Message-ID: <10069562.1075842035200.JavaMail.evans@thyme> Date: Tue, 3 Jul 2001 11:37:37 -0700 (PDT) From: john.zufferli@enron.com To: derek.davies@enron.com Subject: FW: Alberta Power vs MID-C Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Zufferli, John X-To: Davies, Derek X-cc: X-bcc: X-Folder: \ExMerge - Zufferli, John\Sent Items X-Origin: ZUFFERLI-J X-FileName: john zufferli 6-26-02.PST -----Original Message----- From: Zufferli, John Sent: Tuesday, July 03, 2001 12:04 PM To: Lavorato, John Subject: Alberta Power vs MID-C I sent you an update of the Hedge Summary for July 3, 2001. In that I mentioned that I bought 125 MW of Cal02 at 10 HR flat. I am long over 500 MW at this heat rate. The biggest risk in this position is a large hydro year that tanks the Mid-C (i.e. uncorrelated event with gas). Mid-C off-peak is $47 USD, Nymex fixed price for Cal02 is $3.79 USD and Sumas basis is $0.16 for Cal02. This implies a heat rate of close to 11.9 for the off-peak Mid-C. I am thinking about buying back some AECO gas hedge for Cal02, then selling Mid-C off-peak to replace the gas hedge. Perhaps as winter blow-out protection, buy some Jan-Feb Sumas basis. The trade for a 25 MW long Alberta flat position would be: a) sell 25 MW of Mid-C off-peak b) buy 0.25 contracts /day of AECO fixed price Cal02 gas (i.e. to unwind the off-peak Alberta portion of the the gas hedge) c) buy 0.25 contracts/day of Sumas Jan-Feb basis See what you think??