Message-ID: <19715694.1075856731774.JavaMail.evans@thyme>
Date: Wed, 31 May 2000 01:07:00 -0700 (PDT)
From: vince.kaminski@enron.com
To: stinson.gibner@enron.com, pavel.zadorozhny@enron.com, anjam.ahmad@enron.com
Subject: WTI products
Cc: vince.kaminski@enron.com, trena.mcfarland@enron.com
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Anjam,

Please, talk to Trena about the quanto and barrier options we have in Exotica.
Zimin can help if there are any questions if the models in Exotica fit exactly
the customer's specification.

Vince

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 05/31/2000 
08:08 AM ---------------------------


Trena McFarland
05/31/2000 07:45 AM
To: Vince J Kaminski/HOU/ECT@ECT
cc:  
Subject: WTI products


---------------------- Forwarded by Trena McFarland/LON/ECT on 31/05/2000 
13:46 ---------------------------


Morten E Pettersen
31/05/2000 07:29
To: Trena McFarland/LON/ECT@ECT
cc:  

Subject: WTI products


---------------------- Forwarded by Morten E Pettersen/OSL/ECT on 31.05.2000 
14:28 ---------------------------


Rousseau Anai@ENRON_DEVELOPMENT
31.05.2000 11:03
To: Morten E Pettersen@ECT
cc: Joseph P Hirl/ENRON_DEVELOPMENT@ENRON_DEVELOPMENT 

Subject: WTI products

MEP

As discussed, LTCB would like indicative offers for 2 products. They would 
like the prices by tomorrow so that they can take it to their client (who has 
a long oil position). Could you also get any other relevant information about 
these products/prices so that I can talk to the guy about them.

1) Quanto

Client buys quanto option at the money with a strike of, say 3,030Y/barrel 
(Y/$107.5 multiplied by current WTI price of $30)
Maturity of transaction is 1 year (say June 2001) and the notional amount of 
the transaction is 3 million barrels

2) WTI trigger $ put option

Client buys $ put option against the yen at a spot of Y/$107.5 with knock-in 
trigger level of WTI 80% for each dollar (so if WTI is $30/barrel, then knock 
in level is $24). The maturity of the option is 1 year (say June 2001) and 
the notional amount is $90 million

Rousseau




