Spreadsheet: vkaminski__40915__LJM Simulation3
Sheet: Input and Calc

The following are the inputs to the programs (in the order of enumeration in the sheet "Assumptions and Methodology")
Swap Portfolio Strike Value
 | ENE | PUBR1 | PRIVR1 | Hanover | BRASR2 | NPW |  |  |  |  | WhiteWing Assets and Liabilities |  |  | Years from t = 0
 |  |  |  |  |  |  |  |  |  |  | # of ENE on WW |  | 50000000
Price | 81 |  |  | 37.88 |  | 10 |  |  |  |  | Debt on WW |  | 2500000000
Drift | 0.113 | 0.096 | 0.1 | 0.106 | 0.141 | 0.228 |  |  |  |  | Closure Date | 2003-01-15 00:00:00
Dividend Yield | 0 | 0 | 0 | 0 | 0 | 0
Portfolio Value |  |  |  |  |  |  |  |  |  |  |  |  | [NAME] | Years | Maximum
Volatility | 0.3 | 0.34 | 0.34 | 0.35 | 0.37 | 0.4 |  |  |  |  |  | Closing | Shares | since the | LMJ | Notes
Portfolio Strike Price |  |  |  |  |  |  |  |  |  |  | Raptor Charactieristics | Date | from WW | [NAME] | Payoff | Due
 |  |  |  |  |  |  |  |  |  |  | Raptor1 | 2003-04-18 00:00:00 | 3876755 |  | 36000000
Riskless Rate | 0.05 |  |  |  |  |  |  |  |  |  | Raptor2 | 2003-06-29 00:00:00 | 7809790 |  | 31100000 | 375000000
 |  |  |  |  |  |  |  |  |  |  | Raptor3 | 2003-09-27 00:00:00 | 0 |  | 30000000 |  | 259000000 | 40000000
Correlation Matrix |  |  |  |  |  |  |  |  |  |  | Raptor4 | 2003-09-11 00:00:00 | 6326045 |  | 30000000 | 350000000
ENE | 1
PUBR1 | 0.06213353778015577 | 1 |  |  |  |  |  |  |  |  | Today's Date
PRIVR1 | 0.2579753163382474 | 0.1553263343867703 | 1 |  |  |  |  |  |  |  | Divisor | 365
Hanover | 0.2141082904648867 | 0.1202943048378464 | 0.201431247864051 | 1
BRASR2 | 0.0633452584293176 | 0.0153258106338016 | 0.2432201670399814 | 0.0510087771263512 | 1 |  |  |  |  |  | ENE Price Points for the pay-off of each Raptor from the Waterfall
TNPC | 0.2198619587642717 | 0.283576465840696 | 0.2654714946679398 | 0.1397107900813294 | 0.2006314470259266 | 1 |  |  |  |  | Beg. of R1 payout
 |  |  |  |  |  |  |  |  |  |  | Beg. of R2 payout
Cholesky Factorization |  |  |  |  |  |  |  |  |  |  | Beg. of R4 payout
 |  |  |  |  |  |  |  |  |  |  | Complete R4 payout
 |  |  |  |  |  |  |  |  |  |  | ENE Shares
 |  |  |  |  |  |  |  |  |  |  | Raptor 1 | 3739175
Discount Rate (Risky) | 0.12
[NAME] choice (risky = 0) | 1 |  |  |  |  |  |  |  |  |  | NPW Shares
Compounding Rate choice (risky = 0) | 0 |  |  |  |  |  |  |  |  |  | Raptor 3 | 24117800
Random Shock Main (to WW) | 1.278923406544082 | -0.508603393036743 | -0.8075074832321737 | -2.439442520602884 | 1.219057863877312 | 0.2651949176356605 |  |  |  |  | No. of NPW in TRS | 19000000 | at | 21 | per share
Random Shock 1 (to R1) | -0.870281737742237 | 0.7931030097681565 | 0.7027590923692115 | 0.6722208493439796 | -0.4462354619356382 | -0.5671561429313657
Random Shock 2 (to R2) | -0.9365026590275953 | 0.8417470325812518 | 0.1025517706887983 | -0.5722515016040653 | -0.4480180029584141 | -1.582635731886774
Random Shock 3 (to R4) | 1.404138896592732 | 0.4625188996071436 | 1.212549920043744 | 0.2941876133368304 | 0.6704395788508518 | 0.567790477483493
Random Shock 4 (to R3) | -1.307883612553297 | 1.020720870367375 | 0.963953417055375 | -0.7295865215596941 | -1.283179829810758 | -0.1578826487981425 |  |  |  |  | Collars |  | Units equal shares held and maximum from Waterfall
Correlated Random Shock (Main) |  |  |  |  |  |  |  |  |  |  | Raptor 1 Call Price | 116
Correlated Random Shock 1 (to R1) |  |  |  |  |  |  |  |  |  |  | Raptor 1 Put Price | 81
Correlated Random Shock 2 (to R2) |  |  |  |  |  |  |  |  |  |  | Raptor 2 Call Price | 111.8633 | Raptor 4 Call Price | 112.418
