re : costless collar for hanover bob ,
good job .
zimin
bob lee @ enron
01 / 11 / 2001 08 : 10 am
to : zimin lu / hou / ect @ ect
cc :
subject : costless collar for hanover
fyi - looks like we ' ve converged .
bob
- - - - - - - - - - - - - - - - - - - - - - forwarded by bob lee / na / enron on 01 / 11 / 2001 07 : 04 am
- - - - - - - - - - - - - - - - - - - - - - - - - - -
from : chris loehr @ ect on 01 / 10 / 2001 04 : 50 pm
to : ron baker / corp / enron @ enron
cc : anne yaeger / hou / ect @ ect , ryan siurek / corp / enron @ enron , wes
colwell / hou / ect @ ect , bob lee / na / enron @ enron
subject : costless collar for hanover
ryan and i have looked at the research model and made some adjustments .
the treasury rate at 12 / 28 / 00 was 5 . 127 % ( research uses 4 . 6 % which probably
takes into account the recent fed 50 bp cut )
the maturity is 6 / 30 / 03 or 2 . 5 years ( research uses 3 years )
using these assumptions and a 47 . 2 % volatility in the bloomberg collar
function results in a ceiling of 92 103 / 256 and a floor of 34 7 / 8 . after
adjusting the research model for the changes above , ryan and i got a similar
range from the research model so we are comfortable with these numbers .
let me know if there are any questions .
chris
x 33092
ron baker @ enron
01 / 10 / 2001 10 : 52 am
to : wes colwell / hou / ect @ ect , ryan siurek / corp / enron @ enron , chris
loehr / hou / ect @ ect , anne yaeger / hou / ect @ ect
cc :
subject : costless collar
attached is the updated valuation from bob lee in research using the actual
3 - year historical vol . of 47 . 2 which results in a call strike of 97 . 978 .
also , he has confirmed that the presence of the swap has no impact on the
value of the collar . let me know if you have questions . thanks ,
ron
- - - - - forwarded by ron baker / corp / enron on 01 / 10 / 2001 10 : 28 am - - - - -
bob lee
01 / 10 / 2001 08 : 44 am
to : andrea v reed / hou / ect @ ect , ron baker / corp / enron @ enron
cc : zimin lu / hou / ect @ ect
subject : costless collar
here ' s the calculation using the historical volatility . the strike drops
slightly . the volatility in the calculation is the expected future
vol ; atility - looking at traded options for hc and an expected fall off in
vol for long dated options , one could justify a vol estimate in the range 40
- 50 % for the collar .
the presence of the swap makes no difference on the collar valuation .
bob
re : costless collar for hanover
bob ,
good job .
zimin
bob lee @ enron
01 / 11 / 2001 08 : 10 am
to : zimin lu / hou / ect @ ect
cc :
subject : costless collar for hanover
fyi - looks like we ' ve converged .
bob
- - - - - - - - - - - - - - - - - - - - - - forwarded by bob lee / na / enron on 01 / 11 / 2001 07 : 04 am
- - - - - - - - - - - - - - - - - - - - - - - - - - -
from : chris loehr @ ect on 01 / 10 / 2001 04 : 50 pm
to : ron baker / corp / enron @ enron
cc : anne yaeger / hou / ect @ ect , ryan siurek / corp / enron @ enron , wes
colwell / hou / ect @ ect , bob lee / na / enron @ enron
subject : costless collar for hanover
ryan and i have looked at the research model and made some adjustments .
the treasury rate at 12 / 28 / 00 was 5 . 127 % ( research uses 4 . 6 % which probably
takes into account the recent fed 50 bp cut )
the maturity is 6 / 30 / 03 or 2 . 5 years ( research uses 3 years )
using these assumptions and a 47 . 2 % volatility in the bloomberg collar
function results in a ceiling of 92 103 / 256 and a floor of 34 7 / 8 . after
adjusting the research model for the changes above , ryan and i got a similar
range from the research model so we are comfortable with these numbers .
let me know if there are any questions .
chris
x 33092
ron baker @ enron
01 / 10 / 2001 10 : 52 am
to : wes colwell / hou / ect @ ect , ryan siurek / corp / enron @ enron , chris
loehr / hou / ect @ ect , anne yaeger / hou / ect @ ect
cc :
subject : costless collar
attached is the updated valuation from bob lee in research using the actual
3 - year historical vol . of 47 . 2 which results in a call strike of 97 . 978 .
also , he has confirmed that the presence of the swap has no impact on the
value of the collar . let me know if you have questions . thanks ,
ron
- - - - - forwarded by ron baker / corp / enron on 01 / 10 / 2001 10 : 28 am - - - - -
bob lee
01 / 10 / 2001 08 : 44 am
to : andrea v reed / hou / ect @ ect , ron baker / corp / enron @ enron
cc : zimin lu / hou / ect @ ect
subject : costless collar
here ' s the calculation using the historical volatility . the strike drops
slightly . the volatility in the calculation is the expected future
vol ; atility - looking at traded options for hc and an expected fall off in
vol for long dated options , one could justify a vol estimate in the range 40
- 50 % for the collar .
the presence of the swap makes no difference on the collar valuation .
bob