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Enron Mail |
I just spoke with Heather Dunton in Risk, and she said they've had problems
valuing index forward deals that settle at the last 5-day NYMEX average. So to remedy the situation, they're taking a fifth of the volume out of the deal each day, beginning five days prior to the expiry date. In this case, the expiry date is 4/25/01, so they began with taking 5 MW out of deal 585480 and putting it into a fixed price forward deal - 586775. Each day Heather will take another fifth of the volume in 585480 and put it into 586775, and she'll average the fixed prices each day to eventually end up with the last 5-day average. That's the long and short of why this new forward deal - 586775 - doesn't need to be confirmed. Our position with Deseret stays the same - it's just split between two deals temporarily. Please call Heather or me with any questions. She's going to add another comment in both deals to indicate the changes she'll be making, so it should be apparent to everyone that 586775 does not need to be confirmed at any point. When we get to the expiry date, Heather will kill that fixed forward deal, since the index price will pull into the system and 585480 will value properly. Sorry for the winded explanation, but I thought it was better to give you more than less! Thanks, Kate From: Sharen Cason 04/20/2001 06:31 AM To: Kate Symes/PDX/ECT@ECT cc: Subject: 586775 Can you check and see why we are not confirming this deal with Deseret? It is on the not to be confirmed list. Thanks!
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