Updated Unit of Measure codelist. We can have a quick discussion about the changes. Bulent Ozkan -----Original Message----- From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Piers Evans Sent: Thursday, June 12, 2008 3:09 PM To: commwg@xxxxxxxx Subject: FpML-Com Reminder: FpML Commodity Working Group call at 3pm LDN / 10 am NY Friday 13th June All, Please note that there is a call tomorrow to discuss the attached. AGENDA: 1. Review outstanding actions 2. Continue with 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: 52016709 Note that the minutes to the last call are included below. Regards, Piers Evans ***************** * Present Hans Ellis, SWIFT (Co-Chair) Piers Evans, Markit Wire (Co-Chair) Marc Gratacos, ISDA Raphael Iyageh, Goldman Sachs Chito Jovellanos, Forward Look Owen King, Markit Wire Brian Lynn, GEM Bulent Ozkan, Triple Point John Solder, UBS Peter Stockman, DTCC * Apologies Hugh Brunswick, EFET Luis Fierro, Deutsche Bank * Review actions from last meeting 1500 LDN 30th May 2008 >> 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. >> PE to contact EC to establish why holidayCalendar and timeZone were in the model originally. With regard to both actions above, EC has now left Goldman Sachs. RI obtained answers from within GS that were discussed on the call. RI is liaising with the head of operations to determine who will represent GS on the call from the operations side in future. >> PE will review how to add deliveryLocation to the underlyer model. Done in the 2008-06-05 version of the schema attached. In the light of feedback from GS, this may no longer be necessary - see minutes. >> HB to look for examples of how delivery dates including / excluding the expiring contract are confirmed currently and suggest how this could be modelled. Examples were received. PE to review how this can be included in the model. >> PE to review CW's electricity proposal and see how this can be included in the existing underlyer definition. PE stated that he had not had time to go into this in detail but that it would be taken into account in the final underlyer model. >> PE to review options for modelling conversion factor on basis trades. PE said that this will be reviewed in the context of the swap product (see revised equity swap discussion paper attached). See also attached schema, which is the original FpML working group's definition of a commodity swap schema. >> Group to review how spreads can be expressed - cash amount only or can these be in basis points? The group agreed that basis swaps are always quoted as a cash spread over / under one leg. * Minutes 1. PE explained schema changes made: 1.1 deliveryLocation has been added back in. Note that feedback received from GS (attached) seems to indicate that the original inclusion of this element in the model was mainly for internal system reasons and not for business reasons. Does the group still feel that deliveryLocation needs to be included in the light of this feedback? RI also explained that timeZone was needed for power transactions and holidayCalendar had been included for matching certainty. PE to review how these could be modelled. 1.2 CommodityUnit has been pointed at the price-quote-units-1-1 scheme since this is used elsewhere in FpML - specifically in Brian Lynn's work on reconciliation. It was concluded that the commodity units in the scheme were added by the previous working group and so can be updated if necessary. BO said he would provide a list of commonly-traded units to the group. 2. Commodity Swap discussion paper was introduced. 2.1 PE asked the group whether they preferred to model swaps after the IRS implementation which re-uses one leg type to capture both floating and fixed, or to model swaps after the return swap implementation which uses a substitution group to model each leg separately. BL noted that the FpML standards committee had encouraged working groups to avoid over-use of substitution groups where modelling a series of types might be more effective. The group opted to follow the return swap model, but dispense with the substitution group in the light of BL's advice. 2.2 PE asked whether effective date and termination date could ever differ on individual legs of a swap or whether this should be modelled at the trade level. BO felt that these dates were always common and so should be modelled at the trade level. PE said he would follow up with the banks. 2.3 Rounding - The question of how rounding is applied came up. It seems that there are various places that could be subject to rounding - the index price itself, any commodity scaling factor and also the point at which any FX is applied. PE to follow up with HB with regards to an ISDA FX / rounding convention mentioned on the last call and with banks. BO thought that rounding should be captured as an attribute of the index (underlyer). The group may wish to review the attached schema, which was produced by the original commodity working group and could be a useful guide in coming up with our version. * Decisions Spreads will be cash only. Implement commodity swap as a multi-leg model (i.e. one type per leg). The group will continue to review the swap model on the next call. Next meeting 1500 LDN Fri 13th June 2008 * Actions In the light of feedback from GS, inclusion of deliveryLocation may no longer be necessary . Does the group still feel that deliveryLocation needs to be included in the light of this feedback? PE to review how timeZone and holidayCalendar could be modelled. BO said he would provide a list of commonly-traded units to the group. PE to follow up with the banks on effective date / termination date position. PE to follow up with HB with regards to an ISDA FX / rounding convention mentioned on the last call and with banks. PE to look again at frontline (including / excluding) contract for delivery date in the light of examples provided by HB. The content of this e-mail is confidential and may be privileged. It may be read, copied and used only by the intended recipient and may not be disclosed, copied or distributed. If you received this email in error, please contact the sender immediately by return e-mail or by telephoning +44 20 7260 2000, delete it and do not disclose its contents to any person. You should take full responsibility for checking this email for viruses. Markit reserves the right to monitor all e-mail communications through its network. Markit and its affiliated companies make no warranty as to the accuracy or completeness of any information contained in this message and hereby exclude any liability of any kind for the information contained herein. Any opinions expressed in this message are those of the author and do not necessarily reflect the opinions of Markit. 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price-quote-units-1-1 UpdatedBO.zip
Description: price-quote-units-1-1 UpdatedBO.zip