16 COMMODITY DERIVATIVE PRODUCT ARCHITECTURE

NOTE: Some refactoring work for SettlementPeriods are being considered for the next draft.

16.1 Introduction

This section provides a detailed description of the product architecture for commodity derivatives. FpML provides support for commodity swaps (whether fixed-float and float-float, or weather/weather), traditional commodity options (American, European and Asian) and its variations, as well as Basket and Digital options . FpML also supports contracts written on physically-settled electricity, natural gas, oil, coal, and environmental commodities. FpML provides support for physically-settled precious and non-precious metal forwards. At the core of the architecture is a representation for a commodity underlyer which is used within the commodity products, as well as, other products such as equity baskets. A representation of gold interest rate swap (official name: Gold Forward Offered Rate) has also been introduced, which is used within the commodity products but that can also be used within other products such as IRS.

For an overview of the commodities coverage in FpML and its linking with the legal documentation see the following document: FpML Commodities Coverage Matrix (pdf file)

16.2 Commodity Underlyer

The 'commodity' underlyer identifies the market price on which the OTC contract is written. The structure of the 'commodity' underyer follows the ISDA Commodity Reference Price Framework. FpML defines a number of global elements in the FpML schema for various types of assets The 'commodity' underlyer follows the same model.

schemaDocumentation/schemas/fpml-asset-5-6_xsd/complexTypes/Commodity.png

The 'instrumentId' and the 'description' elements are derived from the IdentifiedAsset type, which is used by multiple underlyers. The 'instrumentId' contains the unique identifier for the asset, and is intended to hold a Commodity Reference Price in the format set out by ISDA in the 1993 or 2005 Commodity Definitions. However, a CUSIP, ISIN, or any other identifier could also be used. The 'description' contains the name of the asset.

The following sequence of elements is optional and they are specified only in the event that no ISDA Commodity Reference Price or other standard identifier for a commodity 'index' exists.

schemaDocumentation/schemas/fpml-asset-5-6_xsd/groups/CommodityReferencePriceFramework.model.png

    • commodityBase-A coding scheme value to identify the base type of the commodity being traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions. For example, 'Oil'.
    • commodityDetails-A coding scheme value to identify the commodity being traded more specifically. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions. For example, 'Brent'.
    • unit-A coding scheme value to identify the unit of measure (e.g. Therms) in which the undelryer is denominated. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.
    • Either the 'exchange' or the 'publication' is specified. currency-The currency in which the Commodity Reference Price is published (e.g. GBP).
      publication-For those commodities being traded with reference to a price distributed by a publication, that publication should be specified in the 'publication' element.

specifiedPrice-The 'specified Price' describes the nature of the underlying price that is observed. It must be be stated in the underlyer definition as it is not defined in the Commodity Reference Price. Example values of 'specifiedPrice' are 'Settlement' (for a futures contract) and 'WeightedAverage' (for some published prices and indices).

deliveryDates-No Annotation Available

deliveryDateRollConvention-The 'deliveryDateRollConvention' specifies, for a Commodity Transaction that references a listed future via the 'deliveryDates' element, the day on which the specified future will roll to the next nearby month prior to the expiration of the referenced future. If the future will not roll at all - i.e. the price will be taken from the expiring contract, 0 should be specified here. If the future will roll to the next nearby on the last trading day - i.e. the price will be taken from the next nearby on the last trading day, then 1 should be specified and so on.

multiplier-The 'multiplier' specifies the multiplier associated with the Transaction. The 'multiplier' element has two uses: (1) for Freight Transactions or any Calculation Period specified for a Freight Transaction, if an amount is specified as the Multiplier then it is captured by this element and (2) if the Transaction is a heat rate option, the heat rate multiplier is represented in this element. If multiplier is not provided, multiplier is assumed to be 1. (i.e. rate source states 1 BBL of Oil as 90 Dollars. Multiplier of 10 will change the value to 900 dollars.)

16.3 commoditySwap

CommoditySwap-The commodity swap product model is designed to support fixed-float swaps, float-float swaps, fixed vs. physical swaps, float vs. physical swaps as well as, weather specific swaps. Its design is fully compatible with other FpML products and the product reuses standard common types.

As with all products in FpML, commodity swaps are accessed through a global element, 'commoditySwap', which substitutes for the 'product' element used in trade structures. The following diagram outlines the product structure.

schemaDocumentation/schemas/fpml-com-5-6_xsd/elements/commoditySwap.png

The 'commoditySwap' structure defines parameters for product-related information (e.g. dates, rates, underlying commodity, price source, etc.). Other trade-related information (e.g. trade date, identifiers, legal documentation, etc.) is held in the containing 'trade' structure.

The 'commoditySwapLeg' element is placeholder within commoditySwap structure for the actual commoditySwap swap legs (e.g. 'fixedLeg' and 'floatingLeg'). The 'weatherLeg' is modeled as a choice to 'commoditySwapLeg' because weather index transactions are strictly financially-settled transaction and always structured with two legs, each of which is a 'weatherLeg'.

The repeating 'fixedLeg', 'floatingLeg', 'weatherLeg' elements contain the details of any scheduled cash payments or exchanges during the life of the instrument and are described later. A simple commodity swap will contain two legs, typically one fixed and one floating, but the repetition allows more complex multi-legged structures to be represented.

Physical settlement of swaps is represented using 'coalPhysicalLeg', 'electricityPhysicalLeg', 'gasPhysicalLeg', 'oilPhysicalLeg', 'environmentalPhysicalLeg' paired with 'fixedLeg' or 'floatingLeg' - see details in the Physical Leg section.
16.3.2 commoditySwap - CommodityContent

CommodityContent.model-Items common to all Commodity Transactions.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityContent.model.png

    • commonPricing-If Common Pricing is elected (“true”) for a Transaction with referencing more than one Commodity Reference Price then no date will be a Pricing Date unless such a date is a day on which all Commodity Reference Prices are scheduled to be published.
    • marketDisruption-Contains contract terms related to triggers and responses to market disruptions as defined in the 1993 or 2005 Commodity Definitions.
    • settlementDisruption-Describes contract terms related to the consequences of Bullion Settlement Disruption Events.
    • rounding-Rounding direction and precision for amounts.

