RE: FpML-Com ISDA FpML Commodities Working Group - the updated schema and documentation for Comm Swap Product

["Joseph, Rosh" <Rosh.Joseph@xxxxxx>]

Title: Re: FpML-Com ISDA FpML Commodities Working Group - the updated schema and documentation for Comm Swap Product

Marc,

Thanks for that. I guess I would just like to address some of the issues that I'm alluding to.

 

1. The Index underlyer

For the swap, the recommendation below would have been fine but it is based on the ExchangeTraded class. In commodities there are also index-based swaps that come from Non-exchange publications. And to extend the current definition would imply that other definitions using this would also have to work with the Commodities extensions. I would think we don't want to increase the scope of this work needlessly.

 

2. The Future underlyer

When we represent a swap that is settling against the Nymex WTI contract settlement, I would prefer for us to not use the future, as the swap does not have a Future as it's underlying even though it gets its price from the future settlement. Furthermore, when we extend the swap to represent EFS's there shouldn't be any ambiguity.

 

3. The Commodity underlyer

Currently, this underlyer also extends the ExchangeTraded class. Cleary that shouldn't be the case if we want to represent Physicals and Index-based ( i.e. exchange contract settlements and publications ) underlyers. It may make more sense to redefine this underlyer to meet our needs better.

 

4. Underlyer type of Basket

Is this supposed to be used for Indexation swaps? Can we keep it out for now? Or do people have examples?

 

5. The Underlyer class

Given that most of the definitions under the SingleUnderlyer is not useful for Commodities swaps, should we be looking to extend the Underlyer class to include a "CommodityUnderlyer" or replace it instead of extending?

 

6. The FxFeature class : Regarding non-standard currency settlement

For example, NBP can be quoted in both EUR or GBP and settled accordingly, this could be represented with the "Composite" feature set, if it stands for the Avg( Commod * FX ).  Can I ask what your definition of a composite is? The definition in the FpML for Composite doesn't make sense ....

 

'If “Composite” is specified as the Settlement Type in the relevant Transaction Supplement, an amount in the Settlement Currency, determined by the Calculation Agent as being equal to the number of Options exercised or deemed exercised, multiplied by: (Settlement Price – Strike Price) / (Strike Price – Settlement Price) x Multiplier provided that if the above is equal to a negative amount the Option Cash Settlement Amount shall be deemed to be zero.'

 

Besides references to options, the formula also evaluates to -1*Multiplier. Clearly that cannot be correct. Furthermore, is there an example of a Quanto Swap that someone can supply? Not sure if doing so would even complicate the swap unnecessarily. Similarly I would like to understand  "CrossCurrency" if anyone knows what it represents.

 

 

 

Based on the above, I shall be working with Pierre to provide the working group with an alternative to the "Commodity" underlyer and potentially an extension to the Underlyer class. Any comments on any of the above will be welcomed as we strive to get a stronger definition in place.

   

---

From: Joseph, Rosh
Sent: Thursday, April 12, 2007 8:55 PM
To: 'commwg@xxxxxxxx'
Subject: RE: FpML-Com ISDA FpML Commodities Working Group - the updated schema and documentation for Comm Swap Product

In the BarCap1.GasBasisSwap.TradeCreated example and if we were to use an underlying of a future, how would we then represent an EFS?

 

Also I noticed that the "Commodity" has been introduced as a new underlyer which in the comments describes it as a "listed commodity contract". If so, how would we represent an index-based location and, although not in the case of the swap but for other tradables, will this underlyer also be used to represent physicals?

---

From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Whiting, Elaine
Sent: Thursday, April 12, 2007 8:46 PM
To: commwg@xxxxxxxx
Subject: Re: FpML-Com ISDA FpML Commodities Working Group - the updated schema and documentation for Comm Swap Product

I'm not a techie but will try to assist on interpretation. Where exactly are you seeing this? Marc, can you assist too please?

