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Enron Mail |
Interviewed a candidate yesterday who works for a competing shop. They have a less sophisticated method of pricing full-requirements deals that I thought you might find interesting.
Customer migration - they price as a Put Load following - they know its a short straddle position, but they have no tools to value so they base the price on historicals Hedging - they always look to hedge out the position with standard block purchases Ancillaries - they do no analysis, and simply add margin to the transaction Adjustment clause - they have been adding fuel adjustment clauses to the deals that allow them to be cheaper up front Booking - they have 2 books, spec trading and structured trading, the originator maintains P&L exposure on the transaction and works with the trader to assess how to manage/hedge the positions
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