Message-ID: <27018067.1075858588339.JavaMail.evans@thyme> Date: Wed, 29 Aug 2001 11:47:15 -0700 (PDT) From: lindsay.renaud@enron.com To: legal <.taylor@enron.com> Subject: Gas Daily Options long description 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, Here is the entire long description as would be modified per Larry May. Al= so, in regards to your concerns about the short description the reason we = have such a constraint on these particular options is the length of the Ind= ex name. Let me know your thoughts on this as well. If Larry is okay with i= t we may be able to shorten the index name slightly. Thanks, Lindsay US Gas Daily Opt GD/D HHub - IF HHub ES 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. Lindsay Renaud EnronOnline (713) 345-3703