* Present Raphael Iyageh, GS Owen King, MarkitSERV (Chair) Lyteck Lynhiavu, ISDA Farzad Moshfeghi, Barcap Irina Yermakova, ISDA * Apologies Marc Gratacos, ISDA * Review outstanding actions >> OK to review the oil physical leg and apply the date-relative-to-event approach within the physicalExercise component. OK used this approach in the attached physical options proposal [Closed] * Minutes 1. Review of physical options proposal (attached) - OK explained the physical options proposal. - Participants discussed whether the separate expirationDate and expirationDates elements should be dropped in favour of an expirationDates element that could also be used for a single date and agreed that they should. OK will update the schema. - The new relativeExpirationDates element was discussed which allows the Expiration Date(s) of the option to be set relative to an event such as a nomination deadline that is not necessarily known at the time of confirmation. RI said he would try to find out what other events Expiration can be relative to. - Participants agreed that no further work is needed on the schema unless specific issues are raised. OK said he would appreciate further industry validation of the proposal before recommending it for inclusion in the next working draft. 2. Date of next call and future topics - Due to holidays/vacations, the next call will be on Friday 13th November - OK explained that some analysis had been done on using the returnSwap element to represent Commodity Index Swaps and that the group could turn its attention to this next. Emissions was also mentioned as a priority and participants were asked to submit their firms' priorities to the group. - FM asked whether the Commodity underlyer could be used as a singleUnderlyer within the returnSwap element. IY confirmed that it could. * Actions [New] RI to find out what events option Expiration Dates are commonly confirmed relative to for gas, power, bullion, coal and oil. [New] ALL to indicate their priorities for future FpML commodities development to the group. * Next meeting 15:00 UK / 10:00 US Fri 13th November 2009
Attachment:
FpML Physical Commodities Proposal - Options v1.doc
Description: FpML Physical Commodities Proposal - Options v1.doc
Attachment:
fpml-com-4-7.zip
Description: fpml-com-4-7.zip
Attachment:
com-ex22-physical-gas-option-multiple-expiration.doc
Description: com-ex22-physical-gas-option-multiple-expiration.doc
Attachment:
com-ex23-physical-gas-option-multiple-expiration.xml
Description: com-ex23-physical-gas-option-multiple-expiration.xml