Gordon MoKillop ~ 0812212000 04:00 PM position report raptori .ds approval form APPROVAL.doc 8/21 draft Avici conformation forwarded email To: Chris LoehrIHOUIECT@ECT cc: Subject: ~ENT EXHIBIT 7811 Cn~,No 1~ 04 0025 Raptor I Daily Position Report & Summary 8/21/2000 Gains and Losses Previous Day's Cumulative Today's Activity Cumlative Ending Notional Capacity Credit Capacity Total Realized Unrealized $ (11,480,973) S - S (11,480,973) $ (10,934,260) $ - $ (10,934,260) 5 (22,415,233) S - $ (22,415,233) S 199,237,503 S 322,240,706 Remaining Governance Capacity $ 1,322,318,275 Inputs: Trade Date Summary: Security! Trade Settlement lnstru. Pod- Sbike Ticker Date Date ment Cost lion Price Amount Notional Value Price (ain/tLoss) Cain/(Loss) Gainl(Loss) Realized Total Market Unrealized Realized Total Prior Day Avici Systems 813/2000 8/3/2003 Swap S - Long $162.50 1,093,426 $177,681,725 $142.00 $(22,415,233) S End - S(22,4 15,233) 0 5(11,480,973) 5(22,415,233) S - 5(22,415,233) 5 - 5(11,480,973) Totals $177,681,725 Daily Price Summary Enron Avid Systems Date ENE Date AVCI 8/1/2000 8/2/2000 8/3/2000 8/4/2000 8/7/2000 8/8/2000 8/9/2000 8/10/2000 8/11/2000 8/14/2000 8/15/2000 8/16/2000 8/17/2000 8/18/2000 8/21/2000 $ 76.000 $ 77.625 $ 78.016 $ 78.000 $ 80.266 $ 82.438 $ 82.297 $ 80.766 $ 80.250 $ 84.250 $ 82.125 $ 84.016 $ 90.000 $ 86.938 $ 87.875 8/1/2000 8/2/2000 8/3/2000 8/4/2000 8/7/2000 8/8/2000 8/9/2000 8/10/2000 8/11/2000 8/14/2000 8/15/2000 8/16/2000 8/17/2000 8/18/2000 8/21/2000 S 107.500 $132.000 $163.500 $156.000 $140.625 $125.672 $138.375 $ 132.875 $130.500 $ 128.250 $128,469 $ 137.750 $ 153.938 $ 152.000 $ 142.000 Balance Sheet and 3 Percent Test Raptor I Talon Balance Sheet as of 4118100 Assets Liabilities & OWner's Equity Cash/Permitted Investment Note due from Enron Enron Shares 71,001,000 50,000,000 Put Obligation 41,000,000 C Note Due to Enron 400,000,000 350,000,000 a LJMII 30,000,000 d 471,001,000 b Enron Total Shares 1,000 471,001,000 Price UBS Peregrine Total Undiscounted Less: Discount Net 263,599,500 273,328,500 536,928,000 (186,928,000) 6 350,000,000 a 3 Percent Test Total Balance Sheet Footing Plus: Put Exposure Shares X Strike Subtotal 471,001,000 b 7,171,418 57.50 412,356,535 883,357,535 Less: Put premium received 41,000,000 c 842,357,535 X Required capitalization percentage 3.02% 25,439,198 Required Third Party Capitalization Actual Third Party Capitalization 30,000,000 d Result Test Passed Total Enron Shares Consist of: 3,739,000 3,877,000 70.50 70.50 34.8% 812112000 Analysis Income Statement Option Premiums Earned Permitted Investment Income Interest Income--Harrier Note Discount Amortization (187MM * Days 0S11080) Interest Expense (400MM * 7% * Days 05/3 60) Unrealized Gains I (Losses) Realized Gains / (Losses) 37,034,148 1,770,242 1,317,771 21,635,185 (9,722,222) h g 52,035,124 (22,415,233) 0 (22A15.233~) f Credit Analysis Initial Credit Capacity LJMII Capital Initial Discount on Enron Shares Total Initial Credit Capacity 30,000,000 186,928,000 d e 216,928,000 Plus: Talon Earnings ENE share gain (loss) Additional LJMII Capital Less: Discount Amortization Distribution to UMLI 29,619,891 f 132,328,000 6,000,000 (21,635,185) g (41,000,000) Assumptions: Enron Share Price 87.8750 LIBOR Rate 7.25% Earnings distributed to LIM as a return on capital to the extent $30 MM of LJMITs equity remains in Talon. 