============= Page 1 of 48 ============= J. I I/ /,)), ~ 0 0/ -V"vw- /-r,- 4,06 F a / v Communication Excellence Integrity Form 000-0466 (3/98) EXH012-02837 Respect EC38749A0030495 GOVERNMENT EXHIBIT 2581 Crim. No. H-04-25 (S-2) ============= Page 2 of 48 ============= " Y r YI/ 1 ~F f A y ~' 1%' :~lr 1 1~ :! I Respect Integrity Communication Excellence EC38749AO030496 Form 000-0466 (3/98) EXH012-02838 ============= Page 3 of 48 ============= 10", q CIP ft, AA1-. 2)~cfc - ~51 S /7 ) 21 1141 % IL Respect Integrity Communication Excellence EC38749AO030497 Form 000-0466 (3/98) EXH012-02839 ============= Page 4 of 48 ============= les- ~~ ejag,~~ t ,~-ez,k f .EC38749A0030498 - _ In ej'& munication xcellence Form 000-0466 (3/98) EXH012-0284 ( ,0 ============= Page 5 of 48 ============= ~ n13 Sid -" --~- Y Respect Integrity Form 000-0466 (3/98) Communication Excellence EC38749AO030499 EXH012-02841 ============= Page 6 of 48 ============= C~) r. ---- - -------- - 1 ` .EC38749A0030500 __ Respect Form 000-0466 (3/98) Integrity Communication ' Excellence =XH012-02842 ============= Page 7 of 48 ============= 3 i i CONFIDENTIAL ~ titi ti Finance Committee Meeting December 20, 2001 Committee Members + Mr. Herbert S. Winokur, Jr., Chairman Mr. Robert A. Belfer Mr. Norman P. Blake, Jr. Mr. Ronnie C. Chan Mr. Paulo V. Ferraz Pereira Mr. Frank Savage EC38749AO030220 ' Endless possibilities 1M =XH012-02843 ============= Page 8 of 48 ============= EC38749AO030221 Agenda EXH012-02844 ============= Page 9 of 48 ============= Herbert S. Winokur, Jr., Chairman Robert A. Belfer Norman P. Blake, Jr. Ronnie C. Chan Paulo V. Ferraz Pereira AGENDA Frank Savage Meeting of the Finance Committee of the Board of Directors of Enron Corp. 10:30 a.m. (CDT), December 20, 2001 50th Floor Boardroom, Enron Building Houston, Texas 1. Consider for approval the minutes of the previous meeting of the Finance Committee Q 2. Chief Risk Officer Report Quarterly Risk Update - Investment Portfolio - Market Risk Update - Trade Credit Update .3. Finance Report 4. Other Business 5. Adjourn EXH012-02845 4-1 5-1 See Addendum for Deal Approval Sheets approved between Board meetings EC38749AO030222 Page Mr. Winokur 1-1 Mr. Buy 2-1 2-2 2-16 2-23 Messrs. McMahon 3-1 and Bowen ============= Page 10 of 48 ============= EC38749AO030223 Agenda Iteml EXH012-02846 ============= Page 11 of 48 ============= REVISED AGENDA ITEM 1 FINANCE COMMITTEE OF THE BOARD OF DIRECTORS ENRON CORP. December 20, 2001 Minutes to be considered for approval: October 8, 2001 EC38749AO030224 =XH012-02847 ============= Page 12 of 48 ============= MINUTES MEETING OF THE FINANCE COMMITTEE OF THE BOARD OF DIRECTORS ENRON CORP. October 8, 2001 Minutes of a meeting of the Finance Committee ("Committee") of the Board of Directors of Enron Corp. ("Company"), held pursuant to due notice at 4:30 p.m., C.D.T., at the Enron Building in Houston, Texas. All of the Committee members were present, as follows: Mr. Herbert S. Winokur, Jr., Chairman Mr. Robert A. Belfer Mr. Norman P. Blake, Jr. Mr. Ronnie C. Chart. Mr. Paulo V. Ferraz Pereira Mr. Frank Savage Directors John H. Duncan, Kenneth L. Lay, and Charles A. LeMaistre, Messrs. William S. Bradford, Richard B. Buy, Richard A. Causey, Timothy A. DeSpain, Andrew S. Fastow, Mark A. Frevert, Ben L. Glisan, David B. Gorte, Mark E. Koenig, David R. Port, and L. Greg Whalley, and Ms. Paula H. Rieker, all of the Company or affiliates thereof, also attended the meeting. Mr. Richard N. Foster, of McKinsey & Company, Inc., joined the meeting in progress as noted below. The Chairman, Mr. Winokur, presided at the meeting, and the