All, Please find attached a slightly revised set of schema files. This includes a change to CommodityMarketDisruption (discussed by the group last week) to allow "As Specified In Master Agreement" to be represented when referring to Market Disruption Events. Thanks, Owen King +44 (0) 20 7071 0137 -----Original Message----- From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Piers Evans Sent: 02 July 2008 19:44 To: commwg@xxxxxxxx Subject: FpML-Com Latest Commodity Schema and Examples All, Please find attached the latest set of schema files and 3 worked examples borrowed from the work done by an earlier incarnation of the commodity working group. (The schema is still in FpML 4.4 format, but will need to roll to 4.5 in line with our target release.) In terms of the next steps for the group, I would suggest that we try to clarify the business points arising from the schema (see below) on the next call and not go into detail on the xml at this stage. This will leave people time to review the proposed model in more depth. We can then try to get the business logic of options complete on the next couple of calls (discussion paper by Owen King of Markit is attached), integrate this into the model and then spend several weeks on the xml. This will hopefully allow our business-facing colleagues to have maximum input on the business logic without having to wade through the xml code initially. Please let me know if this does not sound like a reasonable approach. Some more detail on the model and examples: There are a few potential gaps in the schema that we should probably discuss from the business perspective to ensure the model is able to handle all variants. Specifically, the following areas spring to mind: 1) Payment Dates - If a message contains the absolute payment dates rather than a schedule algorithm, should these be grouped per calculation period as notional steps are? If the dates were look-back and did not align with the calculation periods, this would be useful. (Perhaps this never happens?) 2) rounding - I have left the rounding model from the original GS schema unchanged, but wonder if, in addition to direction and the number of decimals there ought to be mention of when rounding is to be applied ... to the daily price calculation or to the final average price, for example. 3) FX - I have made a first stab at averaging FX but think that there is more to be done here. For example, could averaging follow rules other than daily / weekly etc? This would not currently be supported. I believe there is also a difference between converting the daily prices to the settlement currency and averaging as opposed to averaging the daily prices and converting to the settlement currency. Should the methodology in use be captured? 4) Pricing Dates - The model cannot handle a rule like 'the last 3 commodity business days on which the relevant futures contract is scheduled to trade on the exchange. Given that the frequency is controlled by a scheme, there would be an option to put 'Last 3' in this tag, but this is not easily dealt with by a machine... please advise. 5) General Question: The coding scheme for ISDA Master Agreements specifies the year - as in ISDA2002 for a 2002 Master Agreement. Generally people avoid this on paper confirms: "This Confirmation supplements, forms a part of, and is subject to the ISDA Master Agreement dated as of xxx". Should there be a generic value available 'ISDA'. With regard to the example trades, there are a few questions: * Example 1: Delivery Date(s): The calendar month and year corresponding to the Calculation Period >> I have assumed this is first nearby. Please advise. Pricing Date(s): The last Commodity Business Day on which the relevant Futures Contract is scheduled to trade on the Exchange >> I have just gone for the last Scheduled Trading Day. Is mention of the Commodity Business Day actually required? * Example 2: Pricing Date(s): The first Commodity Business Day during the Calculation Period >> In this case, I have decoded this as 5 days after the Calculation Period Start Date, which works. If the rule was 5 days after the second commodity business day, the model wouldn't handle it as is. Could this happen? * Example 3 Delivery Date(s): The calendar month and year corresponding to the Calculation Period >> As per example 1. Pricing Date(s): In respect of each Calculation Period, the last three Commodity Business Days on which the relevant Futures Contract is scheduled to trade on the Exchange >> As per point 4 above. Thanks, Piers Evans +44 20 7071 0109 The content of this e-mail is confidential and may be privileged. 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Commodity Schema 2008-07-04.zip
Description: Commodity Schema 2008-07-04.zip