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FpML-Com FpML Commodity Working Group call at 3pm LDN / 10 am NY Friday 05 September

All,

Please note that there is a call tomorrow at the usual time.

AGENDA:

1. Review open actions.

2. Consider 2 changes to the schema:

2.1 Update to commodity FX (see attached).

2.2 Balance of Period trades (see attached).

3. Attached physicals paper from Owen King.


Dial in details:

US: 1 888 481 3032

UK: 0 800 904 7961

Intl: 1 617 801 9600

Participant Code: 52016709


Note that the open actions are shown below.

Regards,

Piers Evans


*************************************************

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.



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Attachment: new FX.png
Description: new FX.png

Attachment: fpml-com-4-5_WITH_FX_CHANGE.xsd
Description: fpml-com-4-5_WITH_FX_CHANGE.xsd

--- Begin Message --- 
In order to represent Balance of Period trades, instances of the
calculationPeriodsSchedule element (which allows for a parametric
representation of the Calculation Periods) have been changed from type
Interval to a new type, CommodityCalculationPeriodsSchedule. This
extends the Interval type, adding a balanceOfFirstPeriod boolean element
to indicate whether only the balance of the first Calculation Period
should apply.
 
<xsd:complexType name="CommodityCalculationPeriodsSchedule">
  <xsd:annotation>
   <xsd:documentation>A parametric representation of the Calculation
Periods for on Asian option or a leg of a swap.</xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
   <xsd:extension base="Interval">
    <xsd:sequence>
     <xsd:element name="balanceOfFirstPeriod" type="xsd:boolean">
      <xsd:annotation>
       <xsd:documentation>If true, indicates that that the first
Calculation Period should run from the Effective Date to the end of the
calendar period in which the Effective Date falls, e.g. Jan 15 - Jan 31
if period is M and Effective Date is Jan 15. If false, the first
Calculation Period should run from the Effective Date for one whole
period, e.g. Jan 15 to Feb 14 if period is M and Effective Date is Jan
15.</xsd:documentation>
      </xsd:annotation>
     </xsd:element>
    </xsd:sequence>
   </xsd:extension>
  </xsd:complexContent>
 </xsd:complexType>
 
Owen King
Associate
Trade Processing
 
Markit
 
8th Floor
130 Fenchurch Street   
London, EC3M 5DJ
+44 (0) 20 7071 0137    Office
+44 (0) 20 7071 0101    Fax
owen.king@xxxxxxxxxx
www.markit.com <http://www.markit.com/>

--- End Message ---

Attachment: Physically Settled Commodities Discussion Paper_v2.doc
Description: Physically Settled Commodities Discussion Paper_v2.doc