Secretary, Ms. Rieker, recorded the proceedings. Mr. Winokur called the meeting to order, noted that a draft of the minutes of the meeting of the Committee held on August 13, 2001 had been distributed to the Committee members, and called for any corrections or additions. There being none, upon motion duly made by Mr. Blake, seconded by Mr. Chan, and carried, the minutes of the meeting of the Committee held on August 13, 2001 were approved as distributed. Mr. Foster joined the meeting. Mr. Winokur called upon Mr. Fastow to present the Chief Financial Officer's report, a copy of which is filed with the records of the meeting. Mr. Fastow summarized recent activity for total return swaps and stock repurchases EC38749AO030225 =XH012-02848 ============= Page 13 of 48 ============= and reviewed the Company's total interest rate exposure, including the mix between fixed and floating interest rates. He then reviewed the financial liquidity of the Company, noting that the liquidity risk ratio of the Company as of September 26, 2001 was significantly above the minimum ratio required by the Board and that the ratio had decreased since that date but still remained well above Board limits. He indicated that the ratio still resulted in adequate liquidity coverage when tested for very negative market events. Mr. Winokur emphasized the importance of adequate liquidity and suggested continued analysis and scenario testing. Mr. Fastow then discussed other asset monetizations, including certain transactions with similar characteristics to debt financing, and noted the importance of maintaining valuations for the assets at least equal to the monetization values. He also summarized the asset divestiture plan of the Company, which, upon completion at the end of 2002, was expected to yield $4.7 billion of debt reduction and to have a minimal impact on the earnings of the Company. Mr. Winokur called upon Mr. Glisan to report on certain restructuring initiatives. Mr. Glisan provided an update on the Dabhol power plant in India. A discussion ensued regarding the status of the resolution of disputes related to the plant. He also described the economics of a structure named Raptor and reported on the recent termination of Raptor and associated financial impacts to the Company, including a $1,000,000,000 reduction to shareholder equity and an approximate $800,000,000 reduction to expected third quarter 2001 earnings. He attributed the earnings reduction to a lack of credit capacity of Raptor to absorb losses associated with the Company's investment in The New Power Company. He then answered questions regarding the associated economics and accounting. He also provided an update on the Whitewing structure, indicating that the structure included $2.4 billion of assets and that bonds related to the structure would require funding in September of 2002. He then commented on the structure related to the Company's ownership of Azurix Corp. Mr. Winokur called upon Mr. Glisan to present the Treasurer's Report, a copy of which is filed with the records of the meeting. Mr. Glisan reviewed the Company's active letters of credit and discussed the increased levels since year- end. He presented the Company's guarantee portfolio as of August 31, 2001 and noted an increase in the total guarantees since year-end. He then presented the liquidity forecast, commenting on the sources and uses of funds expected by year- end, the Company's funding activity following the terrorist events on September 11, 2001, financings expected during the remainder of the year, and the generally difficult environment in the capital markets. He