All, Please note that there is a call today to discuss the attached. For those that cannot receive zips, you can get the attachments here: http://www.fpml.org/_wgmail/_commwgmail/threads.html Dial in details: US: 1 888 481 3032 UK: 0 800 904 7961 Intl: 1 617 801 9600 Participant Code: 751365 I have put the minutes to the last call below as well. Regards, Piers Evans ***************** * Present Esther Canosa, Goldman Sachs Karel Engelen, ISDA Piers Evans, SwapsWire (Co-Chair) Luis Fierro, Deutsche Bank Chito Jovellanos, Forward Look Owen King, SwapsWire Lyteck Lynhiavu, ISDA Brian Lynn, GEM Bulent Ozkan, Triple Point John Solder, UBS Peter Stockman, DTCC Chuck Witter, Morgan Stanley * Apologies Huw Brunswick, EFET Hans Ellis, SWIFT (Co-Chair) Marc Gratacos, ISDA * Review actions from last meeting 1500 LDN 18 Apr 2008 >> PE/HE/MG - Ensure the website for the group is updated to reflect >> membership / aims This has now been done. The new group charter is attached and the revised membership has been published to www.fpml.org (pending a couple of minor changes). >> BL - Review of cash flow matching model vis-a-vis commodities at a >> high level to flag up potential issues BL has started to draw up a document illustrating how the cash flow matching section of the schema works. It will be hard to identify exactly what changes will be required until the schema has been finalised, but BL will work on the illustration document over the next couple of weeks. >> Group - decide if future calls could be at the earlier time of 8 am NY / 1 pm LDN as opposed to 10 NY / 3 LDN. Group elected to continue to meet at 10 NY / 3 LDN. * Minutes PE presented the Commodity Underlyer discussion paper. PE asked the group to consider which modelling approach seemed most appropriate - the IRD or the Asset model. CW was keen on the IRD model given that many people have implemented it already. BL pointed out that there is a weakness in the IRD implementation since it is not compatible with basket transactions and that a fixed rateIndex underlyer has been created to cope with this. BL also suggested that this was something that could be referred to the FpML Modelling Task Force. PS felt that the Asset underlyer approach would be more flexible and thus more portable. LF indicated that DB would like a portable underlyer construct. On that basis, the group decided to implement the Commodity Underlyer on the basis of the Asset model approach. PE Asked the group to state their preference in terms of scope for the underlyer. KE said that FpML was only designed to cover financials. PS agreed that it was best to start with financials but not rule out the ability to add in physicals later. KE and LF urged that the group should not diverge too far from the EFET approach where possible. On that basis, the group agreed to start with financials and return to physicals at a later date. PE asked whether there should be a focus on a particular commodity group or whether the model should be as wide in scope as possible. Some discussion as to how different each commodity is for financial trades. Members of the group to discuss internal priorities whilst the group continues with the modelling process. Prioritised commodities can then be tested against the resulting model. BO asked if delivery dates should be in the underlyer model. PE suggested this would be part of the discussion to come (c.f. section 10 of the Commodity Underlyer discussion paper) and asked if this could be deferred for now. EC said that the 1993 and 2005 definitions would not conflict and would require the same fields to be captured. EC confirmed that the publication element in the GS proposal was for those Commodity Reference Prices with no future. EC confirmed that the multiplier element is aimed at freight transactions, specifically Time Charter. EC indicated that it would be a good idea to include the Electricity-specific elements from the ISDA confirmation templates in the commodity underlyer model. EC thought that the deliveryLocation was important for the specification of a commodity for which there was no Commodity Reference Price. Agreement to move currency and unit elements into CommodityProduct.model as per ISDA definition of a Commodity Reference Price. The call ended at this point. PE suggested the group should continue to work through the Commodity Underlyer discussion paper next week with a view to arriving at a point where a revised Commodity Underlyer model could be produced at the end of that meeting. * Decisions The group will proceed with modelling of the underlyer as an Asset type. The initial focus will be on financial trades only. Physicals can be revisited at a later stage. The group will attempt to cover as many commodity underlyers as possible in the model as long as this doesn't prejudice the ability to deliver a schema in May / June. Next meeting 1500 LDN Fri 9 May 2008 * Actions BL - Continue to produce cash flow matching explanation document. MG - Consider whether BL's point on the modelling of interest rate underlyers should be raised to the Modelling Task Force. Group - Review which commodities are most important to their institutions so that the model can be tested for business compliance once it has been developed. PE - begin to draft a revised Commodity Underlyer model based on feedback from today's meeting with a view to finalising after next week's call. --------------------------------------------------------------------- This is a commercial communication sent by SwapsWire Limited. This message contains confidential information and is intended only for the individual named. 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