Message-ID: <10134449.1075851576359.JavaMail.evans@thyme> Date: Thu, 18 Oct 2001 08:51:21 -0700 (PDT) From: jim.meyn@enron.com To: dana.davis@enron.com, john.llodra@enron.com Subject: Market Info on Load Following Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Meyn, Jim X-To: Davis, Dana , Llodra, John X-cc: X-bcc: X-Folder: \DDAVIS (Non-Privileged)\Deleted Items X-Origin: DAVIS-D X-FileName: DDAVIS (Non-Privileged).pst 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