presented the Company's key financial ratios, noting that the Company was on target to meet the year-end goals. He then discussed the Company's ratings by the rating agencies, commenting on the stable outlook for the Company at each of the agencies. He further 2 EC38749AO030226 EXH012-02849 ============= Page 14 of 48 ============= commented that a negative watch was the likely worst ratings outcome- for the Company if general economic funds deteriorated further. He provided an update on the cash impact of the Company's working capital, investing activities, and asset sales initiatives. He reviewed the overall cost of capital to the Company and provided an update on current costs of new financings for Enron and other peer energy companies. Mr. Winokur emphasized the importance of diligently executing the form of financings demanded in the current marketplace. Messrs. Frevert, LeMaistre, Savage, and Whalley left the meeting. Mr. Winokur called upon Mr. Buy to present the Chief Risk Officer's report, a copy of which is filed with the records of the meeting. Mr. Buy reviewed the respective roles of the Audit and Compliance Committee and the Finance Committee in monitoring the Risk Management Policy ("Policy") of the Company and in reviewing transactions previously approved. He reported on the implementation of the new Policy and related reporting. He also provided an update on the trade credit portfolio of the Company, noting that there were no significant changes from the prior report dated June 30, 2001. He indicated that the level of credit exposure related to the Company's largest counterparty continued as an area of concern. He then reported on the collateral activity of the Company, indicating that the level of collateral provided to counterparties had reduced from prior levels due to lower commodity prices and that collateral activity in the third quarter had resulted in net cash inflows to the Company. Mr. Savage joined the meeting. Mr. Koenig indicated that the deposits had recently become the single largest item in the Company's cash flow statement and that investors expected the Company to achieve strong cash flow from operations, excluding the deposit activity. Mr. Buy then commented on receivables owed to the Company by Pacific Gas & Electric and on the expected impact to the Company's retail credit portfolio of recent economic trends. Mr. Winokur called upon Mr. Buy to review the Market Risk Update for the Company, a copy of which is filed with the records of the meeting. He reported on the Company's potential capital expenditures relating to transactions currently under review, indicating total potential outflows of cash of approximately $2.5 billion and a probability adjusted level of $877 million of outflows. He reported that these potential outflows should be significantly offset by cash inflows, resulting in $1.5 billion of net outflows and $350 million of outflows on a probability adjusted basis. Mr. Winokur requested a routine update to the information, sorted by the level of risk associated with the proposed expenditures. Mr. Buy then reviewed a risk profile report, indicating that the 3 EC38749AO030227 :XH012-02850 ============= Page 15 of 48 ============= report format followed the Policy framework and reflected the Company's risk management approach. He reviewed summaries of profit and loss and average Value-at-Risk ("VAR") of the Company's wholesale businesses by both market concentration and major business units. He discussed returns on average VAR by commodity group by both market concentration and major business units. A discussion ensued on the