---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 12/17/99 
03:11 PM ---------------------------


Jarek Astramowicz
12/12/99 05:55 PM
To: Vince J Kaminski/HOU/ECT@ECT
cc:  
Subject: PSE Swap transaction

Vicek,

po tym jak nasi koledzy z FX Desk i Interest Rate Desk troche nas osmieszyli 
cytujac wysokie ceny na FX i twierdzac, ze nie ma rynku na CPI hedge, 
probujemy uratowac twarz przed PSE, ktora otrzymala dwa wiazace cytaty cenowe 
od JP Morgan and Morgan Stanley.

Jakakolwiek pomoc z Twojej strony bedzie tym bardziej cenna. Na dzien 
dzisiejszy wyglada, ze moze uda nam sie to zrobic z PSE ale dopiero w 
styczniu. Wartosc transakcji dla nas zmniejszy sie do prawie zera (musimy 
nadrobic w oczach PSE) i dlatego walczymy o kazdego $$$$ w NPV.

Dzieki - Jarek.
---------------------- Forwarded by Jarek Astramowicz/WAR/ECT on 99-12-13 
01:50 ---------------------------


Sidney Cox
99-12-07 21:45
To: Vince J Kaminski/HOU/ECT@ECT
cc: Jarek Astramowicz/WAR/ECT@ECT, Jarek Dybowski/WAR/ECT@ECT 
Subject: PSE Swap transaction

Vince, 

We are still trying to work the PSE swap transaction, now that the forex desk 
has been able to find a fix for CPI in the market. 

Further to my voicemail, our colleagues in credit are calculating the reserve 
on the PSE swap.  They are currently using 9.5% fixed based on the 1 year 
implied volatility.  Volatility of USD/DM has been in the range of between 7% 
and 11%.  Can one of your research staff justify a suitable 20 year 
volalatility number for USD/Euro.  Ideally, we would like a fast turnaround.  

In addition, is there someone who could consider the correlation between US 
CPI and the $/euro exchange rate.  The credit guys are currently assuming 
that there is no correlation and may consequently be double dipping the 
credit reserve on this basis too.  

Grateful for any help or suggestions you could provide. 

Sid