reaction from the credit markets on the earnings call

John thought you might be interested in the following from the credit markets....

Play by play during the call on the 5yr Enron Credit Default Swaps from Morgan Stanley:

1. 5Y BIDS GETTING HIT ON OPENING AS EARNINGS NEWS LOOKED LIKE
CLEANING HOUSE. 250.
2. DURING THE CONFERENCE CALL; WHICH APPARENTLY WAS UNCLEAR,
TICKED OUT 255,260,265.
3. LAY INDICATED NEAR END OF CONFERENCE "NO RATINGS ACTION
ANTICIPATED". MINUTE CONFERENCE ENDED MOODY'S WATCH NEWS
RELEASED. 280 BID.
4. LAY ALSO MENTIONED 3Q NEG CASH FLOW DUE TO SOME CONTRACT
ROLLOFF. UNCLEAR MESSSAGE.
5. ENE SAYS COMMITTED TO "INV GRADE" RATHER THAN "A" 280/325

Summary from Morgan Stanley after the call:

CREDIT DERIVATIVE UPDATE: ENRON CORP

AFTER THE NEWS THIS AM ($1 BIL. CHARGE), THE COMPANY HOSTED A
CALL AT 10AM NY TIME. THE CALL DID NOT GO WELL & ENRON SPREADS
ARE HEADING WIDER IN CREDIT DERIVATIVE LAND. MKTS ARE SPOOKED
B/C: 1) MOODY'S WATCHLISTED CO NEGATIVE, 2) ENE STATED "THEY
ARE COMMITED TO INVESTMENT GRADE RATING," WHICH IS A CHANGE FROM
THE SINGLE-A BOGEY THEY ONCE EXTOLED, 3) CO. DID NOT ADDRESS ALL
LIQUIDITY CONCERNS, AND 4) MORE CHARGES COMING?
5YR MARKETS:

ENE (PRE-WTC): 165/185 ENE (8AM TODAY): 240/260
ENE (WEEK AGO): 250/300 **ENE NOW: 275/350

Clearly the above are a function of what people think they heard...I did not alter any of the email. In general MSDW likes Enron credit but this is how they see the market. Enron is one of the most actively traded names in the credit derivative market. Let me know if you want updates as the market gets more clarity and works throught the details