16.3.3 fixedLeg

FixedPriceLeg-Fixed Price Leg of a Commodity Swap. It defines schedule of fixed payments associated with a commodity swap.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/FixedPriceLeg.png

    • CommodityCalculationPeriods.model-The different options for specifying the Calculation Periods.
    • CommodityFixedPrice.model-The different options for specifying the Fixed Price.
    • CommodityNotionalQuantity.model-The different options for specifying the Notional Quantity. A flat notional for the term of the contract may be specified, or else the Notional Quantity per Calculation Period. In the latter case, there must be a notional quantity step specified for each Calculation Period, regardless of whether the Notional Quantity changes or remains the same between periods.
    • CommodityPaymentDates.model-The different options for specifying the Payment Date. This will consist of either a set of Payment Dates or else a Payment Date schedule.
    • CommodityFreightFlatRate.model-The Flat Rate, applicable to Wet Voyager Charter Freight Swaps.

As with other FpML leg structures the payer and receiver parties are explicitly indicated in the 'payerPartyReference' and 'receiverPartyReference'.

The role of the remaining elements is as follows:

  • The 'calculationPeriods' or 'calculationDates' if the Calculation Periods are all one day long or the 'calculationPeriodsSchedule' is only intended to be used if the Calculation Periods differ on each leg. If Calculation Periods mirror another leg, then the 'calculationPeriodsReference' element should be used to point to the Calculation Periods on that leg or 'calculationPeriodsDatesReference' element should be used to point to the single-day-duration Calculation Periods on that leg or the 'calculationPeriodsScheduleReference' can be used to point to the Calculation Periods Schedule for that leg.
  • The 'fixedPrice' structure defines the price for a given unit of the underlying commodity where that price is fixed for the life of the trade.
  • On the other hand, if the fixed price varies over the life of the trade, then the 'fixedPriceSchedule' structure is used instead of the 'fixedPrice'. Note that the intention is that a fixed price step should be specified for each Calculation Period in the trade, regardless of whether there is a change in value between two periods. This is so as to match the fixed price schedule to the calculation periods as clearly as possible. The fixed price steps must be in chronological order (i.e the first step corresponds to the first Calculation Period, the last step to the last Calculation Period).
  • The 'totalPrice' structure specifies the total amount of all fixed payments due during the term of the trade.
  • The notional amount is specified stating either the 'notionalQuantity' or if the notional changes over the life of the transaction, then the 'notionalQuantitySchedule' is specified. The 'settlementPeriodsNotionalQuantity' should be specified for an electricity transaction, the Notional Quantity for a one or more groups of Settlement Periods to which the Notional Quantity is based. If the schedule differs for different groups of Settlement Periods, this element should be repeated. In addition, the 'totalNotionalQuantity' must be specified. Note that the intention is that a notional step should be specified for each Calculation Period in the trade, regardless of whether there is a change in value between two periods. This is so as to match the notional quantity schedule to the calculation periods as clearly as possible. The notional steps must be in chronological order (i.e the first step corresponds to the first Calculation Period, the last step to the last Calculation Period). If notional amount mirror another leg, then the 'quantityReference' element should be used to point to the Notional Quantity.
  • The 'paymentDates' structure supports either the definition of dates as either a series of unadjusted dates along with a date roll convention and business calendar location list for adjustment, or as set of adjusted dates relative to some other date schedule defined elsewhere in the product (e.g. in the floating leg).
  • The 'relativePaymentDates' are specified when the payment dates are relative to the calculation periods.
  • The Flat Rate, applicable to Wet Voyager Charter Freight Swaps. Whether the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the Trade Date of the transaction or taken on each Pricing Date. The 'flatRateAmount', If 'flatRate' is set to 'Fixed', is the actual value of the Flat Rate.
16.3.4 floatingLeg

FloatingPriceLeg-Floating Price Leg of a Commodity Swap. Each 'floatingLeg' defines a series of financial payments for a commodity the value of which is derived from a floating price such as an exchange or an index publication.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/FloatingPriceLeg.png

    • CommodityCalculationPeriods.model-The different options for specifying the Calculation Periods.
    • commodity-Specifies the underlying instrument. Only underlyers of type Commodity are supported.Specifies the underlying instrument. Only underlyers of type Commodity are supported.
    • CommodityNotionalQuantity.model-The different options for specifying the Notional Quantity. A flat notional for the term of the contract may be specified, or else the Notional Quantity per Calculation Period. In the latter case, there must be a notional quantity step specified for each Calculation Period, regardless of whether the Notional Quantity changes or remains the same between periods.
    • calculation-Defines details relevant to the calculation of the floating price.Defines details relevant to the calculation of the floating price.
    • CommodityPaymentDates.model-The different options for specifying the Payment Date. This will consist of either a set of Payment Dates or else a Payment Date schedule.
    • CommodityFreightFlatRate.model-The Flat Rate, applicable to Wet Voyager Charter Freight Swaps.

As with the 'fixedLeg' they parties obligation to pay and receive the payments are explicitly indicated by the 'payerPartyReference' and 'receiverPartyReference' elements.

Two structures distinguish the 'floatingLeg' from the 'fixedLeg': the existence of the 'commodity' underlyer (see description above at the Commodity Underlyer section) and the 'calculation' structure within the floating leg.

16.3.4.1 calculation

The 'calculation' structure captures details relevant to the calculation of the floating price.

FloatingLegCalculation-A type to capture details relevant to the calculation of the floating price.

The structure is defined by the following elements:

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/FloatingLegCalculation.png

    • pricingDates- represent the dates on which prices are observed for the underlyer.
    • averagingMethod-The parties may specify a Method of Averaging where more than one pricing Dates is being specified as being applicable.
    • conversionFactor-If the Notional Quantity is specified in units that do not match the units in which the Commodity Reference Price is quoted, the scaling or conversion factor used to convert the Commodity Reference Price units into the Notional Quantity units should be stated here. If there is no conversion, this element is not intended to be used.
    • rounding-Rounding direction and precision for price values.
    • In some trades, there may be a spread-The spread over or under the Commodity Reference Price for this leg of the trade.
    • If the spread is not constant over the life of the trade, spreadSchedule-The spread over or under the Commodity Reference Price for this leg of the trade for each Calculation Period.
    • spreadPercentage-The spread percentage over or under the Commodity Reference Price for this leg of the trade.
    • fx-Defines how observations of FX prices are to be used to calculate a factor with which to convert the observed Commodity Reference Price to the Settlement Currency.

