Position report for Dual trigger product

From: amitava.dhar@enron.com

To: vince.kaminski@enron.com

Subject: Position report for Dual trigger product

Cc: vasant.shanbhogue@enron.com

Bcc: vasant.shanbhogue@enron.com

Date: Wed, 2 May 2001 02:35:00 -0700 (PDT)

Vince,

I have enclosed a summary of our proposed approach on calculation of notional
and the greeks for dual trigger option portfolio. Please let us know your
thoughts/comments.

Amitava