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Enron Mail |
-----Original Message----- From: Collonges, Remi Sent: Friday, August 03, 2001 5:05 PM To: Lavorato, John Cc: Kishkill, Joe; Gonzalez, Orlando Subject: Duke transaction We have closed tonight the following transaction: We Sell to Duke Energy a series of 12 monthly options (July 2001 to June 2002), volume 10 MW, delivery Southeast center of gravity; Strike : R$140/MWh for July to December 2001, and R$120/MWh for January to June 2002; Strike payable 5th of month following month of delivery; The options are automatically exercised when and if MAE ex-ante price is greater than strike (Duke has not the option not to exercice if MAE is not settling); Price per MWh: floor + upside Upside: 35% of (MAE ex-ante price - floor) Payable by Duke at the earliest of 1) MAE invoicing date (regardless of MAE agent payment) or 2) July 5th, 2002; We do not take MAE credit risk, but only Duke's; Duke takes MAE credit risk; We receive a premium of R$5 million upfront. As a result, the deal is ATM against our power curve. However we know that we are in rationing AT LEAST until November of this year. As a result, the MAE ex-ante price will be R$684/MWh. If we take the most conservative scenario and assume that we collect upside in July 02 only, MTM is about US$6 million. The more rationing last, the higher in the money will the deal be (of course, immediate settlement at MAE at R$684 of all long position would take us OTM, but we do not expect this to happen very soon). I hope that this is clear. Credit is on board, I'm talking to Martha Stevens and her new boss Stacy White to validate my assumption on the MTM. Have a great WE, Remi
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