52016709
All,
It would appear that the below email did not reach you due to some IT
issues at my end, for which I apologise.
As it was, we had sparse attendance on the call earlier and so it was
agreed that we would postpone the discussion until next week.
As an additional point, Brian Lynn has now completed his document on
cash flow matching and we should therefore agree on how the group would
like to tackle this. My suggestion is that we discuss on the call next
week when we review the open actions.
I have attached his comprehensive doc along with the other materials.
Enjoy the holiday (for those that have Monday off),
Piers Evans
-----Original Message-----
From: Piers Evans
Sent: 23 May 2008 10:11
To: 'commwg@xxxxxxxx'
Subject: Reminder: FpML Commodity Working Group call at 3pm LDN / 10 am
NY Frday 23rd May
All,
Please note that there is a call today to discuss the attached.
AGENDA:
1. Review outstanding actions
2. Discuss attached electricity proposal from Morgan Stanley
3. Finish discussion on EFET response to the underlyer discussion paper
4. Commodity Swaps Discussion Paper.
For those that cannot receive zips, you can get the attachments here:
http://www.fpml.org/_wgmail/_commwgmail/threads.html
Dial in details:
US: 1 888 481 3032
UK: 0 800 904 7961
Intl: 1 617 801 9600
Participant Code: 751365
Note that the minutes to the last call are included below.
Regards,
Piers Evans
*****************
* Present
Hugh Brunswick, EFET
Piers Evans, Markit Wire (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)
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