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RE: FpML-Com Minutes of 2008-07-11 call
I'll see what I can dig up. What is your direct email?
Rgds
-----Original Message-----
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Piers Evans
Sent: Tuesday, July 15, 2008 6:16 AM
To: commwg@xxxxxxxx
Subject: RE: FpML-Com Minutes of 2008-07-11 call
John,
Thanks very much for these. They give a good deal of colour in terms of
the choices available in given fields and the format.
At the risk of being greedy though - if you were able to get hold of
some examples with real values on them, that would be even better as it
would give us some live examples to prove the schema against.
Please do note my comments in the minutes with respect to anonymising
the parties though! If you would prefer not to submit live confirmations
to the mailing list, they can be sent to me direct and that way I can
then ensure that they are not traceable to UBS if you prefer.
Regards,
Piers Evans
-----Original Message-----
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of
john.solder@xxxxxxx
Sent: 14 July 2008 17:30
To: commwg@xxxxxxxx
Subject: RE: FpML-Com Minutes of 2008-07-11 call
I have obtained some UBS Power confirmation templates.
The zip includes 7 templates for ISDA and EEI:
EEI Heat Rate Option and Swap
EEI Physical Option
ISDA Financial Swaption
ISDA Option
ISDA Physical Index for CAISO
ISDA Swap
Let me know if there is something specific you require I'll see if I can
dig it up.
WRT rounding discussion, the conformations can contain details such as:
"For the purposes of the calculation of the Floating Price(s), all
numbers shall be rounded to three (3) decimal places. If the fourth
(4th) decimal number is five (5) or greater, then the third (3rd)
decimal number shall be increased by one (1), and if the fourth (4th)
decimal number is less than five (5), then the third (3rd) decimal
number shall remain unchanged"
-----Original Message-----
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Piers Evans
Sent: Monday, July 14, 2008 11:15 AM
To: commwg@xxxxxxxx
Subject: FpML-Com Minutes of 2008-07-11 call
* Present
Hans Ellis, SWIFT (Co-Chair)
Piers Evans, Markit (Co-Chair)
Jared Getz, Glencore
Marc Gratacos, ISDA
Chito Jovellanos, Forward Look
Owen King, Markit
Brian Lynn, GEM
Bulent Ozkan, Triple Point
John Solder, UBS
Peter Stockman, DTCC
Irina Yermakova, ISDA
* Apologies
Alistair Cross, GS
Krishna Devabhaktuni, Citadel
Luis Fierro, DB
Dirk Mattig, RWE
Ali Peera, GS
Richard Rigby, Glencore
Chuck Witter, MS
* Review actions from last meeting 1500 LDN 11th July 2008
>> 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.
PE distributed this and proposed a formal code review once the options
discussion paper has been considered and options are integrated into the
schema.
>> AC to provide 'tricky' confirmations to aid testing the integrity of
the final model
AC will try to find suitable confirmations that can be distributed. This
action will be extended to the rest of the group - please see actions
below.
JG agreed to provide example oil confirmations to the group.
>> Group to review Effective Date question in relation to novations
JG said that trades would settle on a monthly basis so the novation of a
trade with different calculation period lengths per leg would not result
in different effective dates.
Group agreed that effective and termination date made sense at the trade
level.
Please also see attached slides which relate to interest rate trades for
an example of what was at issue here. Should there be no further
comments in the light of these slides, the point will be considered
closed.
>> Group to review market disruption model and agree it on next call
No issues were raised with the model. The group will have another chance
to comment during the code review.
* Minutes
1. PE went through the business points in the attached email
1.1 Pricing Dates (note the original email referred to Payment Dates -
apologies)
PS suggested that the ability to link absolute pricing dates to a
calculation period would probably be required.
PE noted that since this would add significant complexity to the schema
it should be modelled only if it was definitely required.
The group would like feedback from other members as to whether this
issue requires consideration.
