Design Review Session: Physical Commodities FpML Commodities Working Group.

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Presentation transcript:

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 Swaps Bullion Forwards FpML 4.5 Current work (expected FpML 4.6 WD 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

Asset Support: details Swaps/ForwardsOptions North AmericaEurope/OtherAll Crude Oil and Refined Products (Yes) ISDA/Leap Pipeline Title Transfer No Some analysis on Leap NWE barges started No Natural Gas Yes ISDA/NAESB Yes ISDA/EFET No Electricity Yes ISDA/EEI Further validation required for WSPP ( Yes UK) ISDA/GTMA Further validation required for EFET No Bullion Yes ISDA Yes ISDA No Coal No 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)

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.

commoditySwap

oilPhysicalLeg-deliveryPeriods

oilPhysicalLeg-product

oilPhysicalLeg-delivery

oilPhysicalLeg-deliveryQuantity

Schema Review oilPhysicalLeg gasPhysicalLeg electricityPhysicalLeg

commodityForward

Schema Review bullionPhysicalLeg

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?