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FpML-Com Reminder: FpML Commodity Working Group call today (Friday 13 November) 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. Finalisation of physical options schema (attached)

  - expirationDate and commencementDate dropped in favour of multi-use
expirationDates and commencementDates elements
  - Additional example trade and confirmation for daily-expiring EFET
power option attached
  - Should the changes go through a formal review process and what FpML
version do we now target?

3. Return swaps on commodity indices

  - Review of sample trade (attached) that uses the ReturnSwap type
(fpml-eq-shared-4-6.xsd)
  - Representation of interestAmount within interestLeg,
valuationPriceFinal and amount within returnLeg need further
consideration
  - To what extent should Notional Adjustment provisions be detailed
within the message? The current schema only offers the
notionalAdjustments enum.

4. EU Emissions

  - Should emissionsPhysicalLeg be available in commoditySwap (periodic)
or commodityForward (single period)?

  - Initial review of new elements needed
    + Allowance Type (underlyer)
    + Compliance Period
    + No Payment on Termination For Settlement Disruption
    + Excess Emission Penalty (& details)

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
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

--- End Message ---

Attachment: commodity-expire-relative-to-event-1-0.xml
Description: commodity-expire-relative-to-event-1-0.xml

Attachment: com-ex23-physical-gas-option-multiple-expiration.doc
Description: com-ex23-physical-gas-option-multiple-expiration.doc

Attachment: com-ex23-physical-gas-option-multiple-expiration.xml
Description: com-ex23-physical-gas-option-multiple-expiration.xml

Attachment: com-ex25-physical-power-option-daily-expiration-efet.doc
Description: com-ex25-physical-power-option-daily-expiration-efet.doc

Attachment: com-ex25-physical-power-option-daily-expiration-efet.xml
Description: com-ex25-physical-power-option-daily-expiration-efet.xml

Attachment: com-ex26-index-SandPGSLETR.xml
Description: com-ex26-index-SandPGSLETR.xml

Attachment: fpml-com-4-7.xsd
Description: fpml-com-4-7.xsd