Jeff,

The below is a draft requesting the creation of  a JCC book and an outline on how the commodity and FX risks will be managed.  I have not included any limits as we should discuss these before hand.  A good deal of work has been done by Research, FX (Shane) and one of our guys, Rousseau Anai.  I have also included the basic swap model (with hard coded numbers if you are interested in road testing) that we have created incorporating a good deal of the work as well.  I showed this to Nowlan while in Cabo and he seemed happy.  What I am suggesting, however, is that John does not have to wear the research and fx risk.  We we hold this, but be hedged using the methodologies described in the note and research's hedge ratios.  Research would continue to be involved and evaluating the validity and the correlations on a real time basis.  Lastly and perhaps most importantly, we would not be starting with the biggest deals in the world.  Small, near term and short durations will help us prove the concept and refine our understanding.

I look forward to speaking to you about this.

Joe

 

 -----Original Message-----
From: 	Anai, Rousseau  
Sent:	Thursday, November 01, 2001 5:58 PM
To:	Hirl, Joseph
Subject:	JCC


Joe
Shane has given the thumbs up. Research looked at it yesterday and are happy. Your suggested changes have been made.
Regards
Rousseau