|
|
Enron Mail |
---------------------- Forwarded by Sanjeev Khanna/NA/Enron on 02/06/2001
03:58 PM --------------------------- Brian Otis 02/06/2001 02:40 PM To: Sanjeev Khanna/NA/Enron@Enron cc: Subject: CIBC Swap Volumes Sanjeev; Currently KCS Energy has a five year swap with CIBC that is currently out-of-the-money by approximately $25.0MM. What we are considering is to require KCS to use part of the proceeds that we advance through a VPP to pay off this position. However, based on the assumption of a declining price market, we would like to give them the ability to recoup a portion of the $25.0MM paid to CIBC through either Put Swaptions or Puts that are $0.30 to $0.60 out-of-the-money. Attached is a spread sheet that has the volumes that KCS currently has swaps on with CIBC. Could you please provide pricing for the following scenarios: 1) Put Swaptions: at-the-money; $0.30 out-of-the-money; and $0.60 out-of-the-money for the following terms begining in July 1, 2001. a) 9/2001 through 8/2001 b) 9/2002 through 8/2002 c) 9/2003 through 8/2003 d) 9/2004 through 8/2004 e) 9/2005 through 8/2005 2) Puts; at-the-money; $0.30 out-of-the-money; and $0.60 out-of-the-money for the following terms beginning April 1, 2001 a) 4/2001 through 8/2005 If you have any questions, give a call. Thanks. Brian Otis x39082
|