* 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 UK / US and the question was put to the group whether it was required or if all commodities use US measures. The group confirmed that all is US and no distinction is required.
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.
* Next meeting 1500 LDN Fri 27th June 2008