hi.. just so you know exactly what happened here..

ospraie sold us a 4.70 swaption.. exercisable into a swap.. expiry 3/27/01.. 5/month cal02
on 3/27/01.. market close is 4.78.. 
we called Mike Maggi.. asked if he was exercising swap.. yes, he was
we asked if we had to do anything in the system.... no was the reply.
we call ospraie.. tell them we exercised the swap.
reconciling position report with ospraie for the hundreth time this month.. notice we are out 5/month on swaps... we had not previously been pulling deals from the system... just going by deal tickets.
we go through system for a week.. can not find deal.. that is where we are now.
deal needs to be found or recreated.

 
if you have some time (or if you like slow torture).. read my other note.. 
better news coming.. promise.

 
 

-----Original Message----- 
From: Abramo, Caroline 
Sent: Sun 10/7/2001 9:32 AM 
To: Bailey, Derek; Nelson, Michelle 
Cc: Dyk, Russell; Zivic, Robyn 
Subject: Ospraie swaption


Errol- A swap between Enron and Tudor for Cal02 at 4.70 must be booked as soon as we figure out that there is no possibility it is in the system.
 
Derek/Michelle- this deal not being included in the system should be throwing off Ospraie's MTM.  This swap is at 4.70.. they are short 60 contracts..currently Cal02 is around $3.. which should result in $1M more positive P&L for Ospraie and $1M less for us.  
 
This must be settled first thing Monday.
Caroline