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----- Original Message -----
From: Spear, Mark
To: Iyageh, Raphael A
Sent: Thu Jun 05 17:42:54 2008
Subject: RE: FpML actions
See my responses below.
Thanks
-----Original Message-----
From: Iyageh, Raphael A
Sent: Thursday, June 05, 2008 4:04 PM
To: Spear, Mark
Subject: FW: FpML actions
If you can go the checkups that you spoke about, that would be appreciated. I would need this to give them a report in the meeting tommorow.
Cheers
-----Original Message-----
From: Piers Evans [mailto:Piers.Evans@xxxxxxxxxx]
Sent: Wednesday, June 04, 2008 11:23 AM
To: Iyageh, Raphael A
Cc: Senbore, Olufemi O.; Coelho, Joanna; Owen King
Subject: FpML actions
Hi Raphael.
I hear that Esther Canosa has now actually left GS and so I wonder if I can turn to you for help in completing a couple of my outstanding actions for the FpML group.
Namely:
1) 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. Delivery Location is a field in secdb on a Commod Basis Swap that we feed downstream. It's used to create the CML infomation. For example: Commod WTI Exchange - "Exchange" is the Delivery Loaction. Commod NG HSCBEA GAS-DLY MEA - "HSCBEA" is the Delivery Location and "GAS-DLY MEA" is the Publication VT. "Delivery Location" isn't a defined term in ISDA for swaps (for physicals, "Delivery Point" is used to explain where we are making a delivery, except for Bullion, where "Delivery Location" is used for London vs Zurich). I imagine it was originally added by GS as it's available. When defining the commodity, we would use the CML, so I'm thinking this isn't required.
2) PE to contact EC to establish why holidayCalendar and timeZone were in the model originally. I'm unsure why HolidayCalendar would have been in the model as this is not used on the ISDA confirmation. In secdb we have this information stored - so I'm unsure if this was required for potential matching of data and having counterparties agree on the holiday calendar they would use for that product (i.e. NYMEX vs USD etc).
For Timezone, when dealing with Power swaps or Physicals this is a required piece of information that we would need on the confirmation. We need to know when specifiying the Start Time or End time, which Time zone this corresponds to. Therefore I think this should stay.
Essentially, we came across these points when reviewing the EFET underlyer model in the context of the GS one (as per points 7, 9 & 10 the attached 'Commodity Underlyer Implementation' text file).
If you are able to cast your mind back to when the GS model was developed, it would be really helpful.
Perhaps this is something we can discuss on the phone some time before the next call on Friday?
I am on +44 20 7071 0109.
Many thanks,
Piers Evans
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