06 05 2021 - Commodities Payout Terms Meeting Minutes

astonGS commented 3 years ago

Date

Thursday, 06 05 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
[ ] CommodityOption Physical Discussion with Samples
[ ] Strategies Discussion Continued

Discussion Points

[ ] In view of Physical European Options, the group walked through a number of physical commodity contract scenarios to gain a view of the nuances that exist between each of the different sub-products that exist. In order to be able to support physical aspect of the Commodities use case the group talked through the potential creation of a physicalPayout that could be underlying to the OptionPayout itself. Additionally it was identified the existing product support for Commodities within the ISDA CDM only covers floating/benchmark Commodities and additional build would be need to define the physical product. With this considered as well as the understanding of the depth that would need to be analyzed for physical commodities, the group agreed that it would not be covered through the scope of this Working Group.
[ ] On the topic of Strategies, the group agreed that it would define some high level fundamentals that could be fed back into the ISDA ARC for consideration, rather than targeting any specific changes to the model. Reasoning behind this is that it has been identified that minimal uplift would be required to support Option Strategies and a more conceptual view needs to be defined in terms of how the model should be used.
[ ] After walking through a number of Option Strategy use cases, the group reached agreement that strategies that contain multiple put/call derivative components should be captured through a single TradableProduct with multiple OptionPayout components. Also agreed was that there is no strong arguments for defining strategies themselves (e.g. Strategy Name) given this would require information around ITM/OTM & also can be open for interpretation.
[ ] 'Covered' Option scenarios where there is a security component of the strategy would not currently be supported though could potentially be handled through a minor adjustment of cardinality within TradableProduct.
[ ] Working Group have now tackled the 3 objectives that it set out at the beginning; Asian Options, Vanilla European Options & Option Strategies. Summary mail will be sent out of what have been achieved for each deliverable & meeting series will be ended unless any members have additional items to raise. Ad-hoc session may be scheduled depending on ISDA ARC feedback on Asian Option proposal.

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