eastern unless model protection form know true exposure need team reassessing model benefit credit proctection please keep working john soma ghosh 07 03 2000 17 57 john sherriff lon ect ect cc william bradford hou ect ect tanya rohauer hou ect ect vasant shanbhogue hou ect ect bryan seyfried lon ect ect subject eastern john currently modelling effect insurance eastern individual risk basis spoken length houston research credit risk management given portfolio risk dynamic specific allocation protection appropriate mentioned earlier message 135 mm cap one loss assuming losses occured prior happy discuss required bill appreciate comments may regards soma john sherriff 06 03 2000 15 06 soma ghosh lon ect ect bryan seyfried lon ect ect mariano gentilini lon ect ect cc subject eastern soma modeling affect insurance packages eastern deal john soma ghosh 06 03 2000 11 53 john sherriff lon ect ect cc subject eastern protection fixed allocation protection individual counterparties covers global portfolio risk enron place 3 tranches credit insurance covering 135 mm per event whilst insurance counterparty specific would available credit loss eastern provided losses incurred prior eastern loss already discussed houston credit risk management point time resolution finding appropriate way allocate protection name summary insurance enron absorbs first 10 mm losses one year capped aggregate 30 mm ten year period aegis absorbs next 35 mm losses ten year period chubb pick next 50 mm losses single event 100 mm losses aggregate 5 years rsa takes next 50 mm losses excess 95 mm five year period covers top 9 counterparties exposure regards soma john sherriff 03 03 2000 18 16 soma ghosh lon ect ect cc subject eastern soma company credit insurance done houston last year affect exposure john soma ghosh 03 03 2000 16 24 john sherriff lon ect ect cc david weekes lon ect ect steve w young lon ect ect barry pearce lon ect ect fernley dyson lon ect ect william bradford hou ect ect rick buy hou ect ect oliver gaylard lon ect ect subject eastern please note total exposure number 979 8 mm 783 2 mm apologies soma forwarded soma ghosh lon ect 03 03 2000 16 22 soma ghosh 03 03 2000 16 17 john sherriff lon ect ect cc david weekes lon ect ect steve w young lon ect ect barry pearce lon ect ect fernley dyson lon ect ect william bradford hou ect ect rick buy hou ect ect oliver gaylard lon ect ect subject eastern john requested total exposure 29 feb 2000 620 9 mm 783 2 mm eurocash monetezation ol 24 7 mm 196 1 mm less credit derivatives 40 0 mm 63 1 mm total net exposure 29 feb 2000 456 2 mm 713 9 mm net month month increase ol 25 4 mm 197 9 mm total value eastern group guarantee 520 mm 820 6 mm amount backed txu zero well increase overall exposure please note change shape exposure month month notably credit exposure peaking front end transaction ex credit derivs max exposure day 1 compare max exp feb 2005 month end jan shape profile increase mtm primarily due power curve downward shift front end yrs 0 11 power curve upward shift back end yrs 12 18 gas curve upward shift yrs 1 5