All, Please find the materials for the call today attached. The swap part of the schema has not been completed due to work pressures this week, but the fixed leg design is done as is the shape of the product itself. The floating leg is work in progress. Rather than distribute an incomplete schema, I have attached diagrams of the relevant elements within the floating leg for our discussion. Equally, you will find a proposal on remodelling the disruption events part of the schema from Owen King in response to the action on him from last week's call. I propose to complete the schema for swaps this week and distribute with some worked examples (sample confirmation borrowed from previous commodity working group). This should allow us to finalise swaps next week and move on to options. Regards, Piers Evans +44 20 7071 0109 The content of this e-mail is confidential and may be privileged. It may be read, copied and used only by the intended recipient and may not be disclosed, copied or distributed. If you received this email in error, please contact the sender immediately by return e-mail or by telephoning +44 20 7260 2000, delete it and do not disclose its contents to any person. You should take full responsibility for checking this email for viruses. Markit reserves the right to monitor all e-mail communications through its network. Markit and its affiliated companies make no warranty as to the accuracy or completeness of any information contained in this message and hereby exclude any liability of any kind for the information contained herein. Any opinions expressed in this message are those of the author and do not necessarily reflect the opinions of Markit. For full details about Markit, its offerings and legal terms and conditions, please see Markit's website at http://www.markit.com <http://www.markit.com/> .
Attachment:
Commodity Swap 2008-06-27.zip
Description: Commodity Swap 2008-06-27.zip