* Present
Marc Gratacos, ISDA
Raphael Iyageh, GS
Owen King, Markit (Chair)
Farzad Moshfeghi, BarCap
Dinesh Shastri, Bloomberg
William Wise, Markit
Irina Yermakova, ISDA
* Review outstanding actions
>> All to provide copies of physically-settled option confirmations
[Carried forward]
* Minutes
Dinesh Shastri introduced himself to the group. Dinesh works in
Bloomberg's OTC derivatives group, primarily on rates but is looking to
increase the use of FpML across asset classes.
1. Physical Options
- Structural overview of the proposal
+ FM suggested that a substitution group would be more appropriate
than a choice group for the choice of PhysicalSettlement elements as it
would provide for extension without the need to modify the schema
directly. DM agreed.
+ OK asked for MG's opinion on this as there have been previous
instances where this approach was not considered optimal - MG felt that
in this case it was a good idea. The group agreed to use a substitution
group and OK also noted that this approach should be considered for the
choice of physical legs within the CommoditySwap type.
+ FM thought that modifying the existing CommodityOption type would
be preferable to creating a new type of CommodityPhysicalOption.
+ The group discussed this at length. OK noted that the two products
were potentially very different and that many of the fields would differ
- as opposed to cash vs. physical settlement of a financial product the
physical delivery of a commodity against a fixed strike differs
considerably from the movement of cash based on the observation of an
Commodity Reference Price. RI and DM, however were inclined to consider
these as similar products and FM pointed out the overheads involved in
maintaining a larger group of products.
+ OK felt this issue was worth reaching a consensus on and invited
the group to put forward alternative proposals. OK also suggested that
further research be done into floating price physical options to see how
these compared to financial options.
+ OK also asked for confirmations showing daily expiring options as
these are likely to have a significant impact on the schema structure.
RI said he would attempt to find a sample confirmation.
- Business questions
+ RI thought bullion options could include multiple deliveries and
will try to find an example confirmation.
2. AOB
- MG proposed that the currently available commodity products are
added to the list of FpML product types
(http://www.fpml.org/coding-scheme/product-type-simple-1-2.xml). There
were no objections.
- OK proposed that now the working group is well established and
focusing increasingly on the technical aspects of the schema it move to
a bi-weekly schedule. The group agreed.
* Actions
[Carried Forward] All to provide copies of physically-settled option
confirmations
[New] RI to try and provide a confirmation for a daily expiring
physically-settled option
[New] RI to try and provide a confirmation for a bullion option with
multiple deliveries
[New] OK to update the schema to use a substitution group for the choice
of physical settlement details
[New] FM to propose an alternative structure for physically settled
options that uses the existing commodityOption type
[New] 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 21st August 2009
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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