16.3.4.1.1 pricingDates

CommodityPricingDates-The dates on which prices are observed for the underlyer.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityPricingDates.png

    • CommodityCalculationPeriodsPointer.model-Model group enables users to reference a Calculation Periods schedule in the form of a series of actual dates in a calculationPeriods container or in the form of a parameterized schedule in a calculationPeriodsSchedule container.
    • lag-The pricing period per calculation period if the pricing days do not wholly fall within the respective calculation period.
    • PricingDays.model-The different options for specifying which days are pricing days within a pricing period. Unless a lag element is present, the pricing period will be contained within the calculation period.
    • businessCalendar-Identifies a commodity business day calendar from which the pricing dates will be determined.
    • calendarSource-Used in conjunction with an exchange-based pricing source. Identifies a date source calendar from which the pricing dates and thus roll to the next contract will be based off (e.g. pricing is based on the NYMEX WTI First Nearby Futures Contract, if “Future” is chosen, the pricing will roll to the next futures contract on expiration, if “ListedOption” is chosen, the pricing will roll to the next futures contract on the Option expiration date which is three business days before the expiration of the NYMEX WTI futures contract.) Omitting this element will result in the default behavior expected with the pricing source described within the commodity element.
    • settlementPeriods-Specifies a set of Settlement Periods associated with an Electricity Transaction for delivery on an Applicable Day or for a series of Applicable Days.
    • settlementPeriodsReference-Allows a set of Settlement Periods to reference one already defined elsewhere in the trade structure.
    • pricingDates-A list of adjustable dates on which the trade will price. Each date will price for the Calculation Period within which it falls.

16.3.4.1.2 fx

fx-Defines how observations of FX prices are to be used to calculate a factor with which to convert the observed Commodity Reference Price to the Settlement Currency.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/FloatingLegCalculation/fx.png

    • CommodityFx-A type defining the FX observations to be used to convert the observed Commodity Reference Price to the Settlement Currency. The rate source must be specified. Additionally, a time for the spot price to be observed on that source may be specified, or else an averaging schedule for trades priced using an average FX rate.
    • primaryRateSource-The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.
    • secondaryRateSource-An alternative, or secondary, source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.
    • fxType-A type to identify how the FX rate will be applied. This is intended to differentiate between the various methods for applying FX to the floating price such as a daily calculation, or averaging the FX and applying the average at the end of each CalculationPeriod.
    • averagingMethod-The parties may specify a Method of Averaging when averaging of the FX rate is applicable.
    • fixingTime-The time at which the spot currency exchange rate will be observed. It is specified as a time in a specific business center, e.g. 11:00am London time.The time at which the spot currency exchange rate will be observed. It is specified as a time in a specific business center, e.g. 11:00am London time.
    • fxObservationDates-A list of the fx observation dates for a given Calculation Period.
    • PricingDays.model-The different options for specifying which days are pricing days within a pricing period. Unless a lag element is present, the pricing period will be contained within the calculation period.
    • LagOrReference.model-Allows a Lag or a LagReference to be specified.
    • CommodityCalculationPeriodsPointer.model-Model group enables users to reference a Calculation Periods schedule in the form of a series of actual dates in a calculationPeriods container or in the form of a parameterized schedule in a calculationPeriodsSchedule container.

16.3.5 weatherLeg

WeatherLeg-A weather leg of a Commodity Swap defines Weather Index Swap transactions. Weather Index Swap transactions are OTC derivative transactions which settle financially based on an index calculated from observations of temperature, precipitation and other weather-related measurements at weather stations throughout the world. Sub-Annex C of the 2005 ISDA Commodity Definitions provides definitions and terms for a number of types of weather indices. These indices include: HDD (heating degree days), CDD (cooling degree days), CPD (critical precipitation days). Weather Index Swap transactions result in a cash flow to one of the two counterparties each Calculation Period depending on the relationship between the Settlement Level and the Weather Index Level. A Weather Index swap transaction always consists of a commodity swap element as a parent to two weatherLeg elements.
Weather Index transaction = weatherLeg/weatherLeg.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/WeatherLeg.png

    • weatherIndexLevel-Defining the Weather Index Level or Weather Index Strike Level.Defining the Weather Index Level or Weather Index Strike Level.
    • WeatherCalculationPeriod.model-Descriptions of a calculation period.
    • weatherNotionalAmount-Defines the price per weather index unit.Defines the price per weather index unit.
    • calculation-Defines details relevant to the calculation of the aggregate weather index amount.Defines details relevant to the calculation of the aggregate weather index amount.
    • paymentDates-The Payment Dates of the trade relative to the Calculation Periods or Calculation DateThe Payment Dates of the trade relative to the Calculation Periods or Calculation Date
    • weatherIndexData-Specifies where the data (e.g. CPD) have been collected, an actual physical reference point (weather station) and various fall back arrangements.Specifies where the data (e.g. CPD) have been collected, an actual physical reference point (weather station) and various fall back arrangements.

16.3.5.1 weatherLeg - WeatherIndex

WeatherIndex-A type defining the Weather Index Level or Weather Index Strike Level.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/WeatherIndex.png

    • quantity-This is the Reference Level. The CDD, HDD or HDD Reference Level is specified as the number of (amount of) Weather Index Units specified by the parties in the related Confirmation.
    • unit-Weather Index Unit derived from one of the following variable methods of determination: Cooling Degree Day (CDD), Heating Degree Day (HDD), Critical Precipitation Day (CPD) as defined in Section 11.15 of the 2005 ISDA Commodity Definitions and User Guide.

16.3.5.2 weatherLeg - WeatherCalculationPeriod

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/WeatherCalculationPeriod.model.png

    • WeatherCalculationPeriods-The schedule of Calculation Period First Days and Lasts Days. If there is only one First Day - Last Day pair then the First is equal to the Effective Date and the Last Day is equal to the Termination Date.
      or
    • CalculationPeriodsReference-A pointer style reference to a calculation periods schedule defined elsewhere - note that this schedule consists of a series of actual dates in a calculationPeriods container.

