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Re: FpML-Com Minutes of 2008-09-05 call - please note request for guidance on which physicals to approach first
Our feedback (from our buy-side perspective) re physicals: LNG, base metals.
Also, was there (or has someone crafted) a reference implementation re support
for commodity underlyer, swaps, and options? If so. would it be possible to
inquire on the details?
Thanks,
Chito Jovellanos
ph +1 617 763-7011
eM chito@xxxxxxxxxxxxxxx
---------- Original Message -----------
From: "Piers Evans" <Piers.Evans@xxxxxxxxxx>
To: <commwg@xxxxxxxx>
Sent: Fri, 5 Sep 2008 19:43:12 +0100
Subject: FpML-Com Minutes of 2008-09-05 call - please note request for
guidance on which physicals to approach first
> * Present
>
> Krishna Devabhaktuni, Citadel
> Hans Ellis, SWIFT (Co-Chair)
> Piers Evans, Markit (Co-Chair)
> Marc Gratacos, ISDA
> Owen King, Markit
> Brian Lynn, GEM
> John Solder, UBS
> Peter Stockman, DTCC
> Irina Yermakova, ISDA
>
> * Apologies
>
> Luis Fierro, DB
> Jared Getz, Glencore
>
> * Review outstanding actions
>
> BO could not attend the meeting. His actions will be reviewed on the
> next call.
>
> * Minutes
>
> 1. Consider FX change to schema.
>
> Group agreed to this change.
>
> PE to add a choice allowing the option of specifying a rule for FX
> observation dates or pointing to the pricing dates for the commodity and
> forward to ISDA for addition to subversion.
>
> 2. Consider balance-of-period proposal.
>
> Group agreed that this was a sensible addition.
>
> PE to send to update schema and send to ISDA.
>
> 3. Owen King's analysis of differing documentation and gaps versus the
> existing schema
>
> PE said that the group needs to provide guidance in terms of which
> commodities to tackle first in the light of OK's analysis and in the
> light of what would be most useful to participants.
>
> One argument is that bullion could be a quick win given its similarity
> to what has already been implemented and because the documentation
> allows both physical and financial trades.
>
> Another is that the group should focus on markets where high volumes of
> standardised transactions could provide maximum benefit to the FpML
> community.
>
> JS said he would consult ops & legal to get buy in and identify the next
> priority.
>
> Group will consider their preference and feed back to PE who will review
> whether there is enough consensus to meet next week or if the group
> should meet in two weeks.
>
> * Decisions
>
> Schema to be updated in accordance with points 1 & 2 above.
>
> Group will feed back their preferences in terms of physicals for PE to
> collate.
>
> * Actions
>
> ALL Decide priorities for physicals work.
>
> BO to follow up on why the spot price might be needed for a commodity
> option (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.
>
> * Next meeting 1500 LDN Fri 12th / 19th September 2008
>
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