5/21)2000 Analysis Talon Balance Sheet Assets Liabilities & Owner's Equity Cash/Investment Note due from Em-on Em-on Shares Interest Receivable Swap Receivable Total 37,771,242 50,000,000 371,635,185 1,317,771 460,724,199 Option Obligation Swap Obligation Note Due to Em-on LJMII 0 Em-on Total 0 22,415,233 413,688,074 24,619,891 j 1,000 460,724,199 i OK 0 3 Percent Test & Capacity Calculation Total Balance Sheet Footing Option Exposure Swap Exposure Sub-Total X Required capitalization percentage Required Third Party Capitalization Actual Third Party Capitalization 460,724,199 0 155,266,492 615,990,691 3.02% 18,602,919 24,619,891 j Result Test Passed Surplus Third Party Capital 6,016,973 Equity Rolltorward (Check) Capita] LJM ENE Plus Income(Loss) Less Distributions Current Equity Ending L]M Capital Ending ENE Capital Difference 36,000,000 1,000 36,001,000 29,619,891 (41,000,000) 24,620,891 24,619,891 1,000 00K Transactions Option Premiums Earned Settle Put Premium on. ENE share Total Option Premiums Earned Cash Settlement on Put Transfer to Note 37,034,148 37,034,148 h (3,965,852) 3,965,852 Distributions to LIM on 8/3/00 (41,000,000) LJM additional Equity 813/00 6,000,000 Cash Account Beginning Balance Net Income Amortizations Unrealized Gains I (Losses) Change in: Notes Receivable Interest Receivable Notes Payable Notes Payable Interest Option Obligations Distributions LJM Equity 71,001,000 29,619,891 (21,635,185) 22,415,233 0 (1,317,771) 3,965,852 9,722,222 (41,000,000) (41,000,000) 6,000,000 Ending Balance 37,771,242 Permitted Investment Income Summary Date Beginning Balance Date Days Interest Date Beginning Balance Date Days 4/18/2000 71,001,000 8/312000 107 Historic LIBOR Quotes 4/15/2000 6.92% 5/15/2000 7.33% 6/15/2000 7.40% 7/15/2000 7.33% Avg 7.25% 1,623,882 8/3/2000 37,624,882 7/15/2000 7.33% Avg 7.33% 8/21/2000 18 Interest 146,361 Harrier Note Amortization Table In uts Principle 50,000,000 Annual Interest Rate 7.00% Term (in months) 36 Payments Per Year 2 Payment 9,383,410 4/18/2000 10/1/2000 4/1/2001 10/1/2001 4/1/2002 10/1/2002 4/1/2003 Beginning Ending Balance Pa ment Princi ie interest Balance 50,000,000 50,000,000 42,366,590 34,466,010 26,288,910 17,825,611 9,066,097 9,383,410 9,383,410 9,383,410 9,383,410 9,383,410 9,383,410 0 7,633,410 7,900,580 8,177,100 8,463,299 8,759,514 9,066,097 0 1,750,000 1,482,831 1,206,310 920,112 623,896 317,313 50,000,000 42,366,590 34,466,010 26,288,910 17,825,611 9,066,097 0 56,300,463 50,000,000 6,300,463 8/21/2000 Principle Received Interest Received Total Cash Received Time Outstanding Interest Receivable: Interest Income Period Date 0 Next Interest Next Date 0 0 125 1,317,771 1,317,771 Period 0 1 2 3 4 5 6 0 4/18/2000 1,750,000 10/1/2000 TALON DERIVATIVE APPROVAL SHEET This Approval Sheet should be used to propose derivative transactions to Talon under the Raptor structure. This Approval Sheet is for Talon's approval and is not in lieu of any other approvals that may be required. GENERAL This transaction relates to ORaptor I or ORaptor II Date Approval Sheet completed: Enron person completing this form Expected closing date: Business Unit: DETAIL DESCRIPTION [Insert a detailed description of the underlying asset.] DETAIL OF DERIVATIVE [Insert a detailed description of the type and economic terms of the derivative being entered into.] PREMIUM CALCULATION Illnclude a detailed explanation of the assumptions and information used to arrive at the premium, attach all relevant work papers associated with the calculation.] ADDITIONAL INFORMATION [For Public transactions include filing requirements and for Private transactions include valuation methodology and timing of revaluation) APPROVALS Name Signature Date Business Unit Business Unit Le2al Global Finance Global Finance Legal Talon