re : high yield portfolio hedging joe , yes let ' s get together this week . i have had some discussions with the credit trading team but nothing of real substance yet . i am still curious to understand what risks we will be left holding in the equity tranche . also , i am not sure how they would propose to deal with the dyanmic nature of the derivative portfolio .
i have had to reschedule with robina a couple of times . we were trying to get a video conference call together but now may delay until robina ' s visit .
i ' ll keep you informed .
bill
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from : deffner , joseph
sent : fri 8 / 31 / 2001 8 : 55 pm
to : kitchen , louise ; bradford , william s .
cc :
subject : re : high yield portfolio hedging
bill , why don ' t you and i get together to discuss the proposal . as you know , we are intending to transfer credit risk through the project x , y and z structures but not likely the most riskier of credits . all of the structures rely on cdo and synthetic cdo structures . in addition , we have received indications of interest on non - funded risk transfer structures , pure first loss transfer , that may be interesting to review .
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from : kitchen , louise
sent : friday , august 31 , 2001 11 : 27 am
to : deffner , joseph ; bradford , william s .
subject : fw : high yield portfolio hedging
any comments ?
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from : barker - bennett , robina
sent : friday , august 31 , 2001 8 : 28 am
to : kitchen , louise
subject : high yield portfolio hedging
louise
hope alls well and you ' re enjoying life in houston . one of the projects my group ( enron credit - syndication ) , are currently working on is to try and originate , structure and place a high yield and / or emerging market cdo , which is made up of both enron risks and externally originated risks . the plan would be to provide a cost effective way for enron to hedge its credit exposure to riskier counterparties . i am not sure if enron north america has any of this type of exposure , but would be interested to talk to someone and find out if there is any way that we might be able to help your group . i attach a short presentation which outlines the rationale for what we are doing .
>
i am going to be in houston the week of the 17 th september and would appreciate a steer as to who would be the best person to speak to on this .
regards , robina