CDM Derivatives Products and Business Events Working Group - October 23rd, 2024

[eteridvalishvili]

CDM Derivatives Products and Business Events Working Group Minutes

Meeting Host: Lyteck Lynhiavu, ISDA

October 23rd, 2024 - 11:30 am EST / 4:30 pm BST

Untracked attendees

• Fullname, Affiliation, (optional) GitHub username

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Agenda

• [ ] Convene & roll call (5mins)
• [ ] Display FINOS Antitrust Policy summary slide
• [ ] Review Meeting Notices (see above)
• [x] Approve Past Meeting Minutes
  • [x] https://github.com/finos/common-domain-model/issues/3164
• [x] https://github.com/finos/common-domain-model/issues/3194 (Manuel / TH)
• [x] Update on "workflow, CDM event model, support for business processes" discussion (Lyteck)
• [x] https://github.com/finos/common-domain-model/issues/3059 (JB / Fragmos)
• [x] Asset Refactoring update (Lionel / Regnosys)
  • Payout as a Choice – Contribution to review.
  • Fix Security Lending defects – design to review.
  • Refactor FloatingRateIndex – design to review.
  • Improve Product Qualification to include ETDs more comprehensively – design to review.
  • Price on Payout – design to review
  • Ensure Corporate Action includes Index – design to review.
  • Refactor AssetCriteria (as used in Eligible Collateral) to align with Asset – to be presented to Collateral WG.
  • ARTForce DPBE 23Oct24.pdf
• [x] AOB, Q&A & Adjourn (5mins)

Minutes

• Past minutes approved
• [ ] https://github.com/finos/common-domain-model/issues/3194 (Manuel / TH)
  • Manuel presented the proposal and firms were generally in favor. Agreed to aim for CDM 6 (rather than 5.x which could present namespace/compatibility issues). TH will do a review of the code at the next CRWG.
• [ ] Update on "workflow, CDM event model, support for business processes" discussion (Lyteck)
  • We plan to organize a workshop in 2025 Q1 (ETA mid-late January): e.g. 2 half-days for a deep dive, giving the opportunity for firms to discuss specific business use cases and challenge the existing model. Details are being worked out and we will keep the WG updated.
  • Meanwhile, we are gathering a "laundry list of issues" and asking Firms to add their "workflow/business event model" issues to #3170 (and indicate the urgency, if any).
• [ ] https://github.com/finos/common-domain-model/issues/3059 (JB / Fragmos)
  • JB presented the proposal in detail. Feedback was mixed (TH was in general agreement with the direction, BNP expressed some concerns). The proposal is not ready to be contributed yet and will need additional passes. JB is also waiting for the final version of the ART to finalize his model.
  • Firms are invited to review the proposal offline. JB could possibly share the workspace if people are interested and have ad-hoc meetings.
• [ ] Asset Refactoring Work: Lionel only had a few minutes left in the meeting to present the work. There is additional refactoring work dubbed "Phase 3 Plus" All members are invited to review the deck ARTForce DPBE 23Oct24.pdf. This was also presented in detail at the CRWG https://github.com/finos/common-domain-model/issues/3167
• AOB - None

Action

• Asset Refactoring: All the review the deck and latest model in CDM Dev 6.0.0-dev.75
• Event Model - Create and investigate a "laundry list" of potential issues with the current processes. Firms can add items to issue https://github.com/finos/common-domain-model/issues/3170

Zoom info

Join Zoom Meeting https://zoom.us/j/94131415778?pwd=L1A2aUhoTEhoODdUZ0lrUkNLOXBiQT09 Meeting ID: 941 3141 5778 Passcode: 189607 Find your local number: https://zoom.us/u/adEnPA6h80

[lolabeis]

Leo Labeis / REGnosys

[mgratacos]

Marc Gratacos / TradeHeader

[manel-martos]

Manuel Martos / TradeHeader

[JBZ-Fragmos]

JB Ziade / FRAGMOS

[llynhiavu]

Lyteck Lynhiavu / ISDA

[tomhealey-icma]

Tom Healey/ICMA

[Oblongs]

PR's reviewed in this meeting: #3178 https://github.com/finos/common-domain-model/pull/3188 https://github.com/finos/common-domain-model/pull/3189 https://github.com/finos/common-domain-model/pull/3190

[Oblongs]

PR's reviewed in this meeting: https://github.com/finos/common-domain-model/pull/3178

[JBZ-Fragmos]

@Oblongs as regards Asset Refactoring (ARTForce) : agree with most proposals, including having fixedPrice in settlementPayout

suggest to consider additional changes below :

• not only fixedPrice in settlementPayout deserves to benefit from [metadata reference] : actually all kinds of prices used as core component of given payout should have the same e.g. strike in optionPayout, volatilityStrike and varianceStrike and correlationStrike
• include observationTerms in PayoutBasis (as an optional attribute)
• same for valuationTerms (to be created by renaming and refactoring from the existing type PerformanceValuationDate)
• improve representation of physical transfer that is to say refactor current Transfer primitive instruction
  • by (a) increasing current cardinality of Quantity in Transfer from (0..1) up to (0..2) with a condition to ensure ony 1 among these 2 can have unit.currency, optional for representing the nominal amount of the quantity being delivered, and the other shall be compulosry to exist with any other type than "money" thus corresponding to physical units being delivered e.g. capacityUnit or whetherUnit or financialUnit (all in all this means that if Quantity count = 1, then unit.currency is absent, else unit.currency count = 1)
  • also add (b) Price attribute (optional with card 0..1) that is to permit representing the price at which the delivery takes place (and implementors might have rules to check for instance that physical Quantity x Price = nominal Quantity, etc.)
• suggest to introduce priceObservation, of type PriceSchedule, as an attribute card (0..*), to the Observable with [metadata] annotation, as minimum improvement, waiting for more complete one about "Observation Fixing" via Event model
• as regards improvement for transfer, there is also a need to improve the representation of "netting / gross" transfer
• current representation of CorporateAction may be enriched, there are more details required compare to what is current present for the purpose of representing such events - have already in mind an additional component for documenting such missing details, if anyone would like to move forward about it