exotic baskets in the ISDA Commodity Taxonomy

[dstarksb]

Greetings, I am trying to figure out how to classify certain “exotic basket” commodity derivatives (options) within the ISDA Commodity Taxonomy. For example, say you had a basket comprised of base and precious metals. Does this make it MultiCommodityExotic? Or should it be one of Metals:Precious:Exotic or Metals:NonPrecious:Exotic, and in that case, on what basis do we choose? The same question applies to, say, an Agricultural exotic basket where the assets cross sub-product categories (e.g. across GrainsOilseeds and Dairy). Does anyone know how to apply the taxonomy in these cases? Thanks, David

[pcstockman]

David: While the ISDA opeations working group is the author of the commodity taxonomy let me take a crack at your question. Yes: a basket comprised of base and precious metals should be classified as “Commodity:MultiCommodityExotic”. Per the design of the taxonomy, the only multi-commodity trade which should not be classified this way is a trade with two or more energy commodity underlyers. These fall into the “Commodity:InterEnergy:….” taxonomy code group. Peter Stockman

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