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---------------------- Forwarded by Jeffrey A Shankman/HOU/ECT on 11/15/2000 10:20 AM --------------------------- From: Per Sekse 11/15/2000 10:17 AM To: Jeffrey A Shankman/HOU/ECT@ECT cc: Subject: RE: BRENT/WTI spread FYI. Just thought I'd let you know we're pushing the crude ideas and getting positive feed back. Should lead to business shortly. Per ---------------------- Forwarded by Per Sekse/NY/ECT on 11/15/2000 10:56 AM --------------------------- Caroline Abramo@ENRON 11/15/2000 10:07 AM To: Chris Glaas/LON/ECT@ECT cc: (bcc: Per Sekse/NY/ECT) Subject: RE: BRENT/WTI spread Hi Chris- thanks for getting on the horn with Harvard last week- because we know they are already long the spreads, we will have to work on them amending the position or putting more on longer term. Below is feedback from another fund- Tudor, who we trade a lot with- same thing- we will have to work on other ideas. I am getting a bit more comfortable with the flow of crude and appreciate your help on ideas. These guys generally look at us as nat gas/ power only but are very willing to trade crude/ products- just need to build credibility. Talk to you later, CA ---------------------- Forwarded by Caroline Abramo/Corp/Enron on 11/15/2000 09:47 AM --------------------------- Dwight Anderson <Dwight.Anderson@tudor.com< on 11/15/2000 08:05:02 AM To: "'Caroline.Abramo@enron.com'" <Caroline.Abramo@enron.com< cc: Subject: RE: BRENT/WTI spread Is a great idea. (cuz we put it on in the low 1.20s....) thx for the idea. almost too bad we have it on already..... -----Original Message----- From: Caroline.Abramo@enron.com [mailto:Caroline.Abramo@enron.com] Sent: Tuesday, November 14, 2000 5:00 PM To: Dwight.Anderson@tudor.com; Jason.Mraz@tudor.com Cc: Per.Sekse@enron.com Subject: BRENT/WTI spread Dwight/Jason- We have done some analysis on the Brent / WTI spread- we would recommend buying WTI/ selling Brent for 2Q01 (as well as 02 and 03). We looked back to 1995 to see how each 2Q of these years traded 1 year prior to it being prompt. The graph attached gives the raw data and the word doc some risk/ reward analysis (1995 was a weird year). (See attached file: Brent_TI Analysis.xls)(See attached file: Brent_WTI-Trade.doc) The spread is pretty constant at 1.25- 1.40 up until the contracts are prompt- then the average is more like 1.80. 2000 was particularly striking because of the gasoline shortage in the Mid West which put pressure on WTI at Cushing (and in general kept cracks high)- we got out to 2.70. We are looking for a repeat this year. The Arb has generally moved to 2.70 minimum (to bring Brent to Cushing) because of higher freight rates this year- this looks to continue. The spread has moved out the last few days as Dec Brent is getting tight (due to UK tax affect)- now 1.52 at 1.57 Looking forward to hearing your thoughts on this. Rgds, CA
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