fw duke transaction original message collonges remi sent friday august 03 2001 5 05 pm lavorato john cc kishkill joe gonzalez orlando subject duke transaction closed tonight following transaction sell duke energy series 12 monthly options july 2001 june 2002 volume 10 mw delivery southeast center gravity strike r 140 mwh july december 2001 r 120 mwh january june 2002 strike payable 5 th month following month delivery options automatically exercised mae ex ante price greater strike duke option exercice mae settling price per mwh floor upside upside 35 mae ex ante price floor payable duke earliest 1 mae invoicing date regardless mae agent payment 2 july 5 th 2002 take mae credit risk duke duke takes mae credit risk receive premium r 5 million upfront result deal atm power curve however know rationing least november year result mae ex ante price r 684 mwh take conservative scenario assume collect upside july 02 mtm us 6 million rationing last higher money deal course immediate settlement mae r 684 long position would take us otm expect happen soon hope clear credit board talking martha stevens new boss stacy white validate assumption mtm great remi