16.3.5.3 weatherLeg - weatherNotionalAmount

weatherNotionalAmount-Defines the price per weather index unit.Defines the price per weather index unit.

schemaDocumentation/schemas/fpml-shared-5-6_xsd/complexTypes/NonNegativeMoney.png

16.3.5.4 weatherLeg - calculation

WeatherLegCalculation-A type to capture details of the calculation of the Payment Amount on a Weather Index Transaction.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/WeatherLegCalculation.png

    • settlementLevel-The Settlement Level means either the cumulative number of Weather Index Units for each day in the Calculation Period (Cumulative) or the cumulative number of Weather Index Units for each day in the Calculation Period divided by the number of days in the Calculation Period (Average) or the maximum number of Weather Index Units for any day in the Calculation Period (Maximum) or the minimum number of Weather Index Units for any day in the Calculation Period.
    • referenceLevelEqualsZero-If Reference Level Equals Zero is specified to be applicable then CPD means, for any day during the Calculation Period, (A) 1 if the Daily Precipitation for that day is greater than or equal to the CPD Reference Level or (B) zero if the the Daily Precipitation for that day is less than the CPD Reference Level. If Reference Level Equals Zero is specified not to be applicable then CPD means, for any day during the Calculation Period, (A) 1 if the Daily Precipitation for that day is greater than the CPD Reference Level or 0 if the Daily Precipitation for that day is less than or equal to the CPD Reference Level.
    • calculationDate-The number of days following the final day of the Calculation Period specified in the Confirmation on which is is practicable to provide the notice that the Calculation Agent is required to give for that Settlement Date or Payment Date.
    • businessDays-A day on which commmercial banks settle payments and are open for general business in the place(s) specified in the Confirmation. See Section 1.3 of the ISDA 2005 Commodity Definitions.
    • dataCorrection-The date payment often revised after its publication, this indicates if the payment date could be recalculated.
    • correctionPeriod-If 'dataCorrection'=true, this indicates how long after the initial publication of the data corrections can be made.
    • maximumPaymentAmount-The maximum total payment amount that will be paid in any particular transaction.
    • maximumTransactionPaymentAmount-The maximum payment amount that will be paid in any particular Calculation Period.
    • rounding-Rounding direction and precision for price values.

16.3.5.5 weatherLeg - paymentDates

CommodityRelativePaymentDates-The Payment Dates of the trade relative to the Calculation Periods.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityRelativePaymentDates.png

    • payRelativeTo-Specifies whether the payment(s) occur relative to a date such as the end of each Calculation Period or the last Pricing Date in each Calculation Period.
    • payRelativeToEvent-Specifies whether the payment(s) occur relative to the date of a physical event such as issuance of a bill of lading.
    • CommodityCalculationPeriodsPointer.model-Model group enables users to reference a Calculation Periods schedule in the form of a series of actual dates in a calculationPeriods container or in the form of a parameterized schedule in a calculationPeriodsSchedule container.
    • paymentDaysOffset-Specifies any offset from the adjusted Calculation Period start date, adjusted Calculation Period end date or Calculation Date applicable to each Payment Date.
    • BusinessCentersOrReference.model-No Annotation Available

16.3.5.6 weatherLeg - weatherIndexData

WeatherIndexData-No Annotation Available

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/WeatherIndexData.png

    • referenceLevel-Reference level is the number of degree-days (in the case of HDD and CDD) or inches/millimeters (in the case of CPD) on which the differential is calculated. In the case of HDD it is the number of degree-days below this reference level. In the case of CDD it is the number of degree days above this reference level. In the case of CPD it is number of inches/millimeters above this reference level.
    • dataProvider-The provider of either temperature data or precipitation data specified by the parties in the related Confirmation.
    • finalEditedData-If specified by the parties to apply in the related Confirmation, Final Edited Data means that the parties will have recourse to Primary Disruption Fallbacks even if relevant data is available from the Data Provider, so long as such data is not published in its final edited form. Otherwise the parties will have recourse to Primary Disruption Fallbacks only if relevant data is unavailable from the Data Provider on a relevant day.
    • weatherStation-The source or sources of weather index data specified by the parties in the related Confirmation. Examples include: AU-CBM (the Commonwealth Bureau of Meteorology in Australia) and CM-SMI (the Swiss Meteorological Institute).
    • weatherStationFallback-If weather index data is not available for the weather station specified by the parties in the related Confirmation, the first alternative Weather Index Station.
    • weatherStationSecondFallback-If weather index data is neither available for the weather station specified by the parties in the related Confirmation nor the first alternative Weather Index Station, the second alternative Weather Index Station.
    • alternativeDataProvider-A provider of either temperature data or precipitation data specified by the parties in the related Confirmation. If the parties fail to specify an Alternative Data Provider, the "Fallback Data" Disruption Fallback will not apply.
    • synopticDataFallback-If the parties specify "Not Applicable", the "Synoptic Data" Disruption Fallback will not apply. Synoptic Data means that maximum and/or minimum temperature or daily precipitation at the location for the Missing Data Day will be the maxium and/or minimum temperature or daily precipitation for that day at the Location (Weather Index Station) which has not been subject to ultimate quality control, integrity or verification process.
    • adjustmentToFallbackWeatherStation-The Weather Index Station from which data with which to apply the "Adjustement to Fallback Station Data" terms. See Section 11.20 of the 2005 ISDA Commodity Definitions.
    • primaryDisruptionFallbacks-A list of actions available to the parties should a Primary Disruption Event occur. A Primary Disruption Event means if maximum or minimum temperature or precipitation data for a Missing Data Day is required to determine a Payment Amount then the maximum and/or minimum temperature or the daily precipitation for that day will be determined in accordance with the first applicable Primary Disruption Fallback.
    • secondaryDisruptionFallbacks-A list of actions available to the parties should a Secondary Disruption Event occur. A Primary Disruption Event means if maximum or minimum temperature or precipitation data for a Missing Data Day is required to determine a Payment Amount then the maximum and/or minimum temperature or the daily precipitation for that day will be determined in accordance with the first applicable Secondary Disruption Fallback.

16.3.6 Physical Leg
16.3.6.1 Coverage

The support for physically-settled commodity swap trades includes,

  • Natural Gas
  • Oil
  • Electricity
  • Coal
  • Environmental
16.3.6.2 Product Representation

The product representation of physically-settled commodity swap or commodity forward contracts not written on a metal underlying is done within the commoditySwap product element by adding a family of physical legs.

