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RE: FpML-Com Reminder: FpML Commodity Working Group call at 3pm LDN / 10 am NY Friday 4th July
Indeed. We can all have an early leave!
-----Original Message-----
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of H Brunswick
Sent: Friday, July 04, 2008 3:17 PM
To: commwg@xxxxxxxx
Subject: RE: FpML-Com Reminder: FpML Commodity Working Group call at 3pm
LDN / 10 am NY Friday 4th July
Hi Ali - 4th July I guess.
H
Hugh Brunswick
Managing Director
EFETnet B.V.
Keizersgracht 62-64
1015 CS Amsterdam
Tel: +31 (0) 20 - 301 13 98
Mob: +44 (0) 7767 27 27 26
Fax: +31 (0) 20 - 520 75 10
www.efetnet.org
h.brunswick@xxxxxxxxxxx
-----Original Message-----
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Peera, Ali
Sent: 04 July 2008 15:16
To: commwg@xxxxxxxx
Subject: RE: FpML-Com Reminder: FpML Commodity Working Group call at 3pm
LDN / 10 am NY Friday 4th July
Hi Hugh
We were on but then decided to skip this week's call as there weren't
many people on.
Regards,
Ali
-----Original Message-----
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of H Brunswick
Sent: Friday, July 04, 2008 3:11 PM
To: commwg@xxxxxxxx
Subject: RE: FpML-Com Reminder: FpML Commodity Working Group call at 3pm
LDN / 10 am NY Friday 4th July
Hi Piers, are we having a call today? Just phoned in but only got
music...
H
Hugh Brunswick
Managing Director
EFETnet B.V.
Keizersgracht 62-64
1015 CS Amsterdam
Tel: +31 (0) 20 - 301 13 98
Mob: +44 (0) 7767 27 27 26
Fax: +31 (0) 20 - 520 75 10
www.efetnet.org
h.brunswick@xxxxxxxxxxx
-----Original Message-----
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Piers Evans
Sent: 03 July 2008 17:34
To: commwg@xxxxxxxx
Subject: FpML-Com Reminder: FpML Commodity Working Group call at 3pm LDN
/ 10 am NY Friday 4th July
All,
Please note that there is a call tomorrow at the usual time.
Also, the group has a new member - Dirk Mattig from RWE. Hopefully Dirk
will be able to introduce himself briefly tomorrow but he has
significant experience of xml through collaboration with EFET.
AGENDA:
1. Review outstanding actions
2. Business points from previous email (attached) and also one new one:
DeliveryDateRollConvention - this currently uses the type
CalculationPeriodFrequency which contains a mandatory rollConvention
type. This is not so useful! It should be replaced with 1 of 2 types -
Interval (a period multiplier and a period type) or Offset (same as
Interval but with a day convention attached).
Is this offset always going to be of type Scheduled Trading Day? If so,
we should go with Interval to prevent mis-use.
3. Options Discussion Paper (also in the attachment)
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
Alistair Cross, GS
Hans Ellis, SWIFT (Co-Chair)
Piers Evans, Markit Wire (Co-Chair)
Marc Gratacos, ISDA
Raphael Iyageh, Goldman Sachs - not sure he was on call????
Owen King, Markit Wire
Brian Lynn, GEM
Ali Peera, GS
John Solder, UBS
Peter Stockman, DTCC
Chuck Witter, MS
* Apologies
Bulent Ozkan, Triple Point
* New Member of WG
Krishna Devabhaktuni from Citadel joined the call
* Review actions from last meeting 1500 LDN 6th June 2008
>> AP to double check why timeZone / holidayCalendar were originally in
the model and report back to the group.
AP confirmed that these were not required for the underlyer as mandatory
elements.
>> AP to report back to the group if Short Ton is required in the list
of units.
Short Ton is required. PE to add to unit scheme.
>> PE to update underlyer model for frontline future (including /
excluding).
This was done for last week's call and included in underlyer model.
>> 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.
OK presented this. See minutes.
>>AC to see if he can send example confirmations for Conversion
(Scaling) Factor purposes.
AC sent in LEAP rounding spreadsheet to ensure continuity between LEAP /
FpML. AC agreed to find some sample confirmations as well for model
testing purposes.
* Minutes
1. PE presented the swap model as far as this has been completed.
1.1 Trade-level element
Effective and Termination Dates included at this level following
feedback from the group.
Question: Can a trade ever be based on different calculation period
lengths (e.g. 1m vs. 2m) such that a novation in the middle of the 2nd
month would cause each leg to start on a different date? Presumption is
that the novation date would be the same for both legs and would not
allow a 'full first period'.
Group to confirm this.
1.2 Floating Leg
valuation has been renamed to calculation to tie in more closely with
ISDA Commodity Definitions terminology.
notionalQuantity renamed totalNotionalQuantity
Calculation Period schedule will be parameterised with the ability to
specify a different notional per calculation period.
Notional steps must line up with the calculation periods - i.e. one per
period regardless of whether notional actually changes.
PS asked whether a date should be able to be captured. AS said this was
usually done.
PE will review - possibly the best option is to allow the schedule to be
captures as dates (AdjustableDates) such that the notional steps can be
related back to a dated calculation period.
1.3 Market Disruption
OK presented revised market disruption model. This was well received but
group members are asked to review in more detail offline.
* Decisions
timeZone and holiday calendar not required in underlyer (time zone may
be optionally specified for power trades - final implementation to be
confirmed).
Model should support the specification of actual dates in the schedule /
notional steps.
* Actions
PE to finalise the swap schema and distribute to the group for review.
Schema to include sample trades based on 3 examples used by previous
commodity WG.
AC to provide 'tricky' confirmations to aid testing the integrity of the
final model.
Group to review Effective Date question in relation to novations.
Group to review market disruption model and agree it on next call.
* Next meeting 1500 LDN Fri 4th July 2008
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