Enron Credit

Digital Bankruptcy Swap Prices

Enron Credit has developed the following categories to identify price status:

Firm

When a counterparty contacts us to transact on a Reference Entity designated as FIRM, Enron shall accept counterparty's offer to transact at the bid or offer price posted on the Website, except in very rare circumstances when a fundamental change in underlying information is observed.

Enron shall use best endeavours to transact up to the following US Dollar Notional Amounts on Reference Entities designated as FIRM.

Mid of bid/offer spread

Max. Notional Amounts - US Dollars

0 to 60 basis points	Up to $20 Million
61 to 120 basis points	Up to $10 Million
121 to 250 basis points	Up to $5 Million
251 to 400 basis points	Up to $2.5 Million
Greater than 400 basis points	Up to $1 Million

Transactions on Reference Entities designated as FIRM involving larger Notional Amounts will be considered at our sole discretion.

INDICATIVE

When a counterparty contacts us to transact on a Reference Entity designated as INDICATIVE, Enron shall accept counterparty's offer to transact within the bid/offer price posted on the Website for Notional Amounts up to US $1 million, except in very rare circumstances when a fundamental change in underlying information is observed.

Transactions on Reference Entities designated as INDICATIVE involving larger Notional Amounts will be considered at our sole discretion.

INFORMATIONAL

Only the Enron Cost of Credit (ECC) is provided for Reference Entities designated as INFORMATIONAL. If a counterparty wishes to transact on one of these Reference Entities, we may provide a bid or offer price. For Further information Contact us.

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