  • Fixed price transaction = xxxPhysicalLeg + fixedLeg
  • Floating price transaction = xxxPhysicalLeg + floatingLeg

Note: xxx gets replaced by 'oil', 'gas', 'electricity', 'coal' or 'environmental'.

The following structures vary between all these commodities,

  • Delivery periods
  • Product
  • Delivery
  • Quantities
16.3.6.2.1 Gas Physical Leg

gasPhysicalLeg

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/GasPhysicalLeg.png

    • PayerReceiver.model-No Annotation Available
    • deliveryPeriods-The different options for specifying the Delivery or Supply Periods. Unless the quantity or price is to vary periodically during the trade or physical delivery occurs on a periodic basis, periodsSchedule should be used and set to 1T.The different options for specifying the Delivery or Supply Periods. Unless the quantity or price is to vary periodically during the trade or physical delivery occurs on a periodic basis, periodsSchedule should be used and set to 1T.
    • gas-The specification of the gas to be delivered.The specification of the gas to be delivered.
    • deliveryConditions-The physical delivery conditions for the transaction.The physical delivery conditions for the transaction.
    • deliveryQuantity-The different options for specifying the quantity. For Fixed trades where the quantity is known at the time of confirmation, a single quantity or a quantity per Delivery Period may be specified. For Variable trades minimum and maximum trades may be specified.The different options for specifying the quantity. For Fixed trades where the quantity is known at the time of confirmation, a single quantity or a quantity per Delivery Period may be specified. For Variable trades minimum and maximum trades may be specified.

16.3.6.2.1.1 gasPhysicalLeg - deliveryPeriods

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/GasPhysicalLeg/deliveryPeriods.png

    • periods-The Delivery Periods for this leg of the swap. This type is only intended to be used if the Delivery Periods differ from the Calculation Periods on the fixed or floating leg. If DeliveryPeriods mirror another leg, then the calculationPeriodsReference element should be used to point to the Calculation Periods on that leg - or the calculationPeriodsScheduleReference can be used to point to the Calculation Periods Schedule for that leg.
    • periodsSchedule-The Delivery Periods for this leg of the swap. This type is only intended to be used if the Delivery Periods differ from the Calculation Periods on the fixed or floating leg. If DeliveryPeriods mirror another leg, then the calculationPeriodsReference element should be used to point to the Calculation Periods on that leg - or the calculationPeriodsScheduleReference can be used to point to the Calculation Periods Schedule for that leg.
    • CommodityCalculationPeriodsPointer.model-Model group enables users to reference a Calculation Periods schedule in the form of a series of actual dates in a calculationPeriods container or in the form of a parameterized schedule in a calculationPeriodsSchedule container.
    • supplyStartTime-The time at which gas delivery should start on each day of the Delivery Period(s).The time at which gas delivery should start on each day of the Delivery Period(s).
    • supplyEndTime-The time at which gas delivery should end on each day of the Delivery Period(s).The time at which gas delivery should end on each day of the Delivery Period(s).

16.3.6.2.1.2 gasPhysicalLeg - product

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/GasPhysicalLeg/gas.png

    • type-The type of gas to be delivered.
    • calorificValue-The calorific value of the gas to be delivered, specified in megajoules per cubic meter (MJ/m3).
    • quality-The quality of the gas to be delivered.

16.3.6.2.1.3 gasPhysicalLeg - deliveryConditions

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/GasPhysicalLeg/deliveryConditions.png

    • CommodityDeliveryPoints.model-A Delivery Point, applicable to physically settled commodity transactions.
    • deliveryType-Indicates whether the buyer and seller are contractually obliged to consume and supply the specified quantities of the commodity.
    • interconnectionPoint-Identification of the border(s) or border point(s) of a transportation contract.
    • buyerHub-The hub code of the gas buyer.
    • sellerHub-The hub code of the has seller.

16.3.6.2.1.4 gasPhysicalLeg - deliveryQuantity

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/GasPhysicalLeg/deliveryQuantity.png

    • CommodityFixedPhysicalQuantity.model-The different options for specifying a fixed physical quantity of commodity to be delivered.
    • minPhysicalQuantity-The minimum quantity to be delivered. If separate minimums need to be specified for different periods (e.g. a minimum per day and a minimum per month) this element should be repeated.
    • maxPhysicalQuantity-The maximum quantity to be delivered. If separate minimums need to be specified for different periods (e.g. a minimum per day and a minimum per month) this element should be repeated.
    • electingParty-Indicates the party able to choose whether the gas is delivered for a particular period e.g. a swing or interruptible contract.

16.3.6.2.5 Environmental Physical Leg

EnvironmentalPhysicalLeg-No Annotation Available

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/EnvironmentalPhysicalLeg.png

    • numberOfAllowances-The number of allowances, certificates or credit to be transaction in the transaction.The number of allowances, certificates or credit to be transaction in the transaction.
    • environmental-The specification of the type of allowance or credit.The specification of the type of allowance or credit.
    • abandonmentOfScheme-Applies to U.S. Emissions Allowance Transactions. Specifies terms which apply in the event of an Abandonment of Scheme event.Applies to U.S. Emissions Allowance Transactions. Specifies terms which apply in the event of an Abandonment of Scheme event.
    • deliveryDate-The date on which allowances are to be delivered as specified in the related Confirmation.The date on which allowances are to be delivered as specified in the related Confirmation.
    • paymentDate-No Annotation Available
    • BusinessCentersOrReference.model-No Annotation Available
    • failureToDeliverApplicable-Applies to EU Emissions Allowance Transactions. Holds the Failure to Deliver (Alternative Method) election. Used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied.Applies to EU Emissions Allowance Transactions. Holds the Failure to Deliver (Alternative Method) election. Used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied.
    • eEPParameters-Applies to EU Emissions Allowance Transactions. Contains a series of parameters controlling Excess Emissions Penalty payments.Applies to EU Emissions Allowance Transactions. Contains a series of parameters controlling Excess Emissions Penalty payments.

16.3.6.2.5.1 environmentalPhysicalLeg - numberOfAllowances

UnitQuantity-A quantity and associated unit.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/UnitQuantity.png

    • quantityUnit-Quantity Unit is the unit of measure applicable for the quantity on the Transaction.
    • quantity-Amount of commodity per quantity frequency.

