re : eastern unless we can model the protection in some form we will not know what our
true exposure is . so i need our team reassessing how we can
model the benefit of the credit proctection . please keep working on this .
john
soma ghosh
07 / 03 / 2000 17 : 57
to : john sherriff / lon / ect @ ect
cc : william s bradford / hou / ect @ ect , tanya rohauer / hou / ect @ ect , vasant
shanbhogue / hou / ect @ ect , bryan seyfried / lon / ect @ ect
subject : re : eastern
john ,
we are currently not modelling the effect of insurance on eastern on an
individual risk basis . i have spoken at length with houston research &
credit risk management on this given that the portfolio of risk is
dynamic , specific allocation of protection is not appropriate . as i mentioned
in my earlier message there is $ 135 mm cap on any one loss , assuming no losses
have occured prior to that .
i am happy to discuss this further with you if required .
bill , i ' d appreciate any comments you may have re . the above .
regards ,
soma
john sherriff
06 / 03 / 2000 15 : 06
to : soma ghosh / lon / ect @ ect , bryan seyfried / lon / ect @ ect , mariano
gentilini / lon / ect @ ect
cc :
subject : re : eastern
soma
how are we modeling the affect of the insurance packages on the eastern deal ?
john
soma ghosh
06 / 03 / 2000 11 : 53
to : john sherriff / lon / ect @ ect
cc :
subject : re : eastern
the protection is not a fixed allocation of protection to individual
counterparties but covers the global portfolio of risk . enron has in place 3
tranches of credit insurance covering up to $ 135 mm per event . whilst the
insurance is not counterparty specific , it would be available for credit loss
on eastern provided that losses had not been incurred prior to an eastern
loss . i have already discussed with houston credit risk management at this
point in time there has been no resolution in finding an appropriate way to
allocate protection by name .
summary of insurance :
enron absorbs the first $ 10 mm of losses in any one year capped at the
aggregate of $ 30 mm over a ten year period .
aegis absorbs the next $ 35 mm of losses for the same ten year period .
chubb will pick up the next $ 50 mm losses for any single event and $ 100 mm in
losses in the aggregate for 5 years
rsa takes the next $ 50 mm for losses in excess of $ 95 mm over a five year
period & covers the top 9 counterparties by exposure
regards ,
soma
john sherriff
03 / 03 / 2000 18 : 16
to : soma ghosh / lon / ect @ ect
cc :
subject : re : eastern
soma
how does the company ' s credit insurance ( done by houston last year ) affect
this exposure ?
john
soma ghosh
03 / 03 / 2000 16 : 24
to : john sherriff / lon / ect @ ect
cc : david weekes / lon / ect @ ect , steve w young / lon / ect @ ect , barry
pearce / lon / ect @ ect , fernley dyson / lon / ect @ ect , william s
bradford / hou / ect @ ect , rick buy / hou / ect @ ect , oliver gaylard / lon / ect @ ect
subject : re : eastern
please note that total exposure $ number is $ 979 . 8 mm not $ 783 . 2 mm .
apologies ,
soma
- - - - - - - - - - - - - - - - - - - - - - forwarded by soma ghosh / lon / ect on 03 / 03 / 2000 16 : 22
- - - - - - - - - - - - - - - - - - - - - - - - - - -
soma ghosh
03 / 03 / 2000 16 : 17
to : john sherriff / lon / ect @ ect
cc : david weekes / lon / ect @ ect , steve w young / lon / ect @ ect , barry
pearce / lon / ect @ ect , fernley dyson / lon / ect @ ect , william s
bradford / hou / ect @ ect , rick buy / hou / ect @ ect , oliver gaylard / lon / ect @ ect
subject : re : eastern
john , as requested :
total exposure as at 29 feb 2000 : o 620 . 9 mm ( $ 783 . 2 mm )
eurocash i monetezation : - ol 24 . 7 mm ( - $ 196 . 1 mm )
less credit derivatives : o 40 . 0 mm ( $ 63 . 1 mm )
total net exposure as at 29 feb 2000 : o 456 . 2 mm ( $ 713 . 9 mm )
net month on month increase : ol 25 . 4 mm ( $ 197 . 9 mm )
total value of eastern group guarantee : o 520 mm ( $ 820 . 6 mm )
amount backed by txu : zero
as well as the increase in overall exposure , please note the change in shape
of the exposure month on month most notably credit exposure now peaking at
the front end of the transaction ( ex credit derivs . the max exposure is at
day 1 ) , compare to max . exp . at feb 2005 for month end jan . .
shape of profile & increase in mtm primarily due to :
- power curve downward shift at front end yrs 0 - 11
- power curve upward shift at back end yrs 12 - 18
- gas curve upward shift yrs 1 - 5 .
