Enron đã tham gia vào các hành động phi pháp tương tự để dự án một hình ảnh nhân tạo khả năng phục hồi tài chính của camouf laging tổng số nợ. Vào cuối năm 1998, Enron có 7,37 tỷ USD trong bảng cân đối kế toán nợ dài hạn, nhưng vay mượn của | CREDIT RISK MANAGEMENT LESSONS FROM ENRON 227 advanced payment to Enron however the termination payment did not represent the usual replacement cost of the net purchase and delivery obligations but rather the gross replacement cost of all remaining asset deliveries. To address the significant credit risk of a default by Enron on its termination payments Citibank used a credit-linked note the history and mechanics of which are described in more detail in Culp 2002 . Shown in its most basic form in Figure 10 Citibank set up an unconsolidated credit SPE that issued notes and equity certificates to a broad range of investors. Proceeds from these securities funded the acquisition of investments by the SPE in securities rated at least AA-. Citibank entered into a credit swap with the credit SPE that reflected the terms of the loans the bank made to the prepaid SPE to finance the Enron prepays. As long as Enron did not experience an adverse credit event the credit SPE made regular payments to Citibank on the swap equal to the actual interest income on the credit SPE s investments. In return the credit SPE received payments from Citibank in an amount sufficient to cover the interest payments due to investors in the debt notes. The gross interest payments from Citibank to the credit SPE for payment to note investors had two components a pure interest component financed by the interest Gas Oil Prices FIGURE An Unconsolidated Credit SPE 228 CREDIT RISK MITIGATION AFTER ENRON Citibank received on its loans to the prepaid SPE and a credit insurance premium paid to credit SPE note holders to compensate them for bearing Enron credit risk. In the event of an Enron default the credit SPE would swap its low-risk investments with Citibank for senior unsecured Enron debt. The debt notes issued by the credit SPE thus functioned as synthetic Enron debt. As long as Enron remained a viable business holders of notes issued by the credit SPE would earn a healthy premium over .
