SEC VaR

In December we entered two swaps on Enron stock to hedge out the exposure we
created by granting options. We consider them trading securities, so I have
included them in the spreadsheet accordingly.

Gail Tholen explained to me that we have long term contracts to remove the
variability of revenues in Bammel Looper and Mid Texas. I have changed the
total return swap model to use the volatility of prices in 2013 (when the
contracts expire), rather than spot volatilities. As a result, December VaR
for total return swaps fell from $34 to $28 million.

With the partly offsetting effects of the new Enron stock and total return
swaps, December VaR for trading securities therefore fell from $70 to $68
million.

I recalculated total return swap VaR for the rest of 2000 using volatilities
for 2013. Nevertheless, the impact is small, since spot volatilities were
not as high throughout the year as in December. As a matter of fact, the
average, high, and low trading securities VaRs for 2000 remain largely
unchanged.

Regards,

Eugenio