25 03 2021 - Commodities Payout Terms Meeting Minutes

[astonGS]

Date

Thursday, 25 03 2021 - 11am ET / 3pm 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
• [ ] Continue discussion on Quantity Frequency, PricingDates & Rounding.
• [ ] Agree if ready for proposal to ARC on 30th Mar
• [ ] Proposed break week for session scheduled 01 Apr

Discussion Points

• [ ] Previous meeting minutes approved.
• [ ] Quantity Frequency Discussion: Group walked through feedback from GS related to quantity frequency.
  • [ ] • Does HalfYear = 6Month in the context of Quantity Frequency? This concept is used in Gas & Power space where 6 month periods can represent seasons (e.g. Summer: Apr-Sep, Winter: Oct-Mar). In this context HalfYear = 6M and means that the value of HalfYear does not need to be added.
  • [ ] PerHour: Enum to be added to PeriodExtendedEnum in proposal.
  • [ ] • Instead of stating PerCalculationPeriod, can a pointer be used or explicitly state in period terms (e.g. 3M)? Group agreed that a pointer could be used to specify the quantityFrequency in relation to the calculationPeriod or alternatively could be explicitly stated as period.
  • [ ] PerSettlementPeriodEnum: Appears this is used in relation to power contracts where SettlementPeriods is a specfic object with fPML that defines delivery electricity. This was deferred through the commod swap work last year and group agreed to bucked the addition of this enum with that work when it is addressed.
  • [ ] QuantityFrequency proposal encapsulating the above points will be presented to the ISDA ARC on 30/03/21. -[ ] PricingDates: Group looked to address the topic of pricingDates before moving onto the issue of rounding & walked a number of fPML samples for how this class is intended to be used. Through discussion the group lead to identify the potential addition of calculationPeriodDates being required however noted that this would could duplication/conflicts for the FX usage of AveragingRateFeature. GS to takeaway and explore solution that will satisfy both. -[ ] Group agreed that meeting next week (1-Apr) will be cancelled and will reconvene the following week (8-Apr).

Action Items

• [ ] Action 1
• [ ] Action 2
• [ ] ...

WebEx info

• Meeting link: https://finos.webex.com/finos/j.php?MTID=m67d73e1fc1592e699f3cf95d4627de8d
• Meeting number: 127 391 7484
• Password: JMrsuEmY376
• Call-in:
  • Join by video system: Dial 1273917484@finos.webex.com. You can also dial 173.243.2.68 and enter your meeting number.
  • Join by phone: +1-415-655-0003 US Toll | +44-20319-88141 UK Toll | Access code: 127 391 7484

[RichardWagener365]

Hi

[agitana]

Untracked attendees

• Brian Wells / Strook
• Mitchell Robertson / Leading Point
• Ted Sanborn / ISDA

[rvincentISDA]

hi

[astonGS]

Minutes approved.