18 03 2021 - Commodities Payout Terms Meeting Minutes

astonGS commented 3 years ago

Date

Thursday, 18 03 2021 - 11am ET / 4pm GMT

Untracked attendees

Fullname, Affiliation, GitHub username

Meeting notices

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Agenda

[ ] Convene & roll call (5mins)
[ ] Display FINOS Antitrust Policy summary slide
[ ] Review Meeting Notices (see above)
[ ] Approve past meeting minutes
[ ] ISDA ARC Feedback on Frequency & Rounding Proposals - Revisions Needed
[ ] PricingDates Discussion Continued

Discussion Points

[ ] Previous meeting minutes approved
[ ] Group talked through the feedback from the ARC on proposals for Quantity Frequency & Rounding.
[ ] Quantity Frequency: Feedback given from ARC was 1. Addition of DayType accepted 2. Suggestion to create commodity specific extended enum for this use case 3. Question if HalfYear could be represented as 6M 4. If pointers could be used or period could be explicitly stated instead of adding perCalculationPeriod & perSettlementPeriod. The group talked through this feedback and worked through each of the proposed enums & neared agreement on a) perSettlementPeriod & perCalculationPeriod can likely be represented through an explicit period value (e.g. 3m) b) PerHalfYear if = to 6 months could instead be represented as 6M (GS to explore this as a takeaway) c) If a & b are agreed, then perHour should be proposed to be added into PeriodEnum as would only be 1 additional value required.
[ ] Rounding: Feedback given from the ARC was that the concept of adding a rounding rule makes sense however asked if the group could explore if this is the optimal way to represent this feature. Additionally the proposed enum of 'Average' was suggested to be alternatively given as 'Calculation' so it could be applied more generally across the model. The group focused on how the pricingDates element should be represented within the model with the view that once this is established a decision can be made whether it is appropriate to represent rounding at various levels of the Averaging model.

WebEx info

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