Message-ID: <27525703.1075840040878.JavaMail.evans@thyme> Date: Wed, 3 Oct 2001 11:58:28 -0700 (PDT) From: mike.swerzbin@enron.com To: stewart.rosman@enron.com Subject: FW: Daily Power Call Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Swerzbin, Mike X-To: Rosman, Stewart X-cc: X-bcc: X-Folder: \ExMerge - Swerzbin, Mike\Sent Items X-Origin: SWERZBIN-M X-FileName: -----Original Message----- From: Khanna, Sanjeev Sent: Monday, October 01, 2001 11:40 AM To: Driscoll, Michael M.; Swerzbin, Mike Cc: Belden, Tim Subject: Daily Power Call Mike: This structure is from Caslebridge, who are independent consultants and work with various clients to hedge their exposure. They have not told me who the client is (it is not PacifiCorp)..I think we can make a good guess. At this time, all we would like to know is that we would consider and price such a structure. If yes, then we would like to give them an indicative no. by Wed morning. At this time the factors 1,000 and 10 are arbitrary. Please let me know. Thanks, Sanjeev Hydro Contingent Power Call Option: example Term: 2 years Notional Per day (MWH) = [ MIN ( 850MW * 16 hrs, MAX (1000 - 10 * Daily Flow (KCFS),0) The Notional per day payoff may have time varying (monthly) strike and multiplier ( here 1000 and 10) Financial Power Option per day : Notional per day (MWH) * MAX ( MIDC Power Price - Call strike, 0) Call strike will be out of the money varying by month. They are also interested in zero strike products if available. Quarterly Payoffs: Sum of the daily payoffs over the quarterly period. Flow Index: Reported KCFS flow from Grand Coolee Power Price Index: standard published day ahead prices for MIDC. Sanjeev K Khanna Email: Sanjeev.Khanna@enron.com Director Tel: (713) 853-3849 Enron Global Markets Cell: (713) 594-1832 1400 Smith Street, Suite 3004F Pager: (877) 497-1217 Houston TX 77002 Fax: (713) 646-3220 _