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RE: FpML-Com rounding update
I'm unavailable tomorrow as well.
-----Original Message-----
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of H Brunswick
Sent: Thursday, June 19, 2008 11:52 AM
To: commwg@xxxxxxxx
Subject: RE: FpML-Com rounding update
Piers, I will miss tomorrows call - apologies
H
Hugh Brunswick
Managing Director
EFETnet B.V.
Keizersgracht 62-64
1015 CS Amsterdam
Tel: +31 (0) 20 - 301 13 98
Mob: +44 (0) 7767 27 27 26
Fax: +31 (0) 20 - 520 75 10
www.efetnet.org
h.brunswick@xxxxxxxxxxx
-----Original Message-----
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Piers Evans
Sent: 18 June 2008 20:59
To: commwg@xxxxxxxx
Subject: RE: FpML-Com rounding update
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
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