RE: FpML-Com Reminder: FpML Commodity Working Group call at 3pm LDN / 10 am NY today

[<john.solder@xxxxxxx>]

Due to a scheduling conflict, UBS will not be on the call this AM.

Rgds 

-----Original Message-----
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Piers Evans
Sent: Friday, May 09, 2008 6:09 AM
To: commwg@xxxxxxxx
Subject: FpML-Com Reminder: FpML Commodity Working Group call at 3pm LDN
/ 10 am NY today
Importance: High

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.  If you are not the named addressee you should not
disseminate, distribute or copy this e-mail.  Please notify the sender
immediately by e-mail if you have received this e-mail by mistake and
delete this e-mail from your system.

E-mail transmission cannot be guaranteed to be secure or error-free as
information could be intercepted, corrupted, lost, destroyed, arrive
late or incomplete, or contain viruses.  The sender therefore does not
accept liability for any errors or omissions in the contents of this
message which arise as a result of e-mail transmission.  If verification
is required please request a hard-copy version.

Company Details
SwapsWire Limited is regulated by the Financial Services Authority and
is entered in the FSA's Register (FSA Reference Number 207294).
SwapsWire Limited is subject to Value Added Tax (VAT Registration No 761
4444 34).
SwapsWire Limited is registered in England at Companies House, no:
4027741.
Registered Office: One Silk Street, London, EC2Y 8HQ


Contact information
If you have any questions in relation to this policy please contact us
at:

Fountain House
130 Fenchurch Street
London EC3M 5DJ
Attn: Rachel Cunningham-Day, General Counsel
Email: Rachel.cunningham-day@xxxxxxxxxxxxx

If you currently receive marketing information from us which you would
prefer not to receive in the future please email us at
info@xxxxxxxxxxxxxx 
All email messages sent to and from info@xxxxxxxxxxxxx may be monitored
to ensure compliance with internal policies and to protect our business.
Visit our website at http://www.ubs.com

This message contains confidential information and is intended only 
for the individual named.  If you are not the named addressee you 
should not disseminate, distribute or copy this e-mail.  Please 
notify the sender immediately by e-mail if you have received this 
e-mail by mistake and delete this e-mail from your system.
	
E-mails are not encrypted and cannot be guaranteed to be secure or 
error-free as information could be intercepted, corrupted, lost, 
destroyed, arrive late or incomplete, or contain viruses.  The sender 
therefore does not accept liability for any errors or omissions in the 
contents of this message which arise as a result of e-mail transmission.  
If verification is required please request a hard-copy version.  This 
message is provided for informational purposes and should not be 
construed as a solicitation or offer to buy or sell any securities 
or related financial instruments.


-------------------------------------------------------------------------------
To unsubscribe: Email majordomo@xxxxxxxx with a blank subject line
In the body include the line: unsubscribe commwg youremail@address
To view archives: http://www.fpml.org/_wgmail/_commwgmail/threads.html