29 04 2021 - Commodities Payout Terms Meeting Minutes

astonGS commented 3 years ago

Date

Thursday, 29 04 2021 - 11am ET / 4pm GMT

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[ ] Feedback on ARC Proposals 1) Quantity Frequency: Group were advised that the proposed change relating to quantity frequency has been approved by the ISDA ARC & means that additions of 'DayType' to the Frequency object and a number enum of 'H' (Hour) will be added to periodExtendedEnum. 2) The proposals to refactor the current averaging feature are still open with the ARC. The reviews yielded question marks over the broader representation of date parameters within the CDM that need to be considered in line with the AveragingObservation changes.
[ ] Option Strategies Discussion: Group talked through different methods in how option strategies with multiple components could be represented. There were 2 possible approaches identified, i) leverage multiple optionPayouts within a single contract & ii) link multiple contracts via some form of identifier. The general consensus was the the first approach makes most sense and this is in line with other standard practices for representing structures/packages in the industry. The topic is due to continued to be discussed in future sessions so a finalized view can be formed and fed back into ISDA.
[ ] GS to takeaway and provide example scenarios of physical option contracts (deferred item) & also additional potential scenarios for options strategies for added context.

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