* Present Piers Evans, Markit (Co-Chair) Raphael Iyageh, GS Owen King, Markit Lyteck Lynhiavu, ISDA Brian Lynn, GEM John Solder, UBS Peter Stockman, DTCC Chuck Witter, MS Irina Yermakova, ISDA * Apologies Hugh Brunswick, EFETnet Hans Ellis, SWIFT (Co-Chair) Marc Gratacos, ISDA * Review actions from last meeting 1500 LDN 1st August 2008 >> Group to provide sample confirmations of EU power trades starting the night before. These were received. >> PE to review samples and update this settlement periods if necessary for working draft 2. PE is working on this. >> JG / PE to approach LEAP to ask for assistance in understanding the best approach for tackling physical trades. See point 4. >> 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 explained that the premium would depend on the notional quantity. i.e. if delivering per calendar day, the volume being delivered in a month will dictate the premium for that month. >> 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 was not on the call. * Minutes 1. Review attached units for addition to unit scheme. Group was happy for these to be added to the unit scheme. >> PE to add and forward to ISDA for inclusion in WD 1. 2. Addition of 'Calculation Period' to the Delivery Dates enum. Group agreed this was necessary. >> PE to add and forward to ISDA for inclusion in WD 1. 3. Update on plans for physical trades. PE has been in touch with Peter Werner from ISDA in relation to the current state of physicals docs. Apparently, there are confirmation templates for oil (including LPG), gas, power, emissions. Emissions are potentially tricky but energy should be achievable as a first step. OK has started to review the contents of the various templates to identify commonality and also gaps versus the financials schema. PS said gas and power are very significant markets and should be addressed as well as oil. PE will try to enlist some help from the LEAP group as they are potentially more expert in physicals. RI to see who from GS could help in this. 4. Brian Lynn presented his cash flow matching paper. Some points were raised: - Could settlement be in gold rather than cash? - The specified price aspect of commodities appears not to be handled in the quotation section of the model. - Conversion Factors are not currently supported. - Precision is potentially not specified in enough detail for averaging trades. - Quotable vs. Specified notional. Sometimes the conversion to the specified notional happens at the end of the trade and it is necessary to quote prices in the quotable notional. PS wondered how the model was intended to be used from a business process perspective. BL said that it was in use for CDS trades and was geared up to these and also to IRS trades where the rates are set several months in advance of settlement. The aim was to be able to match expected invoice amounts prior to settlement. For averaging trades, it was designed so that an incomplete set of quotations could be exchanged mid-period (e.g. one week prior to settlement) to ensure each side's valuation was in step. The group will hear PS's paper on rounding next week and this should go nicely together with BL's work. The group will endeavour to keep changes to the cash flow matching model in mind. * Actions 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. PE to add new units and forward to ISDA for inclusion in WD 1. PE to add 'Calculation Period' to Delivery Dates enum and forward to ISDA for inclusion in WD 1. PE will try to enlist some help from the LEAP group as they are potentially more expert in physicals. RI to see who from GS could help with physicals. * Next meeting 1500 LDN Fri 22nd 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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Attachment:
Additional Units.xls
Description: Additional Units.xls
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FpML Cashflow Matching Model.doc
Description: FpML Cashflow Matching Model.doc