returns experienced by different units, reasonable return expectations in the current environment, and management's assessment of certain business units. Mr. Buy also reviewed the backtesting performed on the aggregate VAR of the Company, a quarterly comparison of the utilization of the VAR limits, and analyses of various scenarios and related potential losses, which fell within acceptable ranges. A discussion ensued regarding certain new markets entered by the Company and the respective competitive advantages of the Company and acceptable risk management approaches in the new markets. Mr. Buy then reviewed a liquidity risk ratio analysis, indicating it represented the amount of cash available or committed to the Company relative to the future cash requirements of the Company's trading portfolio. He also discussed the Company's foreign exchange exposure related to Brazilian currency, citing an increase in the cumulative translation adjustment balances of the Company. He then reviewed implementation of procedures to perform on-going reviews of transactions. He also recommended amendments to the Policy, noting that no changes to the aggregate VAR limits were being requested. Following a discussion, upon motion duly made by Mr. Blake, seconded by Mr. Ferraz Pereira, and carried, the proposed amendments to the Policy were approved for recommendation to the Board. Following a discussion, upon motion duly made by Mr. Belfer, seconded by Mr. Duncan, and carried, the Committee approved the deferral of the discussion of Project Southwood to the Board meeting. There being no further business to come before the Committee, the meeting was adjourned at 6:20 p.m. C.D.T. Secretary APPROVED: Chairman I:\CS-Rieker\a Minutes\2001 Minutes\100801 f.doc 4 EC38749AO030228 =XH012-02851 ============= Page 16 of 48 ============= AGENDA ITEM 1 FINANCE COMMITTEE OF THE BOARD OF DIRECTORS ENRON CORP. December 20, 2001 Minutes to be considered for approval: NONE Minutes circulating for comments and not yet ready for approval: October 8, 2001 EC38749AO030229 =XH012-02852 ============= Page 17 of 48 ============= EC38749AO030230 Agenda Item 2 EXH012-02853 ============= Page 18 of 48 ============= Enron Corp. Chief Risk Officer Report December 20. 2001 2-1 EC38749AO030231 =XH012-02854 ============= Page 19 of 48 ============= Investment Portfolio 2-2 EC38749AO030232 =XH012-02855 ============= Page 20 of 48 ============= Investment Portfolio Summary In $MM's 6/30/01 Net Portfolio Carry Value $11,319 'ublic Equity $920 8% Property Structured Equity Debt 0% $593 5% 9/30/01 Net Portfolio Carry Value $10,898 Q3 2001, Activity blic Equity $767 7% __.Property Structured Equity Debt $43 $619 0% 6% Net Portfolio Net Portfolio Carry Value Net Net Change in Carry Value 6/30/01 Additions Disposals Syndications Valuation 9/30101 ~2. $11,319 $202 ($328) $119 ($414) $10,898 Investment Portfolio at 6/30/01 and 9/30/01 includes Azurix assets. Investment Portfolio excludes EES, Dark Fiber Assets, Enron Wind Corp, Enron Transportation Services, Bridgeline, TNPC, etc. 2-3 EC38749AO030233 =XH012-02856 ============= Page 21 of 48 ============= Summary of Investment Portfolio as of September 30, 2001 In $MM's Net Portfolio Carry Value $10,898 by Business Unit 2% $79 / 1% 2% Numbers in italics represent comparable amounts at June 30, 2001. 2-4 $339 3% 0% Expectations $392 3% r EC38749AO030234 =XH012-02857 0% Industrial 1% Markets Global $503 Markets 5% $188 4% 2% 2% by Industry by Performance Category Below Expectations $4,486 ============= Page 22 of 48 ============= Portfolio Summary as of September 30, 2001 In $MM's Net Portfolio Carry Value $10,898 by Performance Category Below Expectations $4,486 Expectations $392 3% 5x Current & Disposed Deals by owe Year of Original Investment  Ma E3pectatlo. 