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accrued thereon to purchase derivative options from Deutsche Bank AG (the “ValhallaDerivatives”).958. In or about December 2000, Deutsche Bank AG, London was substituted as theborrower under the Deutsche Bank Note.959. Although Enron did not receive substantial tax benefits from Project Valhalla, it didreceive an “accommodation fee,” which was the difference between the 7.7% interest Enron wasobligated to pay on the participation rights and the 8.74% interest Enron received on the DeutscheBank Note. This accommodation fee amounted to an annual fee to Enron in an amount betweenapproximately $17 million and $20 million.960. At the same time that the two countervailing loans were entered into, Deutsche BankAG and Valhalla GmbH (“Valhalla”), another German subsidiary of Enron and the direct parent ofRheingold, entered into a put option agreement that gave Deutsche Bank AG the right to sell itsparticipation rights in Rheingold to Valhalla upon the occurrence of certain specified events, suchas a downgrade in Enron’s long-term debt or credit rating (the “Put Option Agreement”). Toexercise the “put,” Deutsche Bank AG was required to specify a business day on which exercise ofthe put option “shall become effective.” By the terms of the Put Option Agreement, the day sospecified was required to be more than five business days after receipt of the put notice by Enronand Valhalla.961. In the Put Option Agreement, Enron agreed to guarantee Valhalla’s repurchaseobligations to Deutsche Bank AG (the “Enron/Valhalla Guaranty”).962. The Put Option Agreement and the Enron/Valhalla Guaranty created twocountervailing positions: Deutsche Bank AG, London’s $1.95 billion obligation to Enron under theDeutsche Bank Note and Enron’s $2 billion obligation to Deutsche Bank AG under theEnron/Valhalla Guaranty. The Deutsche Bank Note and the Enron/Valhalla Guaranty stated that604041v1/007457-354-