Message-ID: <8209398.1075842191974.JavaMail.evans@thyme>
Date: Thu, 3 May 2001 05:09:00 -0700 (PDT)
From: marcus.nettelton@enron.com
To: elizabeth.sager@enron.com, carol.clair@enron.com
Subject: Physical options
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Liz/Carol
Attached is the email I received from Kevin Meredith, which details the
current physical product option status on EOL, with examples.
Marcus
----- Forwarded by Marcus Nettelton/NA/Enron on 05/03/2001 11:40 AM -----
Kevin Meredith/ENRON@enronXgate
05/01/2001 12:45 PM
To: Marcus Nettelton/NA/Enron@ENRON
cc:
Subject: Physical options
Marcus,
I know this is quite an assortment of data, but I wanted to supply you with
enough to be useful. We have no US physical option products built. We have
plenty of US financial option products. If this information is confusing,
please do not hesitate to contact me.
German Pwr Phy Put - No products built
A Transaction with Enron Capital & Trade Resources Limited, under which the
Option Buyer determines, on the Exercise Date, whether, in case of a Put
Option, it shall deliver and the Option Seller shall take and pay for the
Contract Capacity at the Strike Price in respect of each hour during the term
of the Transaction. The Contract Capacity shall be the volume submitted by
Counterparty via EnronOnline. In case of a Call Option, the Option Buyer
determines, on the Exercise Date, whether it shall take and pay for, and the
Option Seller shall deliver, the Contract Capacity at the Strike Price in
respect of each hour during the term of the Transaction. The Premium is
payable by the Option Buyer and shall be the price submitted by Counterparty
via EnronOnline multiplied by the total number of hours during the term of
the Transaction multiplied by the specified quantity of electric power.
German Pwr Phy Call - Product included
A Transaction with Enron Capital & Trade Resources Limited, under which the
Option Buyer determines, on the Exercise Date, whether, in case of a Put
Option, it shall deliver and the Option Seller shall take and pay for the
Contract Capacity at the Strike Price in respect of each hour during the term
of the Transaction. The Contract Capacity shall be the volume submitted by
Counterparty via EnronOnline. In case of a Call Option, the Option Buyer
determines, on the Exercise Date, whether it shall take and pay for, and the
Option Seller shall deliver, the Contract Capacity at the Strike Price in
respect of each hour during the term of the Transaction. The Premium is
payable by the Option Buyer and shall be the price submitted by Counterparty
via EnronOnline multiplied by the total number of hours during the term of
the Transaction multiplied by the specified quantity of electric power.
The term of the Transaction shall be from 00:00 hours (prevailing Central
European Time) on the Effective Date (or start date) to 00:00 hours
(prevailing Central European Time) on the day following the Termination Date
(or end date). The Effective Date (or start date) is 01 Jan 2002. The
Termination Date (or end date) is 31 Dec 2002.
The Delivery Point shall be on the RWE Netz High Voltage Grid.
The price is quoted in Euro per unit of volume, which will be the Contractual
Currency.
The unit of measure against which the price is quoted shall be megawatt-hours
(MWh) and the quantity shown shall be in MW's delivered in each applicable
hour for the duration of the Transaction (the "Hourly Quantity').
The Transaction shall be for a Baseload profile, being the delivery of
electric power at a steady rate between 00:00 hours (prevailing Central
European Time) and 24:00 hours (prevailing Central European Time) (totalling
24 hours per day) on a calendar day.
Electric power shall be delivered at a point, or points on the 380/220 kV
level.
The Option style and type shall be a European Call, ("EC").
The Exercise Date or Exercise Period shall be 13 Dec 2001.
The Strike Price shall be 21.5 Euros/ MWh
US SO2 EA Phy Opt - No Products built
A Transaction with Enron North America Corp., under which the Option Buyer
purchases a Call Option granting it the right, in return for payment of the
Premium to the Option Seller, to buy from the Option Seller a quantity of SO2
Emission Allowances equal to the Designated Quantity at the Contract Price.
The Option Buyer shall pay the Premium to the Option Seller within three
Business Days of the Transaction. The Option Buyer may only exercise the
Option on the Exercise Date, otherwise the Option will lapse.
US Gas Financial Call Option
A financial Option Transaction with Enron North America Corp., under which
the Seller receives the Premium and the Buyer receives the Cash Settlement
Amount. Each calendar month during the Term of the Transaction will be a
Determination Period, provided that if the Term of the Transaction is less
than one calendar month the Determination Period shall be the Term of the
Transaction. The Notional Quantity per Determination Period shall be
calculated from the volume submitted by Counterparty on the Website in
accordance with the unit of measure. The Premium shall equal the product of
(i) the price submitted by Counterparty via the Website, multiplied by (ii)
the Notional Quantity per Determination Period, multiplied by (iii) the
number of Determination Periods during the Term of the Transaction. The
Payment Date for the Premium shall be 2 business days after the Trade Date of
the Transaction. The Payment Date(s) for the Cash Settlement Amount shall be
5 business days after the Cash Settlement Amount is determinable. The Cash
Settlement Amount shall be the greater of (i) zero, or (ii) the product of
(a) the Notional Quantity per Determination Period, multiplied by (b) the
Index minus the Strike Price. The Option style and type shall be a European
Call ("EC"). Automatic Exercise is Applicable. The Strike Price for the
Transaction shall be as set forth on the Website. The term of the
Transaction shall be from the Effective Date of 01 Aug 2001 to the
Termination Date of 31 Aug 2001. The Exercise Period(s) shall be the
penultimate Trading Day of the NYMEX Henry Hub Natural Gas Futures Contract
for the applicable Determination Period. The Index for each Exercise Period
shall be the settlement price for the penultimate Trading Day of the NYMEX
Henry Hub Natural Gas Futures Contract for the applicable Determination
Period. The price is quoted in US Dollars per unit of volume, which will be
the Contractual Currency. The unit of measure against which the volume is
shown shall be 10,000 MMBtu's per month.
Kevin
(713) 853-9555