I will not be able to attend. Jared ?
Richard
"Piers Evans"
<Piers.Evans@mark
it.com> To
Sent by: <commwg@xxxxxxxx>
commwg@xxxxxxxx cc
Subject
11/07/2008 12:18 RE: FpML-Com Reminder: FpML
Commodity Working Group call at 3pm
LDN / 10 am NY Friday 11th July
Please respond to
commwg@xxxxxxxx
Let's try that again with a revised subject line...
All,
Please note that there is a call today at the usual time.
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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Subject: Latest Commodity Schema and Examples
Date: Wed, 2 Jul 2008 19:43:45 +0100
Message-ID: <8527340C15A5CB40AEAE5E38A150F8AD02AFDB5D@xxxxxxxxxxxxxxxxxxx>
From: "Piers Evans" <Piers.Evans@xxxxxxxxxx>
To: <commwg@xxxxxxxx>
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Thread-Topic: Latest Commodity Schema and Examples
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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
(See attached file: Commodity Schema 2008-07-02.zip)(See attached file:
Commodity Options Discussion Paper_v4.doc)
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