Subject: Re: FW: LIBOR derivation
From: [email-masked]
To: [email-masked]
Cc: [email-masked]
Date: Tue, 17 Apr 2001 01:36:00 -0700 (PDT)

Thanks for the explanation.  Can you also get the actual interest rate used 
for each group on terminated transactions (eg the financial trades, the power 
trades, the US gas trades and the Canadian gas trades).  Thanks

	Tanya Rohauer/ENRON@enronXgate
	04/16/2001 06:16 PM
		 
		 To: Elizabeth Sager/HOU/ECT@ECT, William S Bradford/ENRON@enronXgate
		 cc: 
		 Subject: FW: LIBOR derivation

Pushkar's methodology. Let me know if I can be of further help on this.

 -----Original Message-----
From:  Shahi, Pushkar  
Sent: Monday, April 16, 2001 5:57 PM
To: Tanya Rohauer/HOU/ECT@ENRON
Cc: Su, Ellen
Subject: LIBOR derivation

The libor curves are calculated using market data at the close of the day for 
swap instruments namely the libor cash rates (published on Telerate page 
3750), eurodollar curve (prices published on Telerate 910) and the swap curve 
(prices published on Telerate 19901). The interpolated spot curve is 
calculated using a boot-strapping methodology. Discount rates can be 
calculated from these published zero rates by using the formula d(t) = 1 
/(1+r/2)(2*t/365.25). ???Please call me if you have any further questions.??Pushkar Shahi?????---------------------- Forwarded by Pushkar Shahi/HOU/ECT on 04/16/2001 05:26 ?PM ---------------------------?From: Tanya Rohauer/ENRON@enronXgate on 04/16/2001 02:34 PM?To: Pushkar Shahi/HOU/ECT@ECT?cc:  ?Subject: LIBOR derivation??Pushkar,??I am trying to finalize the values for our terminated transactions with ?Pacific Gas & Electric.  One outstanding item is the present value ?methodology that we use. Since all of our calculations utilize your LIBOR ?curve, legal would like to document the methodology used to derive the ?curve.  Would it be possible for you to write up a short explanation of how ?you derive the monthly forward curve for inclusion with the calculations that ?we submit to the bankruptcy court?  Please give me a call if you would like ?to discuss in greater detail.??Thanks,?Tanya???