All, Please note that there is a call today at the usual time. AGENDA: 1. Review outstanding actions 2. Specific questions - Are date adjustments (BusinessDayAdjustments) actually required for Calculation Periods (CalculationPeriodAdjustableFrequency)? These should probably apply instead to Pricing Dates (CommodityPricingDates) - in which case calculationPeriodsSchedule can become of type Interval. - We have seen a confirm that references the "Index" price as the Specified Price. Is this value commonly used and should it therefore be added to the SpecifiedPriceEnum type? (It is not in the list of values in the 2005 Definitions per se, but these do allow for 'any other price specified in the relevant Confirmation'). - The value "CommodityBusiness" has been added to DayTypeEnum and "H" (hourly) to PeriodEnum. Is it necessary to submit these changes to the co-ordination committee for approval? 3. Review Options Model - materials attached 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 Hans Ellis, SWIFT (Co-Chair) Piers Evans, Markit (Co-Chair) Jared Getz, Glencore Marc Gratacos, ISDA Raphael Iyageh, GS Chito Jovellanos, Forward Look Owen King, Markit Brian Lynn, GEM Veli Omercik, ABN AMRO John Solder, UBS Peter Stockman, DTCC Irina Yermakova, ISDA * Apologies Krishna Devabhaktuni, Citadel Bulent Ozkan, Triple Point Ali Peera, GS * Review actions from last meeting 1500 LDN 11th July 2008 >> ALL to send in example confirms (especially those covering non-standard trades) to help test the integrity of the model if they have not already done so. Some confirmations have been received. These are principally fix/float swaps so some options / basis examples would be gratefully received. >> PE to follow up with HB to confirm why EFET supports capped calls and floored puts HB replied that these were caps and floors in the traditional sense. Group agreed to revisit this once swaps and options work is complete. >> BO to follow up on why this might be needed in commodities (if at all). Possibly as a first price for an averaging period? >> BO will also follow up on whether there are forward-starting options on commodity underlyers (in the sense that the strike is set on the effective date / strike determination date rather than fixed up front). >> BO will follow up on asianing in (average strike) options. >> BO to review need for number of options / option entitlement and the case for supporting exchange look-alike options. BO could not attend the meeting. His actions will be reviewed on the next call. >> CW to review how deferred premiums work - is it simply a fixed split per month or is the number of days taken into account? (e.g. a 12 month strip with per calendar day delivery and deferred payment... is the payment each month simply premium/12 or is it premium/number of days in month ?) Would a full premium payment schedule ever be required? CW was not on the call. * Minutes 1. The group reviewed the current swap schema. 1.1 MG suggested the commonPricing element should be contained in the CommodityContent.model group. 1.2 MG suggested that the calculation periods (i.e. the list of dates rather than the schedule) should be able to be referenced from elsewhere in the schema. 1.2.1 FpML now prefers that references be names according to what is being referenced, so the reference to the calculationPeriods and the reference to the calculationPeriodsSchedule should be named distinctly. 1.3 Conversion Factors. The group discussed whether there was need to indicate the direction of the conversion - i.e. is it a multiplication or a division. PE to review how this is handled elsewhere. PE also to review whether conversion should be on the floating leg only. 1.4 Rounding. The group discussed whether the rounding model was sufficient. Whilst it was agreed that the model was correct in terms of what it captures, there was no agreement as to where rounding needed to be captured. PS will hopefully shed some light on this with his work on rounding. 1.5 BL stated that the substitution group approach to the inclusion of the underlyer was no longer canonical FpML given that some of the included underlyers would be invalid on a commodity trade. 1.6 calculationPeriodFrequency would be better as type Interval than as type CalculationPeriodFrequency because the rollConvention is not useful - commodity trades follow calendar months and do not roll mid-month... and the end dates of each period are defined in the calculation period types anyway. 2. Owen King will update the schemas for options and these will be reviewed next week. * Decisions Schema to be updated in accordance with points 1.1, 1.2, 1.5 & 1.6 above. Group will review options schema on next call. * Actions ALL Please send in any basis / options examples. 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. BO to follow up on why this might be needed in commodities (if at all). Possibly as a first price for an averaging period? BO will also follow up on whether there are forward-starting options on commodity underlyers (in the sense that the strike is set on the effective date / strike determination date rather than fixed up front). BO will follow up on asianing in (average strike) options. BO to review need for number of options / option entitlement and the case for supporting exchange look-alike options. --> See singleUnderlyer in fpml-asset for how this could look in fpml with future as an underlyer and openUnits for the number of futures for listed options look alikes. CW to review how deferred premiums work - is it simply a fixed split per month or is the number of days taken into account? (e.g. a 12 month strip with per calendar day delivery and deferred payment... is the payment each month simply premium/12 or is it premium/number of days in month ?) Would a full premium payment schedule ever be required? PS to update to the group on his rounding work. PE to update swaps schema and explain any changes to the group. * Next meeting 1500 LDN Fri 1st August 2008 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. 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Commodity Schema 2008-08-01.zip
Description: Commodity Schema 2008-08-01.zip