Subject: Interest Rate Curve Load
From: [email-masked]
To: [email-masked], [email-masked]
Cc: [email-masked], [email-masked], [email-masked]
Date: Fri, 1 Feb 2002 09:13:31 -0800 (PST)

All -

I talked to Zhiyong Wei, who works for Jeff Johnson, and John Lavorato.  It sounds like there are a few issues that need to be resolved.

1.  Apparently it has been decided that someone (?) from UBS will be providing a curve beginning on day 1.  That person has yet to be identified.

2.  There will have to be a daily interpolation of the curve into ERMS on a daily basis.  This presents a couple of problems.  Someone must approve the interpolation, and the official curve does not come out until 5:00 P.M. Central Time.  This means that after the interpolation and system load,  it would probably be somewhere north of 6:00 PM before we could start our nightly process.  A difficult sell to say the least.

3.  There are offers out to two interest rate traders in Houston,  but we still have not determined whom we will be working with from a Houston perspective.  Hopefully,  decisions will be made by Monday.

Are you guys aware if there is a preliminary curve that we can use that comes out a bit earlier, and we can just have finance run with the official curve the next day?

Bottom Line : It sounds like they have worked out a process,  but not necessarily a great one.

Jeff