16.3.6.2.5.2 environmentalPhysicalLeg - product

EnvironmentalProduct-A type defining the characteristics of the environmental allowance or credit being traded. Settlement of environmental transactions is classified as physical because settlement is accomplished through the exchange of one or more certificates (despite the fact that this exchange is almost always executed through electronic book entry transfer between the parties allowance accounts).

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/EnvironmentalProduct.png

    • productType-Specifies the type of environmental allowance or credit. Examples include allowances or credit issued by the European Union (E.U.) or by the State of California in the Unites States.
    • compliancePeriod-Applies to E.U. Emissions Allowance Transactions. Describes Specified Compliance Period for which the Allowances are issued.
    • vintage-Applies to U.S. Emissions Allowance Transactions. The year(s) of the applicable Emissions Product(s) as specified in an Emissions Transaction.
    • applicableLaw-Applies to U.S. Emissions Allowance Transactions. Used to specify the Applicable Emissions Law when this is not defined in Emissions Product Definitions Exhibit.
    • trackingSystem-Applies to U.S. Emissions Allowance Transactions. Used to specify the Tracking System when this is not defined in Emissions Product Definitions Exhibit.

16.3.6.2.5.3 environmentalPhysicalLeg - abandonmentOfScheme

abandonmentOfScheme-Applies to U.S. Emissions Allowance Transactions. Specifies terms which apply in the event of an Abandonment of Scheme event.Applies to U.S. Emissions Allowance Transactions. Specifies terms which apply in the event of an Abandonment of Scheme event.

16.3.6.2.5.4 environmentalPhysicalLeg - deliveryDate

deliveryDate-The date on which allowances are to be delivered as specified in the related Confirmation.The date on which allowances are to be delivered as specified in the related Confirmation.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/EnvironmentalPhysicalLeg/deliveryDate.png

    • adjustableDate-A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.
    • relativeDate-A date specified as some offset to another date (the anchor date).

16.3.6.2.5.6 environmentalPhysicalLeg - failureToDeliverApplicable

failureToDeliverApplicable-Applies to EU Emissions Allowance Transactions. Holds the Failure to Deliver (Alternative Method) election. Used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied.Applies to EU Emissions Allowance Transactions. Holds the Failure to Deliver (Alternative Method) election. Used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied.

16.3.6.2.5.7 environmentalPhysicalLeg - EEPParameters

EEPParameters-Excess Emission Penalty related parameters.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/EEPParameters.png

    • eEPApplicable-If Excess Emission Penalty is specified to be applicable in the Confirmation then the Excess Emission Penalty will be determined in the manner specified in the Confirmation (see other EEP parameters)
    • riskPeriod-Used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied.
    • equivalentApplicable-When "true" the EEP Equivalent is applicable. See Part [7] definition of EEP Equivalent.
    • penaltyApplicable-When "true" the Excess Emissions Penalty is applicable. See Part [7] definition of Excess Emissions Penalty.

commodityOption-Defines a commodity option product. The product support for financially-settled exercises or exercise into physical forward contracts written on precious and non-precious metals. options in FpML is based on the creation of a 'commodityOption' product. The product references the 'commodity' underlyer in order to support the underlying asset of the option.
The product support for financially-settled or physically-settled forward (for preciouse and non-preciouse metal) options in FpML is based on the creation of a 'commodityOption' product. The product references the 'commodity' underlyer in order to support the underlying asset of the option.

All FpML products inherit two optional elements from the Product type: 'productType' and 'productId'. The 'productType' defines a classification of the type of product. FpML defines a simple product categorization using a coding scheme. The 'productId' contains a product reference identifier allocated by a party. In this case, FpML does not define the domain values associated with this element.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityOption.png

    • CommodityOption-Defines a commodity option product type. The product support for financially-settled exercises or exercise into physical forward contracts written on precious and non-precious metals. options in FpML is based on the creation of a 'commodityOption' product. The product references the 'commodity' underlyer in order to support the underlying asset of the option.
    • BuyerSeller.model-No Annotation Available
      The 'buyerPartyReference' and 'sellerPartyReference' contain references to the parties that buy or sell the instrument respectively. Buying the instrument means paying for the instrument and receiving the rights defined by it. On the other hand, selling the instrument means granting the rights defined by the instrument and in return receiving a payment for it.
    • CommodityFinancialOption.model-Items specific to financially-settled commodity options.
    • CommodityPhysicalOption.model-Items specific to financially-settled commodity options.
      For specifying physically-settled forward (preciouse and non-preciouse metal forward) options. NOTE: support for other physically-settled options within commodityOption was DEPRICATED. The commoditySwaption product, should be used instead.
    • CommodityWeatherOption.model-Described Weather Index Option component. Weather Index Option transactions are OTC derivative transactions which settle financially based on an index calculated from observations of temperature and precipitation at weather stations throughout the world. Sub-Annex C of the 2005 ISDA Commodity Definitions provides definitions and terms for a number of types of weather indices. These indices include: HDD (heating degree days), CDD (cooling degree days), CPD (critical precipitation days). Weather Index Option Transactions results in a cash flow to the buyer depending on the relationship between the Settlement Level to the Weather Index Strike Level.
    • premium-The option premium payable by the buyer to the seller.The option premium payable by the buyer to the seller.
    • CommodityContent.model-Items common to all Commodity Transactions.

The choice between 'CommodityFinancialOption.model', 'CommodityPhysicalOption.model' and 'CommodityWeatherOption.model' models allows to select the financially-settled commodity options, or physically-settled forward (precious and non-precious metal) options, or weather specific option and described below.
16.4.1 commodityOption - CommodityFinancialOption

CommodityFinancialOption.model-Items specific to financially-settled commodity options.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityFinancialOption.model.png

    • commodity-Specifies the underlying instrument. Usual content is an ISDA Commodity Reference Price Name. The 'commodity' underlyer component is specified using a reference to the 'commodity' asset (see description above at the Commodity Underlyer section).
      The 'commodity' underlyer component is specified using a reference to the 'commodity' asset (see description above at the Commodity Underlyer section).
    • CommodityOptionFeatures.model-Describes additional features within the option.
      The commodity option featuers can include asian/averagin and or barrier (see below).
    • CommodityNotionalQuantity.model-The different options for specifying the Notional Quantity. A flat notional for the term of the contract may be specified, or else the Notional Quantity per Calculation Period. In the latter case, there must be a notional quantity step specified for each Calculation Period, regardless of whether the Notional Quantity changes or remains the same between periods.
    • exercise-The parameters for defining how the commodity option can be exercised and how it is settled.
    • CommodityStrikePrice.model-The different options for specifying the Strike price per unit.
      Note that the intention is that a strike price per unit step should be specified for each Calculation Period in the trade, regardless of whether there is a change in value between two periods. This is so as to match the strike price schedule to the calculation periods as clearly as possible. The strike price per unit of the strike price per unit steps must be in chronological order (i.e the first step corresponds to the first Calculation Period, the last step to the last Calculation Period).
    • CommodityFloatingStrikePrice.model-The different options for specifying the average strike price per unit. These options are to specify a single average strike price per unit or to specify a schedule of average strike prices.

