15 04 2021 - Commodities Payout Terms Meeting Minutes

astonGS commented 3 years ago

Date

Thursday, 15 04 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
[ ] Pricing Dates/Rounding Discussion Continued.
[ ] AOB, Q&A & Adjourn (5mins)

Discussion Points

[ ] Group walked through new proposal formed between Regnosys/GS/ISDA to be able to facilitate the changes required to support commodities within the existing Option/AveragingRate design. The proposed changes are:
- [ ] Removal of observationDates, observationTime & fxRateObservable from ObservationDates object.
- [ ] Creation of new ObservationTerms object which will be a property of the OptionPayout directly. The newly created class will allow for Observation elements to be specified across single and multiple dates and means that usage is not restricted to the Asian/Average scenario.
- [ ] Asian/Average option will specify the date terms through ObservationTerms and then add additional averaging information into the pre-existing AveragingRateObservation (Class name will need to be changed as no longer covers the observations).
- [ ] The updated proposal handles the concept of rounding in different places. The group have previously discussed creating a new RoundingRuleType enum to capture the application of rounding precision at the observation & average calculation level separately. The introduction of ObservationTerms allows for the existing rounding data type to be represented here and also in the pre-existing AveragingObservation to represent the 2 different applications that can be applied within the contract.
- [ ] Additional consideration of the use of existing AveragingObservation type in the averagingStrikeFeature is needed & takeaway on GS & Regnosys to review what changes may also be required here.
- [ ] Proposal for Asian Options (first deliverable of WG) will be put forward in the next ISDA ARC session in line with the changes above.
- [ ] Group will turn focus to review Vanilla European Options in the next session. GS to provide samples for review beforehand.

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.
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