10PX. 90% a 7M 60% 19209 1903 1904 I 1900 19W 1000 1969 2000 3D01 Numbers in italics represent comparable amounts at June 30, 2001 Vengas 151 EcoElectrica Equity 120 Transportadora De Gas Del Sur 448 Compagnie Papiers Stadacona 404 El Paso (East Coast Power Proceeds) 285 American Coal Company 111 Below Expectations Wessex Water 1,851 Mariner* 517 Sarlux 354 SK - Enron 296 CEG/CEG RIO 271 Trakya 220 Gaspart 195 Promigas 165 Azurix North America 128 Elektro 2,017 Dabhol 872 Cuiaba 549 Azurix Buenos Aires 165 Transredes 147 Smith/Enron Cogeneration 112 Bahia Las Minas 104 2-5 *Material write down is expected in Q4 2001. EC38749AO030235 =XH012-02858 ============= Page 23 of 48 ============= Portfolio Performance Top 10 and Bottom 10 Investments as of September 30, 2001 Top 10 Investments Net Carry Value In $MM's Transportadora De Gas Del Sur 448 El Paso (East Coast Power Proceeds) 285 Vengas 151 EcoElectrica 139 American Coal Company 111 Batangas 52 Hanover 16 HORNBECK-LEEVAC Marine 10 Active Power 2 Las Vegas Cogen I and II 0 Bottom 10 Investments Elektro Wessex Water Dabhol Cuiaba Mariner Gaspart Azurix Buenos Aires Transredes Bahia Las Minas Cypress Exploration Net Carry Value In $MM's 2,017 1,851 872 549 517 195 165 147 104 22 Major Events El Paso Problems with the monetization of the swaps (East Coast Power have led to arbitration. Proceeds) EcoElectrica Sale expected to close in Q4 2001. American Coal During Q4 2001, all debt was paid in full. The Company coal purchase agreement remains. Hanover All shares were sold during Q3 and 04 2001 through short sales. Active Power During 2001, the $5.OMM initial investment was sold for $22.5MM in proceeds. Las Vegas Cogen Sold during Q3 2001 for proceeds of and II $201.2MM with a realized gain of $41.5MM. Mariner Ewing Bank 966 is in production. Green Canyon 516 (Deepwater) is expected to be on-line in January. Existing management was replaced by Enron personnel. Gaspart Efforts to sell have been restarted. 2-6 EC38749AO030236 XH012-02859 ============= Page 24 of 48 ============= RAC Underwriting & Investment Valuation • The Enron investment valuation methodology is premised on separating the investment decision from the financing decision • Net Present Value ("NPV") is determined by discounting unlevered free cash flows to the investor • The Capital Price reflects the unique risk profile of the specified asset/project and is validated with the use of: • Capital Asset Pricing Model -- Rf + R * (Rm - R), with additional premia, as necessary, for country risk and operating risk • Comparable companies (implied value based upon similar publicly-traded companies) • Comparable transactions (implied value based upon similar recent merger and acquisition transactions) • The Expected NPV ("P50") is calculated using Monte Carlo simulation with probability distributions around major variables • A Levered IRR is determined using appropriate pricing, tenor and debt-to-capitalization assumptions for any potential asset-specific debt - • The Terminal Value is typically based on remaining contract life, EBITDA multiples or cash flows in perpetuity discounted at a Capital Price and with a Liquidity Discount appropriate for the specified asset/project 2-7 EC38749AO030237 :XH012-02860 ============= Page 25 of 48 ============= EES - Cash Burn Rate EES Projected Total Cash Burn Rate $- $(50) N $(100) c $(150) $(200) $(250) $(300) 2001 2002 Based on existing staffing levels