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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 17th September and would appreciate a steer as to who would be the best person to speak to on this. Regards, Robina
High Yield Portfolio Hedging