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FpML-Com Reminder: FpML Commodity Working Group call today (Friday 7 August) 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

  - Structural overview of attached proposal
    + Similar to financial model but with commodity underlyer replaced
with choice of commodity-specific physical settlement elements
    + General product element and type (commodityPhysicalOption) versus
commodity-specific products.
    + How should daily expiring options be modelled? 

  - Business questions
    + Can Bullion options include multiple deliveries?
    + Are variable quantity (min/max) options traded (gas)?
    + Can the Delivery Period start date be relative to the Exercise
date?


3. 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 7071 0137



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All,
 
Please find attached a schema, example trade and diagram representing a draft proposal to add support for physically settled options to the FpML commodities schema. It would be appreciated if you could take a moment to review this proposal prior to Friday's scheduled working group call.
 
Notes and assumptions:

*	Physical options with floating strike prices are not considered in this proposal.
*	As with the financial options schema, bermudan-style options and knock-in/out provisions are not considered.
*	The proposal currently assumes that delivery provisions for options are identical to those for forwards. A detailed analysis of the various documentation standards will be required to validate this.
*	This proposal is intended for FpML 4.7 but since a 4.7 release has yet to be published it retains the 4.6 namespace and filename for ease of use.

Some items for further discussion:

*	Is periodic/multiple delivery for bullion options required?
*	Are variable quantity (min/max) options traded (gas)?
*	How should daily expiring options be modelled?
*	Can the Delivery Period start date be relative to the Exercise date?

Many thanks,
 
Owen King
+44 20 7071 0137
 


The content of this e-mail and accompanying communications and attachments (collectively, this "e-mail") are confidential to Markit Group Holdings Limited, its subsidiaries and affiliates (collectively, "Markit") and may contain information which is legally privileged or protected from disclosure under applicable law or agreement. This email may be read and used only by the intended recipient, and any disclosure, printing, copying, distribution (including forwarding), use, saving, or taking any action based on, the information contained herein (including any reliance thereon) is expressly prohibited. If you received this email in error, please contact the sender immediately by return e-mail or by telephoning +44 20 7260 2000 and delete it. You agree to take full responsibility for checking this email for viruses, and Markit shall not be responsible or liable for any damages arising from or relating to its use. Markit reserves the right to monitor all e-mail communications through its networks. Markit makes no warranty as to the accuracy or completeness of this email and hereby disclaims any liability of any kind for the information contained herein. Any opinions expressed in this email are those of the author and do not necessarily reflect the opinions of Markit. For full details about Markit, its offerings and legal terms and conditions, please see Markit's website at http://www.markit.com .

Attachment: commodityPhysicalOption.png
Description: commodityPhysicalOption.png

Attachment: com-ex22-physical-bullion-option-ISDA.xml
Description: com-ex22-physical-bullion-option-ISDA.xml

Attachment: fpml-com-4-6.xsd
Description: fpml-com-4-6.xsd


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--- Begin Message --- 
* Present
Marc Gratacos, ISDA
Raphael Iyageh, GS
Lyteck Lynhiavu, ISDA
Owen King, Markit (Chair)
William Wise, Markit
Irina Yermakova, ISDA

* Apologies
Peter Stockman, DTCC

* Review outstanding actions

>> ALL to find out more details on averaging-in options.
The group decided to close this action as no feedback had been received.
[Closed]

>> ALL to provide feedback on the physical coal questions paper.
[Closed]

>> All to provide copies of physically-settled option confirmations
[Carried forward]


* Minutes

1. Final changes to 4.6 schema

OK summarised the final changes that had been made to the schema that
will be included in the FpML 4.6 Trial Recommendation. There were no
objections.


2. Physical OPTIONS

RI agreed with the proposed schedule of work.

OK asked participants for feedback on whether physical gas options can
be confirmed under the NBP 97 terms.

The high-level design considerations outlined in the minutes were
discussed, there were no specific comments at this stage.

In order to allow the group sufficient time to prepare meaningful
proposals for physically settled bullion options, OK suggested that the
next call should be in two weeks time and asked that participants tried
to gather the following and share either with the group or directly with
him:

  - Physically settled bullion option confirmations

  - Internal trade schemas or messages for bullion options

  - Specific proposals for additions to the FpML schema to optional
physical settlement

The next working group call will therefore be on Friday 7th August.

* Actions

[Carried Forward] All to provide copies of physically-settled option
confirmations


* Next meeting 15:00 UK / 10:00 US Fri 7th August 2009



The content of this e-mail is confidential and may be privileged. It may be read, copied and used only by the intended recipient and may not be disclosed, copied or distributed. If you received this email in error, please contact the sender immediately by return e-mail or by telephoning +44 20 7260 2000, delete it and do not disclose its contents to any person. You should take full responsibility for checking this email for viruses. Markit reserves the right to monitor all e-mail communications through its network.
Markit and its affiliated companies make no warranty as to the accuracy or completeness of any information contained in this message and hereby exclude any liability of any kind for the information contained herein. Any opinions expressed in this message are those of the author and do not necessarily reflect the opinions of Markit.
For full details about Markit, its offerings and legal terms and conditions, please see Markit's website at http://www.markit.com <http://www.markit.com/> .

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