* Present Esther Canosa, Goldman Sachs Hans Ellis, SWIFT (Co-Chair) Piers Evans, SwapsWire (Co-Chair) Luis Fierro, Deutsche Bank Marc Gratacos, ISDA Chito Jovellanos, Forward Look Owen King, SwapsWire Lyteck Lynhiavu, ISDA Brian Lynn, GEM Peter Stockman, DTCC Chuck Witter, Morgan Stanley Irina Yermakova, ISDA * Apologies John Solder, UBS * Review actions from last meeting 1500 LDN 02 May 2008 >> BL - Continue to produce cash flow matching explanation document. Brian will continue to work on this document. >> MG - Consider whether BL's point on the modelling of interest rate underlyers should be raised to the Modelling Task Force. BL will take this action forwards. >> Group - Review which commodities are most important to their institutions so that the model can be tested for business compliance once it has been developed. LF said that Deutsche would have to discuss further. Nonetheless, he felt oil would be the biggest win. CW said oil and electricity were the most important for Morgan Stanley. CJ said from a buy side perspective, clients were most interested in electricity and natural gas. EC said energy trades were most important for Goldman Sachs. * Minutes PE presented the second half of the Commodity Underlyer discussion paper (Section 10 onwards). Some trouble completing this section given that EFET were not represented on the call and none of the group members felt confident enough to answer on their behalf. PE to follow up with Huw Brunswick of EFET on these items. Pricing Dates should be included in the model as a function of the trade rather than the underlyer. FX information should be included in the model as a function of the trade rather than the underlyer. Spread details should be included in the model as a function of the trade rather than the underlyer. Some further discussion will be required on how this should be modelled. Calculation Period should be included in the model as a function of the trade rather than the underlyer. Group validated the approach of using the instrumentId field to refer to the ISDA Commodity Reference Prices set out in the definitions. Some discussions around how the scheme should be kept up to date if ISDA are slow to update the definitions. PE explained that a scheme can be maintained by the group outside of ISDA's work which will allow new values to be added, especially since these are not hard coded in the schema. Also, users of the schema will be able to use their own schemes should the need arise. The call ended at this point. PE to circulate a revised Underlyer model and a discussion paper to help the group approach the commodity swap model next week. * Decisions The group will aim to validate the new Underlyer proposal next week as far as possible before moving on to the swap model. (Any answers received from EFET regarding section 10 of the underlyer discussion paper can be reviewed on the next call.) Next meeting 1500 LDN Fri 16 May 2008 * Actions BL - Continue to produce cash flow matching explanation document. BL - Consider whether BL's point on the modelling of interest rate underlyers should be raised to the Modelling Task Force. LF - Give Deutsche Bank's priorities as regards the types of commodities to tackle first. PE - Follow up with EFET on questions arising from the discussion of section 10 of the underlyer discussion paper. PE - Produce updated Underlyer model and also a further discussion paper to lead into tackling the commodity swap model. (First pass at the underlyer model is attached as zip. The discussion doc for swaps will be circulated in advance of Friday. For those who cannot receive zips, please note that these can be downloaded here: http://www.fpml.org/_wgmail/_commwgmail/threads.html) Piers Evans --------------------------------------------------------------------- This is a commercial communication sent by SwapsWire Limited. This message contains confidential information and is intended only for the individual named. If you are not the named addressee you should not disseminate, distribute or copy this e-mail. Please notify the sender immediately by e-mail if you have received this e-mail by mistake and delete this e-mail from your system. E-mail transmission cannot be guaranteed to be secure or error-free as information could be intercepted, corrupted, lost, destroyed, arrive late or incomplete, or contain viruses. The sender therefore does not accept liability for any errors or omissions in the contents of this message which arise as a result of e-mail transmission. If verification is required please request a hard-copy version. 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Attachment:
Commodity Underlyer 2008-05-14.zip
Description: Commodity Underlyer 2008-05-14.zip