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FpML-Com Reminder: FpML Commodity Working Group call today (Friday 18 September) at 15:00 LON / 10:00 NYC

All,

Please note that there is a call today at 15:00 London / 10:00 New York.


AGENDA:

1. Minutes / Actions from last call (attached)

2. Physical Options

  - Review of feedback received for physical options survey (attached)
and how this impacts the initial proposal (attached)

3. Addition of optional totalPrice element to CommodityFixedPrice.model

4. Total Return Swaps on Commodity Indices

  - FpML support for ISDA Commodity Index Working Group's
standardisation work

  - Request for example TRS confirmations
 
5. AOB


Dial in details:

US: 1 888 481 3032

UK: 0 800 904 7961

Intl: 1 617 801 9600

Participant Code: 52016709


Regards,

Owen King
+44 20 3367 0347
--- Begin Message --- 
* Present
Marc Gratacos, ISDA
Raphael Iyageh, GS
Owen King, MarkitSERV (Chair)
Lyteck Lynhiavu, ISDA
Peter Stockman, DTCC
Irina Yermakova, ISDA


* Review outstanding actions

>> RI to try and provide a confirmation for a daily expiring
physically-settled option
[Carried forward]

>> FM to propose an alternative structure for physically settled options
that uses the existing commodityOption type
FM was not on today's call [Carried forward]

>> DM to propose an alternative structure for physically settled options
that uses the existing commodityOption type
DM was not on today's call [Carried forward]


* Minutes

1. Physical Options

  - Review of initial proposal

    + RI felt that there could be a need for quantities and prices to
differ between Expiration dates, a feature that would not be supported
under the current proposal. OK will put together a business-facing
document to help solicit more detailed input on what features are
necessary to explicitly build into the schema in order achieve a
sensible balance of simplicity and flexibility.

    + OK noted that under certain conditions the Start and End Date of
the underlying physical transaction would not be known on trade date. MG
explained that an existing approach used in the equities schema for
American-style options is to make dates relative to the Exercise
component, even though this is not a date type (This is approach is also
currently used in the financial commodities schema). There no objections
to documenting that the Start and End Dates should be made relative to
the Exercise structure.

    + MG made a general point that feedback he has received is that
adoption of the schema is faster where it is easier to develop example
trades directly from the schema. This would seem to favour a greater
number of more restrictive product types (e.g. CommodityOption,
CommodityPhysicalOption) rather than fewer, more flexible types (e.g.
physical and cash settlement within the same type). OK noted that this
differed from FM and DM's opinions when the subject was first discussed
and so the views of the wider group on this point would be welcome.

    + OK asked what the specific intended use of the scheduleBounds
element within the RelativeDates type was. (Since the dates within this
element have no id attribute they cannot be referenced by the
dateRelativeTo element). MG was unsure but will investigate further.

    + RI asked whether the Expiration Time should be considered a
property of the underlying physical transaction. OK explained that in
this context is was intended to represent the time on the Expiration
Date(s) at which the option expires.


* Actions

[New] MG to clarify the intended use of RelativeDates/scheduleBounds

[Carried Forward] RI to try and provide a confirmation for a daily
expiring physically-settled option

[Carried Forward] FM to propose an alternative structure for physically
settled options that uses the existing commodityOption type

[Carried Forward] DM to propose an alternative structure for physically
settled options that uses the existing commodityOption type


* Next meeting 15:00 UK / 10:00 US Fri 18th September 2009

--- End Message ---

Attachment: FpML Physical Commodity Options Survey.doc
Description: FpML Physical Commodity Options Survey.doc

Attachment: FpML Physical Commodities Discussion - Options v2.doc
Description: FpML Physical Commodities Discussion - Options v2.doc