if the Term of the Transaction is less th= an one calendar month the Determination Period shall be the Term of the Tra= nsaction. The Notional Quantity per Determination Period shall be calculate= d from the volume submitted by Counterparty on the website in accordance wi= th the unit of measure. The Premium shall equal the product of (i) the pric= e submitted by Counterparty via the website, multiplied by (ii) the number = of calendar days during the Term of the Transaction, multiplied by (iii) th= e volume submitted by Counterparty on the website. The Payment Date for the= Premium shall be 2 business days after the Trade Date of the Transaction. = The Payment Date(s) for the Cash Settlement Amount shall be 5 business days= after the Cash Settlement Amount is determinable. The Cash Settlement Amou= nt for each Determination Period shall be the sum of the product of (a) the= Notional Quantity per day during the Determination Period, multiplied by (= b) the absolute difference between the Strike Price and the Index. The term= of the Transaction shall correspond to the date(s) set forth in the Produc= t description on the Website. The Index shall be the Daily Midpoint price published on each calendar day = during such Determination Period under the heading "Daily Price Survey" in = the Louisiana -Onshore South - Henry Hub section of Gas Daily, or if a cale= ndar day is not a Business Day then the price used shall be the Daily Midpo= int price published on the next succeeding Business Day. The Strike Price f= or a Determination Period shall be the South Louisiana - Henry Hub Index pr= ice in the "Market Center Spot-Gas Prices" section located in the first iss= ue of Inside Ferc's Gas Market Report published during such Determination P= eriod. The price is quoted in US Dollars per unit of volume, which will be the Con= tractual Currency. The unit of measure against which the price is quoted sh= all be millions of British thermal units and the quantity shown shall be in= millions of BTUs per day. The Option Style is European, and the Option Typ= e is a Straddle (the simultaneous buy or sale of Calls and Puts at the spec= ified Strike Price). Automatic Exercise is Applicable. US Gas Daily Opt HHub A financial Option Transaction with Enron North America Corp., under which = the Seller receives the Premium and the Buyer receives the Cash Settlement = Amount. Each calendar month during the Term of the Transaction will be a De= termination Period, provided that if the Term of the Transaction is less th= an one calendar month the Determination Period shall be the Term of the Tra= nsaction. The Notional Quantity per Determination Period shall be calculate= d from the volume submitted by Counterparty on the website in accordance wi= th the unit of measure. The Premium shall equal the product of (i) the pric= e submitted by Counterparty via the website, multiplied by (ii) the number = of calendar days during the Term of the Transaction, multiplied by (iii) th= e volume submitted by Counterparty on the website. The Payment Date for the= Premium shall be 2 business days after the Trade Date of the Transaction. = The Payment Date(s) for the Cash Settlement Amount shall be 5 business days= after the Cash Settlement Amount is determinable. Where this Transaction i= s a Call Option, the Cash Settlement Amount shall be the sum of the greater= of (i) zero, or (ii) the product of (a) the Notional Quantity per day duri= ng the Determination Period, multiplied by (b) the Index minus the Strike P= rice. Where this Transaction is a Put Option, the Cash Settlement Amount sh= all be the sum of the greater of (i) zero, or (ii) the product of (a) the N= otional Quantity per day during the Determination Period, multiplied by (b= ) the Strike Price minus the Index. The term of the Transaction shall correspond to the date(s) set forth in th= e Product description on the Website. The Index shall be the Daily Midpoint price published on each calendar day = during such Determination Period under the heading "Daily Price Survey" in = the Louisiana -Onshore South - Henry Hub section of Gas Daily, or if a cale= ndar day is not a Business Day then the price used shall be the Daily Midpo= int price published on the next succeeding Business Day. The Strike Price f= or a Determination Period shall be the South Louisiana - Henry Hub Index pr= ice in the "Market Center Spot-Gas Prices" section located in the first iss= ue of Inside Ferc's Gas Market Report published during such Determination P= eriod. The price is quoted in US Dollars per unit of volume, which will be the Con= tractual Currency. The unit of measure against which the price is quoted shall be millions of = British thermal units and the quantity shown shall be in millions of BTUs p= er day. The Option style and type shall be a European Call, ("EC"). Automatic Exerc= ise is Applicable. Thanks, Lindsay Lindsay Renaud EnronOnline (713) 345-3703