16.4.1.1 commodityOption - CommodityFinancialOption - CommodityOptionFeatures

CommodityOptionFeatures.model-Describes additional features within the option.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityOptionFeatures.model.png

    • effectiveDate-The effective date of the Commodity Option Transaction. Note that the Termination/Expiration Date should be specified in expirationDate within the CommodityAmericanExercise type or the CommodityEuropeanExercise type, as applicable.
    • terminationDate-Specifies the termination date of the Commodity Option Transaction. In some confirmations this will be indicated as the second date in "Option Term" or "Term". Note: If provided, terminationDate should not be before specified expirationDate within the CommodityAmericanExercise type or the CommodityEuropeanExercise type.
    • CommodityAsian.model-Model group containing features specific to Asian/averaging commodity options.

The commodity option featuers can include asian/averagin and or barrier:

16.4.1.1.1 commodityOption - CommodityFinancialOption - CommodityOptionFeatures - CommodityAsian

CommodityAsian.model-Model group containing features specific to Asian/averaging commodity options.

The following elements are specific to asian/averaging commodity options:

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityAsian.model.png

    • The Calculation Periods are represented explicitly with the 'calculationPeriods' element or as a parametric representation with the 'calculationPeriodsSchedule' structure.
    • The 'pricingDates' element defines the dates on which the option will price.
    • The 'averagingMethod' is present if there is more than one 'pricingDates' element.

16.4.1.1.2 commodityOption - CommodityFinancialOption - CommodityOptionFeatures - CommodityBarrier

CommodityBarrier-The specification of how a barrier option will trigger (that is, knock-in or knock-out) or expire based on the position of the spot rate relative to trigger level.

The following elements are specific to commodity barrier option:

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityBarrier.png

    • knock-The knock feature of a commodity barrier option.
    • featurePaymentAmount-In the case of barrier options where the option automatically expires and the barrier is breached in such a way to to result in a "knock-out" vent, this amount is paid to the the option holder so as to refund or rebate a portion of any premium paid.
    • trigger-No Annotation Available

16.4.1.1.2.1 commodityOption - CommodityFinancialOption - CommodityOptionFeatures - CommodityBarrier - trigger

CommodityTrigger-The barrier which, when breached, triggers the knock-in or knock-out of the barrier option.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityTrigger.png

    • CommodityTrigger-The barrier which, when breached, triggers the knock-in or knock-out of the barrier option.
    • levelQuantity-The amount used the specify the barrier in terms of an quantity of commodity or a change in the quantity of commodity. In confirmations this is often described as the "Strike Volume" or "Strike Quantity".
    • levelUnit-The units (e.g. BCF) used to specify the barrier in terms of an quantity of commodity or change in the quantity of commodity.
    • levelPercentage-A barrier expressed as a percentage of notional quantity or commodity price level.
    • triggerType-For barrier options: the specification of how an option will trigger or expire based on the position of the spot rate relative to the trigger level. For trades with selectable notionals: the specification of the conditions where one of the alternative notional values would apply.

16.4.1.2 commodityOption - CommodityFinancialOption - CommodityNotionalQuantity

As with the 'commoditySwap', the notional amount of the 'commodityOption' is specified stating either the 'notionalQuantity' or if the notional changes over the life of the transaction, then the 'notionalQuantitySchedule' is specified. In addition, the 'totalNotionalQuantity' must be specified. Note that the intention is that a notional step should be specified for each Calculation Period in the trade, regardless of whether there is a change in value between two periods. This is so as to match the notional quantity schedule to the calculation periods as clearly as possible. The notional steps must be in chronological order (i.e the first step corresponds to the first Calculation Period, the last step to the last Calculation Period).

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityNotionalQuantity.model.png

    • CommodityNotionalQuantity.model-The different options for specifying the Notional Quantity. A flat notional for the term of the contract may be specified, or else the Notional Quantity per Calculation Period. In the latter case, there must be a notional quantity step specified for each Calculation Period, regardless of whether the Notional Quantity changes or remains the same between periods.

16.4.1.3 commodityOption - CommodityFinancialOption - CommodityExercise

CommodityExercise-The parameters for defining how the commodity option can be exercised, how it is priced and how it is settled.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityExercise.png

    • americanExercise-The parameters for defining the expiration date for an American option.
    • europeanExercise-The parameters for defining the expiration date and time for a European or Asian style option. For an Asian style option the expiration date is equivalent to the termination date.
    • automaticExercise-Specifies whether or not Automatic Exercise applies to a Commodity Option Transaction.
    • writtenConfirmation-Specifies whether or not Written Confirmation applies to a Commodity Option Transaction.
    • settlementCurrency-The currency into which the Commodity Option Transaction will settle. If this is not the same as the currency in which the Commodity Reference Price is quoted, then an FX determination method should also be specified.
    • fx-FX observations to be used to convert the observed Commodity Reference Price to the Settlement Currency.
    • conversionFactor-If the Notional Quantity is specified in a unit that does not match the unit in which the Commodity Reference Price is quoted, the scaling or conversion factor used to convert the Commodity Reference Price unit into the Notional Quantity unit should be stated here. If there is no conversion, this element is not intended to be used.
    • CommodityPaymentDates.model-The different options for specifying the Payment Date. This will consist of either a set of Payment Dates or else a Payment Date schedule.