Regards,
Elaine


----- Original Message -----
From: commwg@xxxxxxxx <commwg@xxxxxxxx>
To: commwg@xxxxxxxx <commwg@xxxxxxxx>
Sent: Thu Apr 12 20:41:47 2007
Subject: RE: FpML-Com ISDA FpML Commodities Working Group -  the updated schema and documentation for Comm Swap Product

I had mentioned concerns from the examples that were included regarding the use of "future" within the leg representations and in a more recent email asked how a particular index swap with non-standard currency payment be handled. As I'm not an FpML expert I was hoping to get some response on this but received no reply on either.

Regards,
Rosh


________________________________

        From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Irina Yermakova
        Sent: Thursday, April 12, 2007 7:41 PM
        To: commwg@xxxxxxxx
        Subject: RE: FpML-Com ISDA FpML Commodities Working Group - the updated schema and documentation for Comm Swap Product
       
       

        Yes, that is correct, Commodity Swap Product will be published in 4.3 WD2 at the beginning of next week.

        

        Regards,

        Irina

        ________________________________

                From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Whiting, Elaine
        Sent: Thursday, April 12, 2007 12:38 PM
        To: commwg@xxxxxxxx
        Subject: RE: FpML-Com ISDA FpML Commodities Working Group - the updated schema and documentation for Comm Swap Product

        

        Irina circulated this and we have requested feedback and comments on several occasions. Irina/Marc - please confirm the latest status (I believe from Marc that it is due to be included in the latest Working Draft of Version 4.3?)

        

        Thanks,
        Elaine

        

        

        

        ________________________________

                From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Joseph, Rosh
        Sent: 12 April 2007 17:36
        To: commwg@xxxxxxxx
        Subject: RE: FpML-Com ISDA FpML Commodities Working Group - the updated schema and documentation for Comm Swap Product

        But don't we need to wrap up the swap definition first, if we want to submit the definition soon.

        Regards,

        Rosh

                

                ________________________________

                                From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Whiting, Elaine
                Sent: Thursday, April 12, 2007 5:19 PM
                To: commwg@xxxxxxxx
                Subject: RE: FpML-Com ISDA FpML Commodities Working Group - the updated schema and documentation for Comm Swap Product

                At present no - I am hoping that people are going to submit some examples of Options trades as requested so that we can kick off on Phase 2.

                Regards,
                Elaine

                

                ________________________________

                                From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Joseph, Rosh
                Sent: 12 April 2007 17:04
                To: commwg@xxxxxxxx
                Subject: RE: FpML-Com ISDA FpML Commodities Working Group - the updated schema and documentation for Comm Swap Product

                Are we still set for Friday 13th?

                Regards,

                Rosh

                        

                        ________________________________

                                                From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Whiting, Elaine
                        Sent: Wednesday, April 04, 2007 8:17 PM
                        To: commwg@xxxxxxxx
                        Subject: Re: FpML-Com ISDA FpML Commodities Working Group - the updated schema and documentation for Comm Swap Product

                        Provisionally next Friday 13 April, to be confirmed. However, we are keen to get some dialogue going on the group email as to review of the swaps schema, and also I still need people to send their example options docs for phase 2 please.
                       
                        Thanks,
                        Elaine
                       
                       
                        ----- Original Message -----
                        From: commwg@xxxxxxxx <commwg@xxxxxxxx>
                        To: commwg@xxxxxxxx <commwg@xxxxxxxx>
                        Sent: Wed Apr 04 16:05:55 2007
                        Subject: RE: FpML-Com ISDA FpML Commodities Working Group -  the updated schema and documentation for Comm Swap Product
                       
                        Hi,
                        Just wanted to know when the next meeting to discuss the latest schema will be.
                       
                       
                        ________________________________
                       
                                From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Irina Yermakova
                                Sent: Wednesday, March 21, 2007 4:04 PM
                                To: commwg@xxxxxxxx
                                Subject: FpML-Com ISDA FpML Commodities Working Group - the updated schema and documentation for Comm Swap Product
                                Importance: High
                              
                              
                       
                                All,
                       
                                Attached is the updated schema and revised documentation for Commodity Swap Product.
                       
                                Please, send your comments to the Group email address.
                       
                               
                       
                                Kind Regards,
                       
                                Irina Yermakova
                       
                               
                       
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