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Design Review Session: Physical Commodities

Design Review Session: Physical Commodities. FpML Commodities Working Group. Scope. Commodity Underlyer Vanilla Fixed/Floating Swaps Basis Swaps and Options (European, American, and Asian style) "Shaped" Swaps/Basis Swaps and strips of Options were also covered. Physically-settled trades

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Design Review Session: Physical Commodities

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  1. Design Review Session: Physical Commodities FpML Commodities Working Group

  2. Scope • Commodity Underlyer • Vanilla Fixed/Floating Swaps • Basis Swaps and Options (European, American, and Asian style) • "Shaped" Swaps/Basis Swaps and strips of Options were also covered. • Physically-settled trades • Swaps • Bullion Forwards FpML 4.5 Current work (expected FpML 4.6 WD 3)

  3. Physically-settled trades • Asset support: • Natural Gas • Oil • Electricity • Bullion (for Forwards) • The following structures vary between all these commodities: • Delivery • Product • Delivery periods • Quantities

  4. Asset Support: details Yes – supported (Yes) – partially supported No – not supported ISDA/GTMA - supported documentation (e.g. ISDA Master Agreement and Commodity Definitions or Grid Trade Master Agreement)

  5. Product representation • New physical leg, adding it within the existing commoditySwap product element • Fixed price transaction = xxxPhysicalLeg + fixedLeg • Floating price transaction = xxxPhysicalLeg + floatingLeg • New commodityForward product element • fixedLeg + bullionPhysicalLeg Note: xxx gets replaced by oil, gas, electricity, etc.

  6. commoditySwap

  7. oilPhysicalLeg-deliveryPeriods

  8. oilPhysicalLeg-product

  9. oilPhysicalLeg-delivery

  10. oilPhysicalLeg-deliveryQuantity

  11. Schema Review • oilPhysicalLeg • gasPhysicalLeg • electricityPhysicalLeg

  12. commodityForward

  13. Schema Review • bullionPhysicalLeg

  14. Open Questions • Naming of product element: oilProduct, gasProduct, etc. instead? • Use of xsd:choice for picking the appropriate legs • Delivery offsets for electricity are different than regular offsets (prevailing time): businessCenterTime or commodity specific structure for this?

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