and includes cash paid in other groups (ENW, Corp, etc.) 2-8 EC38749AO030238 =XH012-02861 ============= Page 26 of 48 ============= Post Transaction Review - Stadacona Transaction Description Purchased from Daishowa Paper Manufacturing Co. LTD, 100% equity interest in a paper mill in Quebec City, Canada, a sawmill in Leduc, Canada, and timberlands in St. Aurelie, Maine for approximately $389MM in March 2001. Issues Changing from custom-made orders to commodity based trading has created operational issues. Conclusion During short period of ownership, Stadacona has performed within expectations. 2-9 EC38749AO030239 =XH012-02862 ============= Page 27 of 48 ============= Post Transaction Review - Stadacona For the nine months ended 9/30/2001 In $MM's Acquisition Actual Model Variance EBITDA 71.5 70.3 1.2 Major Variances Income: Volume/Price Decreases' Sawmill Volume Reductions2 Expense: Reduced Variable Costs2,3 Other 200.3 210.1 (9.8) 7.8 13.7 (5.9) (229.9) (245.6) 15.7 1.2 1.2 Reduced newsprint and directory paper volume sales and sales prices. -'Model assumed sales of chips, bark, shavings and sawdust at sawmill. 3 Due to lower volumes produced, variable expenses have declined, primarily in newsprint and sawmill operations. 2-10 EC38749AO030240 =XH012-02863 ============= Page 28 of 48 ============= Post Transaction Review - Garden State Paper Transaction Description Purchased from Media General, Inc. 100% c located outside Newark, NJ, for $77MM. and commitment of $15MM, in July 2000. Issues f a recycled newsprint mill an additional capital • Failure to identify the extent of deferred maintenance and inability to produce "industry-standard" quality product. • Significant capital expenditures are required to improve product quality in order to stay competitive during weak demand periods. Currently, Garden State Paper is not generating sufficient cash flow for the required capital expenditures. • Failure to align O&M Provider's economic interests, across changing market conditions, with Enron. Conclusion Garden State Paper has not generated returns as expected, and it is not expected to be profitable without significant capital expenditures. 2-11 EC38749AO030241 :XH012-02864 ============= Page 29 of 48 ============= Post Transaction Review - Garden State Paper For the nine months ended 9/30/2001 In $MM's Acquisition Actual Model Variance EBITDA (2.1) 9.6 (11.7) Major Variances Revenue' 93.3 91.5 1.8 Production Costs2 (88.0) (74.7) (13.3) Other (0.2) (11.7) Prices and volumes of original newsprint swaps were changed in January 2001. 2Acquisition model assumed lower raw material freight cost and lower variable expenses for raw material, energy, solid disposal/utility, and other expenses. 2-12 EC38749AO030242 =XH012-02865 ============= Page 30 of 48 ============= Post Transaction Review Candidates as of September 30, 2001 In $MM's Investment Country Cost Basis Elektro Wessex Water Dabhol Azurix Buenos Aires Cuiaba Transportadora De Gas Del Sur Sarlux SK - Enron Mariner Brazil 2,017 UK 1,851 India 872 Argentina 555 Brazil 549 Argentina 448 Italy 350 South Korea 296 US 272 2-13 EC38749A0030243 :XH012-02866 ============= Page 31 of 48 ============= This page intentionally left blank. 2-14 EC38749AO030244 =XH012-02867 ============= Page 32 of 48 ============= This page intentionally left blank. 