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Enron Mail |
Yvon,
Please run the sensitivities and present results using a table incorporating the following categories listed vertically down the page. The results will be tabulated in columns. The first column will be the base case. The base case will always reflect the power and vol. curves at mid as of the run date which will be indicated on the report. A second page should graph the power and oil curves used in the base case. curve shift power vol. oil vol. correlation oil/power residual value Debt shape (all initial runs will be $375 mortgage) Plant value (all your prior runs called this "Spread") Call option (this is the value of the call we will own. You should footnote a description of the call) Plant value (in prior reports you called this spread) Fee (this will be 5% of par amount outstanding, 315 MW x $375/kw x 5% = $5.9 million) Put premium Net profit (9 + 10 - 11) Items 1 - 4 should be shifted +/- 5%, 10%. That should make 16 runs in total. We'll build from there. regards, Don Black
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