Re: Double Transaction Calendar Spread Swap

The main issue that I see with the description you sent me is the same one
that we spoke about a few weeks ago.

What should the consistent market convention for determining the first
tranaction be? If we use the current NG trading convention we will quote the
premium swap as the "first transaction" and the discount as the second.
This will present consistency problems if we are trading near parity in the
calendar with different months changing position in the curve. You just have
to look at some of the summer spreads to see the confusion that may result.
Having the near dated swap as the first transaction in all cases would
eliminate that issue but will not match the current trading convention. I
will check with John to see if he has any opinion on the matter. The product
description would have to be written such that any customer would be easily
be able to determine the correct direction to trade.

I will discuss this and the entire description with John on Tues. and get
back to you .

Thanks

Pete