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Enron Mail |
Bob,
Good job. Zimin Bob Lee@ENRON 01/11/2001 08:10 AM To: Zimin Lu/HOU/ECT@ECT cc: Subject: Costless Collar for Hanover FYI - looks like we've converged. Bob ---------------------- Forwarded by Bob Lee/NA/Enron on 01/11/2001 07:04 AM --------------------------- From: Chris Loehr@ECT on 01/10/2001 04:50 PM To: Ron Baker/Corp/Enron@ENRON cc: Anne Yaeger/HOU/ECT@ECT, Ryan Siurek/Corp/Enron@ENRON, Wes Colwell/HOU/ECT@ECT, Bob Lee/NA/Enron@Enron Subject: Costless Collar for Hanover Ryan and I have looked at the research model and made some adjustments. The treasury rate at 12/28/00 was 5.127% (research uses 4.6% which probably takes into account the recent Fed 50 bp cut) The maturity is 6/30/03 or 2.5 years (research uses 3 years) Using these assumptions and a 47.2% volatility in the Bloomberg collar function results in a ceiling of 92 103/256 and a floor of 34 7/8. After adjusting the research model for the changes above, Ryan and I got a similar range from the research model so we are comfortable with these numbers. Let me know if there are any questions. Chris x33092 Ron Baker@ENRON 01/10/2001 10:52 AM To: Wes Colwell/HOU/ECT@ECT, Ryan Siurek/Corp/Enron@ENRON, Chris Loehr/HOU/ECT@ECT, Anne Yaeger/HOU/ECT@ECT cc: Subject: Costless Collar Attached is the updated valuation from Bob Lee in Research using the actual 3-year historical vol. of 47.2 which results in a call strike of 97.978. Also, he has confirmed that the presence of the swap has no impact on the value of the collar. Let me know if you have questions. Thanks, Ron ----- Forwarded by Ron Baker/Corp/Enron on 01/10/2001 10:28 AM ----- Bob Lee 01/10/2001 08:44 AM To: Andrea V Reed/HOU/ECT@ECT, Ron Baker/Corp/Enron@ENRON cc: Zimin Lu/HOU/ECT@ECT Subject: Costless Collar Here's the calculation using the historical volatility. The strike drops slightly. The volatility in the calculation is the expected future vol;atility - looking at traded options for HC and an expected fall off in vol for long dated options, one could justify a vol estimate in the range 40 - 50% for the collar. The presence of the swap makes no difference on the collar valuation. Bob
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