In summary: If a message contains the absolute pricing dates rather than
a schedule algorithm, should these be grouped per calculation period as
notional steps are? If a lag were applicable and the pricing dates did
not align with the calculation periods, would this not be unavoidable?
For example, a "Cal '09" swap with a 3 month lag (starting 01-Jan-2009,
ending 31-Dec-2009, pricing as an average of the 3 preceding months'
prices) with monthly calculation periods has the following pricing
dates:
(a) 01-Oct to 10-Oct-2008 (b) 01-Nov to 07-Nov-2008 (c) 01-Dec to
12-Dec-2008
A parametric representation would specify something like "all commodity
business days in the first two calendar weeks of each of the three
months preceding the calculation period".
However, if the actual dates were listed, it is not explicit which of
the periods the dates should apply to. In this case, for example, all
the dates would be relevant to the first calculation period and dates
(b) and (c) would also be relevant for the second calculation period.
Is this scenario realistic? If so we will need to provide a mechanism to
say which calculation period each pricing date prices for (and it could
be more than one).
1.2 Rounding
PE asked whether the rounding model should represent the rounding
methodology as well as the precision.
JG noted that even if the methodology were represented in the schema,
many systems only support one method of rounding and that it wasn't
really appropriate information for a confirmation.
PS agreed that rounding wasn't required for confirmations but noted it
would be important for settlement.
JG noted that rounding would typically be on a per-counterpart basis
rather than per-trade.
After general discussion, PS agreed to put together a list of rounding
methodologies which will be reviewed by the group.
BL said he felt there were two important steps to take when
understanding rounding:
1. Go through a confirmation to identify anywhere where rounding could
take place - and name them.
2. Investigate what's actually being done in the industry (some of the
rounding points identified in 1 may not be relevant).
1.3 FX
PE suggested that the FX averaging methodology should be subject to the
same analysis as for rounding.
1.4 Pricing Dates
PE asked whether the group thought the parametric model for pricing
dates was flexible enough.
BL stated that he felt it was important to differentiate between
frequency and period/interval. In the context of the model, frequency
was really being used to represent a time duration over which pricing
would take place rather than an actual frequency.
1.5 ISDA Master Agreements coding scheme
PE noted that master agreements were not typically referenced according
to their ISDA version (e.g. ISDA 2002) on confirmations and suggested
that a generic value should be added to the appropriate coding scheme.
JG agreed that Glencore's systems would not know the master agreement
type - the most recent contract date would be recorded and referenced.
JG also said it was important to identify the ISDA definitions in use -
1993 v. 2005. PE agreed to get this added to the relevant FpML scheme.
2. PE explained the DeliveryDateRollConvention issue
The group agreed that the offset would always be of type Scheduled
Trading Day.
3. There was no time to go through the options discussion paper. This
will be discussed on the next call.
* Decisions
Effective and termination dates will remain at the trade level in the
swaps schema.
Market disruption and fallback model will be incorporated into the swaps
schema.
Addition of generic value for most recent master agreement to the
master-agreement-type coding scheme will be requested of the standards
committee. Equally, the group will add the 1993 and 2005 Definitions to
the relevant coding scheme.
* Actions
ALL to send in example confirms (especially those covering non-standard
trades) to help test the integrity of the model.
N.B. --> It should be noted that attachments to emails will be
publically available on the internet from the fpml.org mailing archive
and so disguising the parties involved is advisable.
JG to provide example oil confirmations.
PE to forward PS LEAP rounding slides.
PS to write up the different methodologies for rounding and calculations
within the schema.
MG to pass on the request for a generic 'ISDA' value in the master
agreement scheme to the standards committee.
* Next meeting 1500 LDN Fri 18th July 2008
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The content of this e-mail is confidential and may be privileged. It may
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please contact the sender immediately by return e-mail or by telephoning
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viruses. Markit reserves the right to monitor all e-mail communications
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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/> .
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