RE: Interest Rate Curves

We have been in contact with the IT guys about logistically how this is going to work. I think we are still waiting to see if the interest rate traders in Houston have accepted offers. I will let you know shortly if you need to send us a curve daily in the beginning. Thanks for your help with this issue.

Jeff

-----Original Message-----
From: James.Howard@ubsw.com@ENRON
Sent: Tuesday, February 05, 2002 8:53 AM
To: Gossett, Jeffrey C.; Scott, Laura; White, Stacey W.
Subject: Interest Rate Curves

Hi,

Is anyone talking to you guys about sourcing end of day Interest Rate
Curves for your various risk management systems, or would you like me
to arrange for them to be sent to you at the end of each day?

I could arrange for a file containing the OBS (UBSW Interest Rate
Derivatives system) yield curves to be e-mailed to you once they are
saved every afternoon. The official closes for the USD and CAD LIBOR
curves are saved down at around 3:30pm / 3:40pm New York time each
afternoon.

The files would contain prices for the swaps, futures and money market
instruments that are used to build the curve, and also the
corresponding zero coupon rates on a continuous A/365 basis. I guess
we would have to talk about the exact form that your systems need the
rates to be in to see if any conversion would be necessary.

Cheers,

James

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