* Present
Peter Stockman,
DTCC
Owen King,
Markit
Hans Ellis, SWIFT
(Co-Chair)
Chuck Witter,
MS
Chito Jovellanos,
Forward Look
Marc Gratacos,
ISDA
Irina Yermakova,
ISDA
Alistair Cross,
GS
Ali Peera,
GS
Brian Lynn,
GEM
*
Apologies
Piers Evans,
Markit (Co-Chair)
Hugh Brunswick,
EFET
John Solder,
UBS
Ebipere Clark,
Broker Hub
* Review actions from last
meeting, 1500 LDN 13th June 2008
>> PE to
remove deliveryLocation from the underlyer model.
PE removed
deliveryLocation and added
deliveryDateRollConvention:
<xsd:element
name="deliveryDateRollConvention"
type="CalculationPeriodFrequency"
minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">Specifies, for a
Commodity
Transaction that
references a listed future via the deliveryDates
element, the day
on which the specified future will roll to the next
nearby month
when the referenced future expires. If the future will
not
roll at all -
i.e. the price will be taken from the expiring contract,
0
should be
specified here. If the future will roll to the next nearby
on
the last trading
day - i.e. the price will be taken from the next
nearby
on the last
trading day, then 1 should be specified and so
on.</xsd:documentation>
</xsd:annotation>
</xsd:element>
>> Group to
decide on importance of timeZone / holidayCalendar. Please consider whether they
would be needed in the event that no pre-defined commodity reference price
exists.
AP will check with
the author of the original FpML proposal why it was initially in the model and
report back to the group.
>> PE to
review BO’s list of units and make a recommendation to the
group.
Added MJ -
MegaJoule.
GAL – Gallon.
There is no distinction between
MT – Metric Tonne.
The question was raised whether there is a need to support non-metric. AP
mentioned that Short Ton might be required. He will check this and report back
to the group.
Carbon Emissions.
The group confirmed that the unit to be used is Metric Tonne and therefore
already included in the list.
>>PE to
update underlyer model for frontline future (including / excluding).
Will ask PE to
report back next week.
>>Goldman
Sachs to provide an update to the group on
rounding.
ISDA is due to put
out a proposal on rounding after initial work done by LEAP. It was decided that
the group should await further news before deciding on the best rounding
implementation using the information available at the time.
*
Minutes
The group
continued with the Commodity Swap Discussion Paper.
Schedule
Component
Within the
schedule
component the element paymentDates is of
type AdjustableRelativeOrPeriodicDate.
This requires the
flexibility to specify x number of days after the end of the Calculation Period.
The level required is therefore for AdjustableRelativeOrPeriodicDate instead of AdjustableOrRelativeDate.
MG suggested that Periodic might be
required.
Spread Schedule
The group had no objection to an element of type
SpreadSchedule to be created within the calculation element.
Underlyer
The group agreed that underlyer should be presented using the full FpML
Underlyer
type.
Question
Where would we model Fallbacks and Market Disruption
Events?
OK will look at how it is represented in other asset
classes and present a suggestion to the group.
Basis Swaps
Conversion (Scaling) Factor
AC will see if he can send example confirmations showing
(a) conversion between legs and (b) conversion between the CRP unit and notional
quantity unit on a leg.
Rounding
Group agreed to wait for further clarification before
looking at this in detail.
Common Pricing
The group agreed that this should be represented as an
optional element at trade level as it has to be confirmable. Though it was noted
that there would be business rules
governing under what conditions it would be
relevant.
*
Actions
AP to double check why timeZone / holidayCalendar were
originally in the model and report back to the
group.
AP to report back to the group if Short Ton is required
in the list of units.
PE to update underlyer model for frontline future
(including / excluding).
OK to present a suggestion on how to represent Fallbacks
and Market Disruption Events taking into account how this was done in other
asset classes.
AC to see if he can send example confirmations for Conversion (Scaling) Factor purposes.
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