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"Piers Evans"
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Subject
FpML-Com Minutes of 2008-05-09 call
* 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
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