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 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)

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?