FpML-Com 2009-10-02 Minutes

["Owen King" <Owen.King@xxxxxxxxxxxxxx>]

* Present
Marc Gratacos, ISDA
Raphael Iyageh, GS
Owen King, MarkitSERV (Chair)
Irina Yermakova, ISDA
William Wise, MarkitSERV

* Apologies
Farzad Moshfeghi, Barcap
Peter Stockman, DTCC


* Review outstanding actions

>> FM to clarify the intended use of RelativeDates/scheduleBounds
FM was not on the call. Since the current proposed schema does not use
this element, this action is closed. [Closed]

>> MG to clarify the intended use of RelativeDates/scheduleBounds
MG had not been able to do this. Since the current proposed schema does
not use this element, this action is closed. [Closed]

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


* Minutes

1. Physical Options

  - Review of physical options proposal 

    + MG indicated that he felt the PeriodicDates type was appropriate
within EuropeanExercise to represent expiration dates on a
multiple-expiry trade.

    + OK said he would appreciate further feedback from the group as to
whether they also agreed.

    + OK noted that it was common to make expiration dates relative to
an event such as a nomination deadline which could repeat for each
delivery period. OK will review a similar concept used in the oil leg to
determine its applicability here.

    + RI wondered whether having both strikePricePerUnit and fixedPrice
might be clearer than only fixedPrice. OK then suggested that not
including strikePricePerUnit would also allow floating price physical
options without additional work since  the floating price component
would be included within the underlying physical trade. RI said that he
didn't have a preference on this point.

2. Change of leg selection in Commodity Swap from choice group to
substitution group.

  - The change had been discussed by the group previously but IY noted
that it breaks backwards-compatibility by enforcing a minimum of two
legs.

  - The group discussed the pros and cons of enforcing this restriction
and decided that since the substitution group structure is intended to
allow implementing institutions considerable flexibility in implementing
new legs it was conceivable that a single-leg product might in some
situations be correct, so this restriction will be removed.


* Actions

[New] OK to review the oil physical leg and apply the
date-relative-to-event approach within the physicalExercise component.

* Next meeting 15:00 UK / 10:00 US Fri 16th October 2009

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