Correlated Random Shock 3 (to R4) |  |  |  |  |  |  |  |  |  |  | Raptor 2 Put Price | 78.875 | Raptor 4 Put Price | 83
Correlated Random Shock 4 (to R3)
Compunding Rate Chosen
Discount Rate Chosen |  |  |  |  |  |  |  |  |  |  | Waterfall Structure |  | Number of Shares | Residual
 |  |  |  |  |  |  |  |  |  |  |  |  | Paid | after paying
 |  |  |  |  |  |  |  |  |  |  | WhiteWing
 |  |  |  |  |  |  |  |  | Interim Period
 | ENE Stock Price | PUBR1 | PRIVR1 | Hanover | BRASR2 | NPW Stock Price |  | Closing Date | (Years) |  | Raptor 1
Asset Values (Today) |  |  |  |  |  |  |  |  |  |  | Raptor 2
Asset Values at the close of WW |  |  |  |  |  |  |  |  |  |  | Raptor 3
Asset Values at the close of Raptor 1 |  |  |  |  |  |  |  |  |  |  | Raptor 4
Asset Values at the close of Raptor 2
Asset Values at the close of Raptor 4
Asset Values at the close of Raptor 3 |  |  |  |  |  |  |  |  |  |  | Carryforward rate | 0.07
 |  |  |  |  |  |  |  |  |  |  | for Raptor Gains/Losses
Raptor 1 Closing Value
Value of ENE Stocks (Held+Waterfall) |  |  |  |  |  |  |  |  |  |  | Drift Term Calculation:
Collar Gains/Losses
Public Swap Gains/Losses |  |  |  |  |  |  |  |  |  |  | Rm = | 0.16
Private Swap Gains/Losses |  |  |  |  |  |  |  |  |  |  | Rf = | 0.06
Merlin
Note Resolution |  |  |  |  |  |  |  |  |  |  | Asset | beta | drift
Assets minus Liabilities |  |  |  |  |  |  |  |  |  |  | ENE | 0.53
LJM's Payoff (R1) |  |  | PV |  |  |  |  |  |  |  | NPW | 1.68
 |  |  |  |  |  |  |  |  |  |  | BRAZIL | 0.81
Raptor [NAME] |  |  |  |  |  |  |  |  |  |  | pubr1 | 0.36
Value of ENE Stocks (Waterfall) |  |  |  |  |  |  |  |  |  |  | Hanover Compressor | 0.46
Collar Gains/Losses
Brazilian Swap Gains/Losses |  |  |  |  |  |  |  |  |  |  | Hawaii Structure
[NAME] |  |  |  |  |  |  |  |  |  |  | Maturity Date |  |  |  | Value at | float minus
Note Resolution |  |  |  |  |  |  |  |  |  |  |  | NPW Shares | Debt | Equity | 21 | fixed
Assets minus Liabilities |  |  |  |  |  |  |  |  |  |  | Series A
LJM's Payoff (R2) |  |  | PV |  |  |  |  |  |  |  | Series B/D
 |  |  |  |  |  |  |  |  |  |  | Series C
Raptor 3 Closing Value
NPW Stocks |  |  |  |  |  |  |  |  |  |  | Number of Shares | 19000000
Note Resolution |  |  |  |  |  |  |  |  |  |  | Future Value of Debt | 134767608.7644933 | 0.1
TRS (Series A, B, C, and D) |  |  |  |  |  |  |  |  |  |  | Future Value of Equity | 6901586.51416667 | 0.15
Assets minus Liabilities
LJM's Payoff (R3) |  |  | PV |  |  |  |  |  |  |  | Fixed Payment |  | at price = | 21
Raptor [NAME]
Value of ENE Stocks (Waterfall)
Collar Gains/Losses
Note Resolution
Assets minus Liabilities
LJM's Payoff (R4) |  |  | PV
LJM's Payoff (w/o cross-guarantees)
CrossGuarantees (Two-sided for LJM)
Combined A/L Position - close of Raptor4 |  |  | << Simple sum
LJM's Cross-Guaranteed Payoff |  |  | PV
 | Are we compounding the payments for LJM as they are being paid later as a result of the cross-guarantees?
 | Early payoffs from cross-guarantees (not LJM's terminal payment)are being compunded at 7%.  Should we make it equal to risky or risk-free discount rate?
Sum of individual shortfalls
Extracted Sum from LJM
LJM's CrossGuaranteed Payoff (One-sided)
 |  | Base | Low |  | Base | Low
 |  | Volatilities | Volatilities |  | Drift | Drift
Ene |  | 0.41 | 0.3 |  | 0.113 | 0.06
Public |  | 0.47 | 0.34 |  | 0.096 | 0.06
Private |  | 0.47 | 0.34 |  | 0.1 | 0.06
Hanover |  | 0.5 | 0.35 |  | 0.106 | 0.06
[NAME] |  | 0.65 | 0.37 |  | 0.141 | 0.06
NPW |  | 0.7 | 0.4 |  | 0.228 | 0.06