EPRM

Hi Vince,

Hope you are well? Les enjoyed his visit with you very much by the sound of things.

I was wondering if you could have a quick look over the 2 pages attached. Robin is looking for something in the next day or so and this is as far as I've got today. The article is going to be on spark spread options. The material attached is the opening blurb - we'll add some analysis under different models tomorrow - I just wanted to make sure you are comfortable with the general comments we had written so far. If you want to add anything then that would be great - pls feel free to add a few points that we can expand on.

Thanks a lot. Its a shame you can't be here for the Risk conference in a few weeks, we could have had a reunion dinner!

Best regards.

Chris.

- EPRM_13_spark_spread.doc