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r 1)
O
O
O
U
LLI
U

EXH063-00780

GOVERNMENT
EXHIBIT
  4140
  Crim. No. H-04-25 (S-2)



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SW(SEC)0004

Raptor Credit Capacity Before & After Restructuring

Original Raptor Structure:
 Shortfall of restricted shares Breakeven point is at
$75.89/share.
 Significant drop in value of NPW warrants NPW
price changed from $21/share at Raptor inception to
current $6/share.
 Significant drop in value of Raptor hedge

 Collars on ENE shares structured with Enron Corp

New Raptor Structure:
 Added ENE shares from JEDI to Raptor ll & lV at
23% discount

 Placed Collar on Raptor 11 & IV

 Monetized Tahiti Note

  1,000 -
500

  (500) .141, lip 443 Ip ~p
(1,000) .-
a
  (1,500)
(2,000)
0 (2,500)
  (3.000)
(3,500) -

  (4.000) - -



  1.000 -
500
  0 ,
5 10 15^ 25 30 35 40 45 50 55 60 65 70 75 80 85 90 95 100
w (500)
  (1,000)
m (1.500)
d
U (2.500) - - - - - -
(3,000) - - -- --
(3500)
  (4,000)
  -----

ENE (S/Share)

  risk as essment & control
2

EXH063-00781


  ENE (S/Share)




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SW(SEC)0005

Lessons Learned



 Recognize the effect of accounting hedge vs. economic
hedge

  Corp. shouldconsider hedging assets in Raptor to
minimize credit capacity volatility -- -


buf wrP
ltro~ ~'

 The new Raptor structure transferred risk in the form of ~,,t.5,; -
stock dilution f ~J1Y1

  risk. assessment & control
3

EXH063-00782


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~~ SW(s)~.C)0( 6
Appendix I v~ fir"

  .,ne:z r~~mrz-_c,r z-~.,.r.~ . _~.e~rw_-.vc--earns:cry-.:ns;~<.+cs.~+a.mr-.v!~z-=cv,cc~ceanr-c-~s.~eemrv~--mxQ~mrz~?wa-~~, ~.v-v "r.c
Raptor Credit Capacity: (ENE: $60/share, NPW: $6lshare)*

4

Raptor 1 $ 222,923,065 $ (41,000,000) $ 181,923,065 $ (421,872,987) $ 79,967,265 $ 24,127,011 $(135,855,646)

Raptor 11 218,023,063 (41,000,000) 177,023,063

Raptor IV 216,923,069 (40,469,684) 176,453,385

(23,229,378) 18,717,086 19,209,840 191,720,611

  (391,455,665) 24,622,723 (190,379,557)

Raptor III	536,473,800	(39,500,000)	496,973,800	(247,363,899)	(361,767,000)	(1,407,100)	(113,564,199)
							
Total	1,194,342,997	(161,969,684)	1,032,373,313	(692,466,264)	(654,538,313)	66,552,473	(248,078,791)

Shortfall on ENE Common stock Forwards:

Itapt'Jr 1	3,876,755
Raptor 11	7,809,790 (2,144,878)
Raptor IV	6,326,045 (6,326,045)
Rapt~x 111	24,117,800
	
T~,tal	18,012,590 (8,470,923) 24,117,800

  -
U) o LO o uD o rn
  (50) n ~7
s (100)
-o y (150) -.
u -`m (200)
a (250)
(300)
c o
   (350)
  (400) -
c (450)
  (500)
  ENE ($1share)

  risk a %essment & control
` tlnte: Used the hedging asset value on 3/7/01. 4



EXH063-00783



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SW(SE(-1)000'7

Appendix 11: Collars in Raptor Structures
Collars in Original Raptor Structures

  Raptor I: Long put @81.00, short call @116.00, 3,876,755 shares

 Raptor II: Long put @78.88, short call @111.86, 7,809,790 shares

  Raptor IV: Long put @83.00, short call @112.42, 6,326,045 shares

Haptor I Cellar f or FNE FWD Shares

  1"() (1)
  -
nu W
  ll1tl W
- JI)W
re,( ry?
2 10,0"
60J ,

Raptor II Collar For ENE FWD Shares

  120.(X1 __...-----------
51000
  100.00
9000
0 80.00 ' - - - -
a
r 70.00 ---
WOO
  C
  1P 41 1P (S) r
  41 1&
QNE (SJShare)

Collars in New Raptor Structure

  Both Raptor II and IV have same collar structure.

  Raptor II: Long put @$61.48, short call @$91.04, 7,919,393 shares

 Raptor IV: Long put @$61.48, short call @$91.04, 4,080,607 shares

Raptor IV Collar For ENE PND Shares

  120.00
w 110.00
y 100.00 -
~: 00.00 ~-
80.00
0
  70.00 - -
f
  60.00 r -,
  o o o o o cP d~ c4 P
ENE (S/Share )

Raptor II & IV Collar For JEDI ENE Shares

  100.00 --- - ---- -- -------
0
N
v 80.00
0 70.00
r
  60.00
5060 T- r r
  ct 00 00 00 00 00 ~0 00 00
ENE ($/Share)

  yz. _ _ y _~ ~Fr~ risk, assesisiment & control
5

EXH063-00784


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Sw(SPC)000X

Appendix 111: Project Tahiti

 Porcupine, a third party, is making payments to Pronghorn I LLC, on a $259MM notional note.
 The note is due on April, 2005.

  Pronghorn 1 -- LLC, is a sub-structure of Raptor.

 Pronghorn monetized the note with Hawaii 125, another ENE off-balance sheet structure.
Currently, $30 MM of the note has been monetized with no discount

  By 2001 end of year, another $50 MM with be monitized with no discount.
 The remaining $179 MM note will be monetized in the next few years.



  i'ayiiiaiia Ui the note on
  the notional $259 MM. Proiglioi'ii 1 LL,C
  11

Porcupine

(Structure under '

Project Tahiti: To monetize
the note with Hawaii 125

~~ t),lrly) Po[cupineunderwritten
  -- a note for he notional Raptor)
  amount of $259 MM. ;

Cash payment to
Pronghorn 1, LLC-

Hawaii 125

  -----------------------------------------------------------

  risk `~'_ as essme_nt & control
  6

EXH063-00785