Message-ID: <15632088.1075860084796.JavaMail.evans@thyme>
Date: Mon, 11 Dec 2000 11:29:00 -0800 (PST)
From: mark.taylor@enron.com
To: melba.lozano@enron.com, kevin.meredith@enron.com
Subject: Re: Double Transaction Calendar Spread Swap
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So now it's clear?
----- Forwarded by Mark Taylor/HOU/ECT on 12/11/2000 07:33 PM -----

	Peter F Keavey
	12/11/2000 04:49 PM
		
		 To: Mark Taylor/HOU/ECT@ECT
		 cc: 
		 Subject: Re: Double Transaction Calendar Spread Swap

The main issue that I see with the description you sent me is the same one 
that we spoke about a few weeks ago.  

 What should the consistent market convention for determining the first 
tranaction be?  If we use the current NG trading convention we will quote the 
premium swap as the "first transaction"  and the discount as the second.  
This will present consistency problems if we are trading near parity in the 
calendar with different months changing position in the curve. You just have 
to look at some of the summer spreads to see the confusion that may result.  
Having the near dated swap as the first transaction in all cases would 
eliminate that issue but will not match the current trading convention.  I 
will check with John to see if he has any opinion on the matter.  The product 
description would have to be written such that any customer would be easily 
be able to determine the correct direction to trade.  

I will discuss this and the entire description with John on Tues. and get 
back to you .

Thanks 

Pete