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Enron Mail |
---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 03/29/2001
06:00 PM --------------------------- Darrell Duffie <duffie@stanford.edu< on 03/28/2001 08:07:38 AM To: Vince J Kaminski <Vince.J.Kaminski@enron.com< cc: Subject: Re: Enron default swaps Vince: According to a Bank of America publication, your (Enron) default swap spreads are consistently trading about 80 basis points wider than your asset swaps. Any idea of what is going on here? Thanks for any guidance, Darrell _____________________________________________ Darrell Duffie mail GSB Stanford CA 94305-5015 USA phone 650 723 1976 fax 650 725 7979 email duffie@stanford.edu web http://www.stanford.edu/~duffie/ _____________________________________________
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