FW: Brazilian Curve

Stacey,

I think the idea of having two books stinks. We would have to touch every deal every month to move the "prompt" long term month into the short term book. (Ok - we only have five long term deals right now but ...) Maybe I'm over reacting. Do you know of any other instances where this is done to account for risks?

I think a better idea would be to continue with one book using one curve - Pushkar's front end and our curve 3+ years. We keep the Rho & Drift from this book.
The SA traders could then execute trades with Pushkar to hedge our short term exposure. They could tell us the P/L to report and in theory this would be the offset to
the short term Rho in the power book.

Martha

-----Original Message-----
From: Glover, Sheila
Sent: Monday, October 08, 2001 8:45 AM
To: White, Stacey W.; Stevens, Martha
Cc: Shahi, Pushkar; Carrington, Clara
Subject: FW: Brazilian Curve

Stacey and Martha,

Clara and I met with Pushkar on Friday. Take a look at the Proposal discussion and let us know your thoughts.

We are basically suggesting that we treat the front two years as MTM via all normal processes and the back years as a different process.

Thanks. Sheila

-----Original Message-----
From: Glover, Sheila
Sent: Friday, October 05, 2001 2:37 PM
To: White, Stacey W.; Stevens, Martha
Cc: Shahi, Pushkar; Carrington, Clara
Subject: Braziliam Curve

Stacey and Martha,
This outlines our discussion yesterday between Stacey, Clara and myself.
I have given to Pushkar today. We will discuss with him and set up a meeting next week.
Sheila