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Enron Mail |
---------------------- Forwarded by Jeffrey C Gossett/HOU/ECT on 12/27/2000
06:02 PM --------------------------- From: Sheila Glover 12/27/2000 05:57 PM To: Kam Keiser/HOU/ECT@ECT, William Kelly/HOU/ECT@ECT, David Baumbach/HOU/ECT@ECT, Daren J Farmer/HOU/ECT@ECT, Monica Lande/PDX/ECT@ECT, Jenny Latham/HOU/ECT@ECT, John Swinney/HOU/ECT@ECT, Stacey W White/HOU/ECT@ECT, Frank Prejean/HOU/ECT@ECT, Brenda F Herod/HOU/ECT@ECT, Kathy Reeves/CAL/ECT@ECT, Jeffrey C Gossett/HOU/ECT@ECT, Scott Earnest/HOU/ECT@ECT, Tracy Beardmore/NA/Enron@Enron, Michael Giarratano/NA/Enron@ENRON, Shifali Sharma/NA/Enron@Enron, Kristin Albrecht/Enron Communications@Enron Communications, Gary Stadler/Enron Communications@Enron Communications, Reno Casimir/NA/Enron@ENRON, Mary Thambiah/LON/ECT@ECT, Sheila Foo/LON/ECT@ECT, Paul D'Arcy/LON/ECT@ECT, David A Wall/Risk Mgmt/LON/ECT@ECT, Mike Jordan/LON/ECT@ECT, Hege Kleven/OSL/ECT@ECT, Simon Thurbin/HOU/ECT@ECT, Trond Branem Hansen/OSL/ECT@ECT, Coralie Evans/LON/ECT@ECT cc: Gary Hickerson/HOU/ECT@ECT, Pushkar Shahi/HOU/ECT@ECT, Ellen Su/Corp/Enron@Enron, Shane Dallmann/LON/ECT@ECT, Brent A Price/HOU/ECT@ECT, Sally Beck/HOU/ECT@ECT, Clara Carrington/HOU/ECT@ECT Subject: Interest-Rate Hedging Guides - REMINDER Just a reminder.... Please advise the Rate & Currency Trading Desk when large deals are going to be booked by 1:30 P.M. (CST). This allows the desk to hedge the deal for interest rates on the same day that the trade is booked in the commodity books. This eliminates Enron's exposure to markets on the following day for these large deals. If the Rate & Currency Trading Desk is not notified of large deals prior to 1:30 P.M., the desk will hedge the interest-rate exposure the next day on a best efforts basis. On these deals, any resulting profit or loss in excess of $20,000 will be passed back to the originating group by the trading desk. We request that the book adminstrator advise Clara Carrington, 3-9224, and the Traders should be advising Pushkar Shahi, 3-9199, or Ellen Su, 3-5256, on the Rate & Currency Trading Desk. Europe should contact Shane Dallman, 3-4997. in the London office. Ellen has put together some guidelines which you can share with your traders regarding the sizing for large deals. This is included below. Your cooperation is appreciated. Sheila Guidelines: The following is a guide to the profit/loss levels in various tenors that would require notification of the interest-rate desk. Tenor Notional Cash Flows 2y 30,000,000 3y 20,000,000 5y 15,000,000 10y 10,000,000 15y 7,000,000 20y 5,000,000 Please remember that these amounts are not cumulative. Each bucket needs to be evaluated alone, and then aggregated. For example, if you had a -30mm notional cash flow in the 2-year bucket and it is offset by a +30mm notional cash flow in the 20-year bucket, the result would still be very significant as the net long cash flow position would still be around +25mm 20-year cash flows. As always, if you are ever unsure, we are more than happy to look at deals/curve changes to determine significance. Thanks. Ellen Su (713) 853-5256
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