Brian, Thanks for this. Please see the LEAP guidelines that ISDA took as a starting point below (UK natural gas and basis trades): 1. LEAP proposal for rounding convention for UK Natural Gas: ISDA members are asked to consider the LEAP Settlements Working Group's proposal to make rounding to 5 decimal places pence/therm the recommended standard market practice for UK natural gas. It was noted that even though UK natural gas is quoted to 4 decimal places, those who participated in the LEAP discussions agreed that 5 decimal places was the standard which should be used. 2. Rounding methodology - Cargill proposal for calculation of Floating Amounts: Cargill has proposed that firms look to Section 6.1 of the 2005 ISDA Commodity Definitions (Calculation of a Floating Amount) in order to eliminate rounding differences caused by density conversion factors between Floating Prices with different Units of measure (e.g. metric tons vs. barrels/gallons). It was noted that many banks are already following this methodology of calculating 2 Floating Amounts separately and then deducting one from the other. It was also noted that while firms may not be able to implement this proposal into their systems in the short-term, as an industry, firms should have an aspirational goal to strive towards. Thanks, Piers Evans -----Original Message----- From: commwg@xxxxxxxx on behalf of Brian Lynn Sent: Wed 18/06/2008 18:51 To: commwg@xxxxxxxx Subject: RE: FpML-Com rounding update When get feedback on this it might be worth making sure that the guidelines address several different components of rounding: 1) rounding on the commodity prices - typically done to multiple digit precision - may be done before or after averaging, units conversion, fx conversion, etc. 2) rounding on the exchange rates (if any), e.g. after averaging several observations 3) rounding on the settlement amount (after multiplication of the price times the volume) - typically done to a currency specific precision, e.g. 0 or 2 decimals. When we say "what are the rules for rounding?" we may miss some of this detail. - Brian -----Original Message----- From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Piers Evans Sent: Wednesday, June 18, 2008 1:27 PM To: commwg@xxxxxxxx Subject: FpML-Com rounding update All, Joanna Coelho from GS has given the following feedback on rounding in response to the action from last week's call: 1. LEAP did some initial work on rounding and then handed this over to ISDA in order to gain industry consensus. 2. ISDA are due to put out a proposal on this, but have not yet stated when this will happen. 3. This is being followed up with ISDA to try and find out where the process has got to. The group should probably await further news before deciding on the best rounding implementation using the information available at the time. Thanks, Piers Evans +44 20 7071 0109 The content of this e-mail is confidential and may be privileged. 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