RE: High Yield Portfolio Hedging

Joe, yes let's get together this week. I have had some discussions with the Credit Trading team but nothing of real substance yet. I am still curious to understand what risks we will be left holding in the equity tranche. Also, I am not sure how they would propose to deal with the dyanmic nature of the derivative portfolio.

I have had to reschedule with Robina a couple of times. We were trying to get a video conference call together but now may delay until Robina's visit.

I'll keep you informed.

Bill

-----Original Message-----
From: Deffner, Joseph
Sent: Fri 8/31/2001 8:55 PM
To: Kitchen, Louise; Bradford, William S.
Cc:
Subject: RE: High Yield Portfolio Hedging

Bill, why don't you and I get together to discuss the proposal. As you know, we are intending to transfer credit risk through the Project X, Y and Z structures but not likely the most riskier of credits. All of the structures rely on CDO and synthetic CDO structures. In addition, we have received indications of interest on non-funded risk transfer structures, pure first loss transfer, that may be interesting to review.

-----Original Message-----
From: Kitchen, Louise
Sent: Friday, August 31, 2001 11:27 AM
To: Deffner, Joseph; Bradford, William S.
Subject: FW: High Yield Portfolio Hedging

Any comments?

-----Original Message-----
From: Barker-bennett, Robina
Sent: Friday, August 31, 2001 8:28 AM
To: Kitchen, Louise
Subject: High Yield Portfolio Hedging

Louise

Hope alls well and you're enjoying life in Houston. One of the projects my group (Enron Credit - Syndication), are currently working on is to try and originate, structure and place a High Yield and / or Emerging Market CDO, which is made up of both Enron risks and externally originated risks. The plan would be to provide a cost effective way for Enron to hedge its credit exposure to riskier counterparties. I am not sure if Enron North America has any of this type of exposure, but would be interested to talk to someone and find out if there is any way that we might be able to help your group. I attach a short presentation which outlines the rationale for what we are doing.

<< File: hy int pitch 020801 v2.ppt <<

I am going to be in Houston the week of the 17th September and would appreciate a steer as to who would be the best person to speak to on this.

Regards, Robina