Subject: Re: Enron default swaps
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked]
Date: Fri, 30 Mar 2001 03:18:00 -0800 (PST)

Darrell,

I am sending you 2 technical notes on Enron default swaps: I hope that they 
will
be useful. I shall read the articles on weekend. I am curious if you
find these explanations satisfactory.

We are very slow in preparing a number of technical documents
for you for model reviews. We still hope you will be able
to find some time to review our credit models (for our London
credit trading) and  VaR and option pricing related models.

Also, please check your invoices. I still think we owe you money.

Vince

Darrell Duffie <[email-masked]> on 03/28/2001 08:07:38 AM
To: Vince J Kaminski <[email-masked]>
cc:  
Subject: Re: Enron default swaps

Vince: According to a Bank of America
publication, your (Enron) default swap spreads
are consistently trading about 80
basis points wider than your asset swaps.
Any idea of what is going on here?

Thanks for any guidance, Darrell

_____________________________________________
Darrell Duffie
mail  GSB Stanford CA 94305-5015 USA
phone 650 723 1976
fax   650 725 7979
email [email-masked]
web   http://www.stanford.edu/~duffie/
_____________________________________________