Enron Mail

From: michael.mattox@enron.com To: e-mail <.hai@enron.com<, e-mail <.harry@enron.com<,e-mail <.jaime@enron.com<, e-mail <.robert@enron.com<, e-mail <.steve@enron.com< Subject: Swaption Vols Cc: tim.carter@enron.com, tom.chapman@enron.com, andrea.dahlke@enron.com,israel.estrada@enron.com, casey.evans@enron.com, warrick.franklin@enron.com, paul.lewis@enron.com, w..white@enron.com Bcc: tim.carter@enron.com, tom.chapman@enron.com, andrea.dahlke@enron.com,israel.estrada@enron.com, casey.evans@enron.com, warrick.franklin@enron.com, paul.lewis@enron.com, w..white@enron.com Date: Thu, 15 Nov 2001 09:47:18 -0800 (PST) We are ready to start using Swaption Volatility Curves in our calcs I have identified the following regions and terms that need swaption volatilities posted and the values I have currently entered into curve manager. These values were based on the latest deals or my best guess, as not all the volatilities are consistent across similar deals: Cinergy, Cal '02, .25 Entergy, Cal '02, .27 Ercot South, Cal '02, .25 Nepool, Cal '02, .3 Nepool, Cal '02, .24 West Hub, Cal '02, .24 West Hub, Cal '03, .28 NY East (zone G), Cal'02-'03, .16 (position in LT-NEMGMT book) Options Desk: for today only, besides final posting swaption vols for today 11/15 please also final post yesterday 11/14. Please call if you have any questions. Michael Mattox x34317