Subject: November 23, 2001
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked], [email-masked]
Date: Tue, 23 Oct 2001 08:37:24 -0700 (PDT)

Jeff,

The day after Thanksgiving is NXB4.  We (Price-Desk) have some special procedures we have to follow regarding swaption expiration.  Other than that, it should not be that different from a non-bidweeek day.  I apologize, I thought the 23rd was going to be NXB3.

In December, the day after Christmas (Wednesday) is NXB2 and the Friday before that is NXB3.  Monday and Tuesday are exchange holidays.

Thanks,

Errol