WTI trading simulation presentation

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 12/15/2000
04:22 PM ---------------------------

Zimin Lu
12/15/2000 03:11 PM
To: John J Lavorato/Corp/Enron@Enron
cc: Vince J Kaminski/HOU/ECT@ECT, Stinson Gibner/HOU/ECT@ECT
Subject: WTI trading simulation presentation

John,

I prepared the presentation in the way we discussed on Wednesday.
In summary I have included the following scenarios:

Tenor: 1, 3, 5 years back from Nov, 2000
1, 3, 5 years back from Nov, 1998
1, 3, 5 years back from Nov. 1995

Number of trade per day: 200, 600,1000

Bid-offer spread: $0.04 and $0.06

Net Open position allowed: 1,000,000 and 5,000,000

Volume per trade is fixed at 1,000 BBL.

All together, there are 9*12 = 108 scenarios included in the presentation.

I will be on vocation starting next week. But I will check my e-mail and
phone
messages to make modifications you need.

Happy Holidays,

Zimin