re : eastern
unless we can model the protection in some form we will not know what our
true exposure is . so i need our team reassessing how we can
model the benefit of the credit proctection . please keep working on this .
john
soma ghosh
07 / 03 / 2000 17 : 57
to : john sherriff / lon / ect @ ect
cc : william s bradford / hou / ect @ ect , tanya rohauer / hou / ect @ ect , vasant
shanbhogue / hou / ect @ ect , bryan seyfried / lon / ect @ ect
subject : re : eastern
john ,
we are currently not modelling the effect of insurance on eastern on an
individual risk basis . i have spoken at length with houston research &
credit risk management on this given that the portfolio of risk is
dynamic , specific allocation of protection is not appropriate . as i mentioned
in my earlier message there is $ 135 mm cap on any one loss , assuming no losses
have occured prior to that .
i am happy to discuss this further with you if required .
bill , i ' d appreciate any comments you may have re . the above .
regards ,
soma
john sherriff
06 / 03 / 2000 15 : 06
to : soma ghosh / lon / ect @ ect , bryan seyfried / lon / ect @ ect , mariano
gentilini / lon / ect @ ect
cc :
subject : re : eastern
soma
how are we modeling the affect of the insurance packages on the eastern deal ?
john
soma ghosh
06 / 03 / 2000 11 : 53
to : john sherriff / lon / ect @ ect
cc :
subject : re : eastern
the protection is not a fixed allocation of protection to individual
counterparties but covers the global portfolio of risk . enron has in place 3
tranches of credit insurance covering up to $ 135 mm per event . whilst the
insurance is not counterparty specific , it would be available for credit loss
on eastern provided that losses had not been incurred prior to an eastern
loss . i have already discussed with houston credit risk management at this
point in time there has been no resolution in finding an appropriate way to
allocate protection by name .
summary of insurance :
enron absorbs the first $ 10 mm of losses in any one year capped at the
aggregate of $ 30 mm over a ten year period .
aegis absorbs the next $ 35 mm of losses for the same ten year period .
chubb will pick up the next $ 50 mm losses for any single event and $ 100 mm in
losses in the aggregate for 5 years
rsa takes the next $ 50 mm for losses in excess of $ 95 mm over a five year
period & covers the top 9 counterparties by exposure
regards ,
soma
john sherriff
03 / 03 / 2000 18 : 16
to : soma ghosh / lon / ect @ ect
cc :
subject : re : eastern
soma
how does the company ' s credit insurance ( done by houston last year ) affect
this exposure ?
john
soma ghosh
03 / 03 / 2000 16 : 24
to : john sherriff / lon / ect @ ect
cc : david weekes / lon / ect @ ect , steve w young / lon / ect @ ect , barry
pearce / lon / ect @ ect , fernley dyson / lon / ect @ ect , william s
bradford / hou / ect @ ect , rick buy / hou / ect @ ect , oliver gaylard / lon / ect @ ect
subject : re : eastern
please note that total exposure $ number is $ 979 . 8 mm not $ 783 . 2 mm .
apologies ,
soma
- - - - - - - - - - - - - - - - - - - - - - forwarded by soma ghosh / lon / ect on 03 / 03 / 2000 16 : 22
- - - - - - - - - - - - - - - - - - - - - - - - - - -
soma ghosh
03 / 03 / 2000 16 : 17
to : john sherriff / lon / ect @ ect
cc : david weekes / lon / ect @ ect , steve w young / lon / ect @ ect , barry
pearce / lon / ect @ ect , fernley dyson / lon / ect @ ect , william s
bradford / hou / ect @ ect , rick buy / hou / ect @ ect , oliver gaylard / lon / ect @ ect
subject : re : eastern
john , as requested :
total exposure as at 29 feb 2000 : o 620 . 9 mm ( $ 783 . 2 mm )
eurocash i monetezation : - ol 24 . 7 mm ( - $ 196 . 1 mm )
less credit derivatives : o 40 . 0 mm ( $ 63 . 1 mm )
total net exposure as at 29 feb 2000 : o 456 . 2 mm ( $ 713 . 9 mm )
net month on month increase : ol 25 . 4 mm ( $ 197 . 9 mm )
total value of eastern group guarantee : o 520 mm ( $ 820 . 6 mm )
amount backed by txu : zero
as well as the increase in overall exposure , please note the change in shape
of the exposure month on month most notably credit exposure now peaking at
the front end of the transaction ( ex credit derivs . the max exposure is at
day 1 ) , compare to max . exp . at feb 2005 for month end jan . .
shape of profile & increase in mtm primarily due to :
- power curve downward shift at front end yrs 0 - 11
- power curve upward shift at back end yrs 12 - 18
- gas curve upward shift yrs 1 - 5 .