Message-ID: <1302803.1075856475492.JavaMail.evans@thyme> Date: Mon, 30 Oct 2000 08:00:00 -0800 (PST) From: vince.kaminski@enron.com To: stinson.gibner@enron.com Subject: Re: Forward oil prices Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Vince J Kaminski X-To: Stinson Gibner X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_3\Notes Folders\Sent X-Origin: Kaminski-V X-FileName: vkamins.nsf Stinson, Who coukd help with curve extraction? Vince ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 10/30/2000 04:07 PM --------------------------- Vince J Kaminski 10/30/2000 08:20 AM To: John L Nowlan/HOU/ECT@ECT cc: Stefan-Jorg Gobel/FRA/ECT@ECT, Vince J Kaminski/HOU/ECT@ECT, Stinson Gibner/HOU/ECT@ECT Subject: Re: Forward oil prices John, I can extract the curves from the database. Thanks. Vince John L Nowlan 10/30/2000 07:28 AM To: Vince J Kaminski/HOU/ECT@ECT cc: Subject: Re: Forward oil prices Vince , I would have no problem in giving these numbers, do you have the numbers to forward or would someone in our group need to help him? Vince J Kaminski 10/27/2000 04:24 PM To: John L Nowlan/HOU/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT, Stefan-Jorg Gobel/FRA/ECT@ECT Subject: Forward oil prices John, I am forwarding to you the request by Jens. We gave in the past our forward oil curves (with approval of Greg Whalley) to some academics. What is your position on this request? Vince ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 10/27/2000 04:29 PM --------------------------- Jens Gobel@ENRON 10/26/2000 12:06 PM To: Vince J Kaminski/HOU/ECT@ECT cc: Subject: Forward oil prices Vince, As discussed on the phone, I am sending you the request that I have received from Prof. Buehler. Prof. Buehler is the head of the faculty of finance at Mannheim University in Germany. Currently, he is writing a study about the hedging strategy that led to the Metallgesellschaft debacle. For this study he would like to get forward oil prices form us. The forward oil prices should be for WTI with Cushing as the delivery point for the time period July 1986 and December 1996 with remaining contract durations between one and ten years. It would be ideal to get this data on a daily basis. Weekly or monthly data is helpful as well, of course. Since Mannheim University is among Enron's tier one recruiting universities in Germany, it would be great if we could help him with some data. Thanks a lot for your help. Jens o.korn@uni-mannheim.de on 10/10/2000 11:44:57 AM To: Jens.Gobel@enron.com cc: Subject: Daten Sehr geehrter Herr Goebel, bezugnehmend auf Ihr heutiges Telefongespraech mit Herrn Prof. Buehler hat mich Prof. Buehler gebeten, Ihnen genauer darzustellen, welche Daten idealerweise fuer unsere Studie benoetigt wuerden. Zunaechst zum Hintergrund. Wir sind auf ENRON gestossen, weil Eduardo Schwartz in einer seiner Arbeiten die folgende Datenquelle angibt: " In addition to the publicly available futures data described above, for the purpose of this study Enron Capital and Trade Resources made available some proprietary historical forward price curves from 1/15/93 to 5/16/96. From these data ten forward prices were used in estimation, ranging in maturities from two months to nine years" Dies laesst uns annehmen, dass Enron bestimmte Daten verfuegbar hat. Nun zum idealen Datensatz: Forwardoelpreise (am besten WTI mit Lieferung in Cushing) fuer Restlaufzeiten zwischen einem und zehn Jahren fuer den Zeitraum Juli 1986 bis Dezember 1996. Dabei waere eine hohe Datenfrequenz ideal (taeglich, ansonsten woechentlich oder monatlich). Zusaetzlich waeren auch Spotpreise fuer WTI mit Lieferung in Cushing nuetzlich. Diese idealen Datenanforderungen werden sich vermutlich nicht erfuellen lassen. Jedoch waere uns auch schon geholfen, wenn ein kuerzerer Zeitraum oder eine niedrigere Datenfrequenz vorlaege. Wir waernen Ihnen sehr dankbar, wenn Sie in Erfahrung bringen koennten, inwiefern solche Daten von Enron zu erhalten sind. Herzlichen Dank fuer Ihre Muehe und beste Gruesse Olaf Korn p.s. Bei Rueckfragen stehe ich Ihnen jederzeit gern zur Verfuegung __________________________________________________________ Dr. Olaf Korn University of Mannheim Chair of Finance D-68131 Mannheim Germany Tel.: ++49/621/181-1487 Fax.: ++49/621/181-1519 e-mail: o.korn@uni-mannheim.de