As discussed in last weeks meeting, attached is an example of rounding
and conversion factors for Refinery Margin swaps and crack spreads.
This is the same spreadsheet that is currently being discussed in the
LEAP working group. Thanks
Alistair
Goldman Sachs International
Peterborough Court | 133 Fleet Street | London EC4A 2BB
Tel: +44 (0)20 7774 0160 | Fax: +44 (0)20 7774 2040
E-mail: alistair.cross@xxxxxx
Alistair Cross
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-----Original Message-----
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Piers Evans
Sent: Friday, June 27, 2008 10:29 AM
To: commwg@xxxxxxxx
Subject: FpML-Com Reminder: FpML Commodity Working Group call at 3pm LDN
/ 10 am NY Friday 27th June
All,
Please note that there is a call this afternoon.
AGENDA:
1. Review outstanding actions
2. Review swap schema implementation decisions (materials will be sent
out shortly)
3. Options Discussion Paper
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
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
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Attachment:
Rounding LEAP (3).xls
Description: Rounding LEAP (3).xls