2-15 EC38749AO030245 :XH012-02868 ============= Page 33 of 48 ============= Market Risk Update 2-16 EC38749AO030246 =XH012-02869 ============= Page 34 of 48 ============= Market Risk Update Table of Contents • Risk Profile • Risk Profile by Business Unit • Backtesting of Enron Corp. Aggregate VaR • Utilization of VaR Limits • Business Unit VaR Violations 2-17 EC38749AO030247 EXH012-02870 ============= Page 35 of 48 ============= Risk Profile Year to Date as of November 15, 2001 and 2000 1,200 1,015 1,018 0 703 600 1 ~: ~~ 477 301 i  E711 c l  I 74 14-71 10340 6 7 , I0 Americas Americas European , ' 1 _ - Emerging Products Financials Gas Power Gas & Businesses Power Market Concentration(,) Trading P&L YTD 11/15/01 P&L = $3.5 Bn ($MM) 1,730 ff3-71- YTD 11/15/00 P&L = $2.2 Bn I 1,8001 Business Unit Comparison Trading P&L YTD Trading P&L = $3.5 Bn ($MM) 2,700 - ---- ------- --- YTD Average VaR = $79 MM Average VaR YTD 11/15/01 Avg VaR = $79 MM ($MM) r_ YTD 11/15/00 Avg VaR = $41 MM ~ (3) (3) (5) (6) (6) 11 20) ( ' ( ) 16) 3) ~ (21) (40) (31) (33) (60) (63) (80) Americas Americas European Emerging Products Financials Gas Power Gas & Businesses Power Return on VaR - Year to Date as of November 15 Enron Return on VaR - Year to Date as of November 15 Enron 2001 183% 205% 196% 194% 63% 165% 299% 2001 289% 224% 118% 142% I 299% 2000 219% 218% 158% 75% 1 42% 189% 362% 2000 304% 155% 117% 184% 362% 1,800 900 0 Average VaR ($MM) 0 (20)- (40)- (60) (80) Americas (1) Commodities aggregated per Concentration Limit categories 2-18 EC38749AO030248 EXH012-02871 Americas Europe Global Industrial Markets Markets Europe Global Industrial Markets Markets ============= Page 36 of 48 ============= Risk Profile by Business Unit Year to date as of November 15, 2001 and 2000 Americas Europe Global Industrial ($MM) 1,500 1504 Markets Markets 1,195 1,208 YTD 11/15/01 P&L = $3.5 Bn Trading P&L YTD 11/15/00 P&L = $2.2 Bn 1 003 890 704 585 338 280 255 133 82 56 51 88 i 54 37 1 10 4 51 13 40 33 24 5 14 6 (33) 9 17 ,23 22 15 I (3), (25) NA Gas NA Power Americas ; UK Power European Metals Continental Credit Australian/ Nordic i Coal Global cts P od Weather Global ( Steel Pulp, Markets Paper & Other Gas Power Trading Japanese Power j r u Other Lumber ($MM) Power 0 P ~F<: (14) ; (28) YTD 11/15/01 Avg VaR = $79 MM (42) Average VaR YTD 11/15/00 Avg VaR = $41 MM (56) Return on VaR - Year to Date as of November 15 2001 193% 231% (4%) 153% 146% 85% 115% 80% 150% (108%) 243% 34% 115% 139% 180% (14%) 2000 216% 218% 173% 141% 7% 27% 160% 33% 80% 54% 98% 24% 61% 184% NA 184% - Total Enron RoVaR YTD 11/15/01 = 299% Total Enron RoVaR YTD 1 1/15/00 = 362% A 2-19 EC38749A0030249 EXH012-02872 ============= Page 37 of 48 ============= Backtesting of Enron Corp. Aggregate VaR 12 Months Ended November 15, 2001 ($MM) Curve Shift P/L VaR VaR Limit - Expected Tail Loss (ETL)   ' ETL Advisory Limit 600 200 12/4/00 - $485 MM rTJ 12 Month Corp. Limit Evolution: 10/07/00 12/07/00 12228/00 02/13/01 08/14/01 10/29/01 (MM) $100 $140 $100 $125 $150 $85 2-20 EC38749AO030250 100 0 (100) I JV" Y" W V i -..) w~/($85 MM) (200) Loss Notifications >VaR Limit (MM) ($105) 11/16/00 ($89) 11/07/01 ($136) 12/07/00 ($91) 11/08/01 ($630) 12/12/00 ($100) 11/09/01 (300) ($215) 12/13/00 ($102) 11/12/01 ($194) 04/09/01 ($96) 11/13/01 ($139) 06/11/01 ($88) 11/14/01 ($93) 11/15/01 (400) 2/12/00 - ($551 MM) r 11 Conclusion: Kupiec Test sets out acceptable range of instances where curveshift profit and loss exceeds VaR. At 95% confidence and for the 250 trading days shown, the acceptable range is between 6 and 21 times. Actual occurrences are 19, indicating that the VaR model is acceptable.  ........................  ($520 MM) (600) 0 2 °o °0 0 0 0 0 2 0 0 0 0 2 2 0 0 2 2 2 0 0 0 2 2 0 2 0 2 0 0 0 0 0 0 0 0 \ N a N r N a r N r N r N r N r N ^ r N -- N r N r N r r dc~ r r a c~ c~ c~ 4 4 co co n n ao ao rn 85 r o o EXH012-02873 ============= Page 38 of 48 ============= Utilization of VaR Limits 2001 Quarterly Comparison Percentage of VaR Limit Average VaR 100% 75% 50% 25% 0% Note 1: Q4 2001 represents October 1 through November 15, 2001. Note 2: Utilization calculations were based on Commodity Group Limits. 2-21 EC38749AO030251 =XH012-02874 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 04 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 02 Q3 Q4 Q1 Q2 Q3 Q4 Americas Americas European Emerging Products Financials TOTAL ENRON Gas Power Gas & Power Businesses TRADING ============= Page 39 of 48 ============= 6 5 4 3 2 1 0 Total Enron Trading (1) Business Unit limits were first approvea ar me August WU I ouaru mmauuiy 2-22 EC38749AO030252 EXH012-02875 Enron Enron Europe Enron Global EWS Office of Enron Global Enron Enron Americas Assets the Chair Markets Industrial Broadband Markets Service ============= Page 40 of 48 ============= Trade Credit Update 2-23 EC38749AO030253 EXH012-02876 ============= Page 41 of 48 ============= Trade Credit Update As of COB December 17, 2001 EC38749AO030254 =XH012-02877 ============= Page 42 of 48 ============= Top 25 Net Credit Exposures for 12/17/01 E-Rating Counterparty Name (Legal Entity) 4 TXU Europe Energy Trading Ltd. 1,520,028,000 12 Pacific Gas & Electric Company 505,000,000 2 Bonneville Power Administration 384,508,000 2 JPMorgan Chase Bank 302,957,000 4 Nevada Power Company 264,088,000 7 EOTT Energy Liquids, L.P. 203,028,000 2 Koch Petroleum Group, L.P. 181,333,000 1 United States Department of Energy 161,780,000 7 Calpine Energy Services, L.P. 157,282,000 12 Southern California Edison Company 132,598,000 4 Sierra Pacific Power Company 131,723,000 3 City of Santa Clara California, Silicon Valley Power 119,732,000 2 Pacific Bell 95,505,000 4 Petro-Canada Oil and Gas 95,142,000 3 IBM Corporation 92,455,000 2 The Peoples Gas Light & Coke Company 88,574,000 4 AEP Energy Services, Inc. 79,171,000 4 Canadian Natural Resources 78,191,000 3 Accord Energy Ltd. 76,126,000 4 United Illuminating Company 76,089,000 5 Tractebel Energy Marketing, Inc. 65,884,000 3 PowerGen UK Plc 62,320,000 4 British Energy Generation Limited 57,111,000 2 Morgan Stanley Capital Group, Inc. 55,500,000 3 Power Authority of the State of New York 50,737,000 EC38749AO030255 =XH012-02878 ============= Page 43 of 48 ============= Enron Asset Dilution • Total trade credit asset value as of 11/30/01 = $11.6 Billion • Enron asset value will be reduced by: • One-way termination provisions • Set-off provisions • Valuation adjustment due to bid-offer spreads • Collateral held EC38749AO030256 EXH012-02879 ============= Page 44 of 48 ============= Cash Collateral* In $MM's ~ Incoming Outgoing • Net Cash $2,000 1,615 1,678 1,609 1,620 1,645 1,485 1,396 $1,500 1,261 1,082 957 938 845 893 $1,000 $500 $0 ($500) ( ) ) ) ($1,000) (1 ) r V ($1,500) ( 9) 2 1 6) ($2,000) (1,823) (1,687) (1,791) (1,823) 992 1 (1,916) (1,822) (1,950) ) ( , (2,134) ($2,500) (2,356) (2,340) (2,303) (2,269) ($3,000) T O \ N T O \ T T O \ O T O \ T O \ N T O \ W T O \ O T O \ N T O \ C7 T O \ ~O T O \ O T O \ 00 - T O \ O T Q1 O N Q1 O M C1 O O O T T O T r O T N O T O_ T T O_ T T r- T T N_ T T N T T T N T *1 cludes OTC and NYMEX positions EC38749AO030257 EXH012-02880 ============= Page 45 of 48 ============= To be provided at the meeting 2-24 EC38749AO030258 EXH012-02881 ============= Page 46 of 48 ============= EC38749AO030259 Agenda Item 3 Fuuni-RR2 ============= Page 47 of 48 ============= Finance Report 3-1 EC38749AO03026 EXH012-02883 ============= Page 48 of 48 ============= To be provided at the meeting 3-2 EC38749AO030261 EXH012-02884