* Present Hugh Brunswick, EFET Piers Evans, SwapsWire (Co-Chair) Marc Gratacos, ISDA Chito Jovellanos, Forward Look Owen King, SwapsWire Lyteck Lynhiavu, ISDA Brian Lynn, GEM John Solder, UBS Peter Stockman, DTCC Chuck Witter, Morgan Stanley * Apologies Hans Ellis, SWIFT (Co-Chair) Luis Fierro, Deutsche Bank * 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. >> BL - Consider whether BL's point on the modelling of interest rate underlyers should be raised to the Modelling Task Force. BL did raise this to the Modelling Task Force, but interest was muted. This point will be removed from the commodity group's actions given that it is beyond the scope of the work the group is doing. BL can update the group if anything happens at the Modelling Task Force level. >> 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. This action is now complete. All participants identified some combination of oil, power and gas as the most important commodities for them overall. * Minutes PE presented the revised underlyer model as per the text file 'Commodity Underlyer Implementation.txt'. - The first six points were agreed by the group. - Point seven - the removal of the deliveryLocation element was questioned. PS wondered whether delivery location was related to the index definition. PE to review how often delivery location is used in ISDA's Commodity Reference Price definitions by way of determining its relative importance to defining the index (it is not a field that ISDA include in their own commodity reference price framework). PE to ask EC why this element existed in the original GS proposal. HB wondered whether it might be related to holiday centres, however this could generally be derived from the exchange if any. In the case of publications, the group was unsure as to whether the publication calendar would always align with the underlying commodity - could there ever be a date when the publication was to publish but the commodity was not? HB to investigate further. Group will revisit this issue in the light of HB's and EC's feedback. - Point eight was agreed but some additional questions were raised. CW felt it would be necessary to differentiate peak periods from off-peak periods. CW to obtain an example of such a trade for the group to review. CJ said that power can settle in fifteen minute increments in Europe. HB agreed. PE to add a 'QuarterHourly' value to the SettlementPeriodDurantionEnum. MG asked that the parent SettlementPeriods type be removed as this is not FpML compliant. PE to revise model. - Points 9 and 10 were questioned in a similar fashion to point seven. PE to contact EC to establish why these items were in the model originally. Group will review based on EC's feedback. - Points 11 and 12 were agreed. HB explained that the '_Including ' and '_Excluding' values referred to the futures contract that will apply on a roll date: i.e. whether it will it be the expiring contract or the new front month contract. The group felt that this could apply to all delivery dates and not just the first and so will aim to model this concept in a different way. PE to review options. HB to look for examples of how this is confirmed currently. - Group agreed that commodity indices such as the GS Commodity Index could be reviewed later given that they may have extra complexities such as multiple exchanges. - Group to decide whether the EFET element names should be included in the schema documentation to aid mapping from one schema to another. - Group reviewed HB's feedback on the underlyer discussion paper. 1. Value of 'Other' for specified price will be omitted. 2. Factor is a basket item and may be covered by the existing FpML basket model. The group will return to this item when modelling baskets. 3. Only delivery dates referencing futures will be supported. 4. Group agreed that pricing dates is more a function of the trade than the commodity underlyer and should be modelled elsewhere. HB pointed out that the CBD value in the pricing dates enumeration does mean every day on which the commodity prices. However, a value of 'All-Days' is being considered by EFET as the commodity business day may not be relevant for averaging. Group will review the options for this field when modelling the commodity products. - Time ran out at this point. Group will continue to review HB's feedback next week and determine any impact on the underlyer model before moving on to review the Commodity Swap Discussion Paper. * Decisions The group will aim to validate the new Underlyer proposal next week as far as possible before moving on to the swap model. Next meeting 1500 LDN Fri 23 May 2008 * Actions PE to ask EC why deliveryLocation existed in the original GS proposal and review how often it is used by ISDA to define Commodity Reference Prices. HB to investigate need for deliveryLocation in underlyer representation. CW to obtain an example financial power confirmation for the group showing peak vs. off-peak in use. PE to add a 'QuarterHourly' value to the SettlementPeriodDurantionEnum. PE to revise model for settlementPeriod to be FpML compliant. PE to contact EC to establish why holidayCalendar and timeZone were in the model originally. PE to review options for modelling the concept of delivery dates needing to reference the expiring / new front month contract on the last trading day. HB to look for examples of how delivery dates includin / excluding the expiring contract are confirmed currently. (Revised underlyer model is attached as a zip. 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. 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Attachment:
Commodity Underlyer 2008-05-19.zip
Description: Commodity Underlyer 2008-05-19.zip