16.4.1.3.1 CommodityAmericanExercise

CommodityAmericanExercise-A type for defining exercise procedures associated with an American style exercise of a commodity option.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityAmericanExercise.png

    • exercisePeriod-Describes the American exercise periods.Describes the American exercise periods.Describes the American exercise periods.
    • exerciseFrequency-The exercise frequency for the strip.
    • latestExerciseTime-For a Bermuda or American style option, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice can be given by the buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.
    • latestExerciseTimeDetermination-Latest exercise time determination method.
    • expirationTime-The specific time of day on which the option expires.The specific time of day on which the option expires.
    • multipleExercise-The presence of this element indicates that the option may be partially exercised. It is not applicable to European or Asian options.The presence of this element indicates that the option may be partially exercised. It is not applicable to European or Asian options.

16.4.1.3.2 CommodityEuropeanExercise

CommodityEuropeanExercise-A type for defining exercise procedures associated with a European style exercise of a commodity option.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityEuropeanExercise.png

    • expirationDate-The last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period. For an averaging option this is equivalent to the Termination Date.The last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period. For an averaging option this is equivalent to the Termination Date.The last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period. For an averaging option this is equivalent to the Termination Date.
    • exerciseFrequency-The exercise frequency for the strip.
    • expirationTime-The specific time of day on which the option expires.The specific time of day on which the option expires.

16.4.2 commodityOption - CommodityWeatherOption

CommodityWeatherOption.model-Described Weather Index Option component. Weather Index Option transactions are OTC derivative transactions which settle financially based on an index calculated from observations of temperature and precipitation at weather stations throughout the world. Sub-Annex C of the 2005 ISDA Commodity Definitions provides definitions and terms for a number of types of weather indices. These indices include: HDD (heating degree days), CDD (cooling degree days), CPD (critical precipitation days). Weather Index Option Transactions results in a cash flow to the buyer depending on the relationship between the Settlement Level to the Weather Index Strike Level.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityWeatherOption.model.png

effectiveDate is an effectiveDate of a Weather Index Option.

16.4.2.1 commodityOption - CommodityWeatherOption - WeatherCalculationPeriod

WeatherCalculationPeriod.model-Descriptions of a calculation period.

Weather Index Swap and Weather Index Option transactions are OTC derivative transactions which settle financially based on a index calculated from observations of temperature and precipitation at weather stations throughout the world. Sub-Annex C of the 2005 ISDA Commodity Definitions provides definitions and terms for a number of types of weather indices. These indices include: HDD (heating degree days), CDD (cooling degree days), CPD (critical precipitation days). Weather Index Swap transactions result in a cash flow to one of the two counterparties each Calculation Period depending on the relationship between the Settlement Level and the Weather Index Level. Weather Index Option Transactions results in a cash flow to to the buyer if depending on the relationship between the Settlement Level to the Weather Index Strike Level.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/WeatherCalculationPeriod.model.png

16.4.2.1.1 WeatherCalculationPeriods

WeatherCalculationPeriods-The schedule of Calculation Period First Days and Lasts Days. If there is only one First Day - Last Day pair then the First is equal to the Effective Date and the Last Day is equal to the Termination Date.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/WeatherCalculationPeriods.png

16.4.2.3 commodityOption - CommodityWeatherOption - exercise

exercise-No Annotation Available

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityWeatherOption.model/exercise.png

    • Note: americanExercise-The parameters for defining the expiration date for an American option.
      - is not to be used with Weather Options
    • europeanExercise-The parameters for defining the expiration date and time for a European or Asian style option. For an Asian style option the expiration date is equivalent to the termination date.
    • settlementCurrency-The currency into which the Commodity Option Transaction will settle. If this is not the same as the currency in which the Commodity Reference Price is quoted, then an FX determination method should also be specified.
    • fx-FX observations to be used to convert the observed Commodity Reference Price to the Settlement Currency.
    • CommodityPaymentDates.model-The different options for specifying the Payment Date. This will consist of either a set of Payment Dates or else a Payment Date schedule.

16.4.2.3.1 paymentDates

paymentDates-Dates on which payments will be made.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityNonPeriodicPaymentDates.model/paymentDates.png

16.4.2.4 commodityOption - CommodityWeatherOption - weatherIndexStrikeLevel

weatherIndexStrikeLevel-Weather Index strike price level is specified in terms of weather index units (e.g. 1 Days, 3 Inches, etc.)

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/WeatherIndex.png

    • quantity-This is the Reference Level. The CDD, HDD or HDD Reference Level is specified as the number of (amount of) Weather Index Units specified by the parties in the related Confirmation.
    • unit-Weather Index Unit derived from one of the following variable methods of determination: Cooling Degree Day (CDD), Heating Degree Day (HDD), Critical Precipitation Day (CPD) as defined in Section 11.15 of the 2005 ISDA Commodity Definitions and User Guide.

16.4.2.5 commodityOption - CommodityWeatherOption - calculation

calculation-Contains parameters which figure in the calculation of payments on a Weather Index Option.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/WeatherLegCalculation.png

    • settlementLevel-The Settlement Level means either the cumulative number of Weather Index Units for each day in the Calculation Period (Cumulative) or the cumulative number of Weather Index Units for each day in the Calculation Period divided by the number of days in the Calculation Period (Average) or the maximum number of Weather Index Units for any day in the Calculation Period (Maximum) or the minimum number of Weather Index Units for any day in the Calculation Period.
    • referenceLevelEqualsZero-If Reference Level Equals Zero is specified to be applicable then CPD means, for any day during the Calculation Period, (A) 1 if the Daily Precipitation for that day is greater than or equal to the CPD Reference Level or (B) zero if the the Daily Precipitation for that day is less than the CPD Reference Level. If Reference Level Equals Zero is specified not to be applicable then CPD means, for any day during the Calculation Period, (A) 1 if the Daily Precipitation for that day is greater than the CPD Reference Level or 0 if the Daily Precipitation for that day is less than or equal to the CPD Reference Level.
    • calculationDate-The number of days following the final day of the Calculation Period specified in the Confirmation on which is is practicable to provide the notice that the Calculation Agent is required to give for that Settlement Date or Payment Date.
    • businessDays-A day on which commmercial banks settle payments and are open for general business in the place(s) specified in the Confirmation. See Section 1.3 of the ISDA 2005 Commodity Definitions.
    • dataCorrection-The date payment often revised after its publication, this indicates if the payment date could be recalculated.
    • correctionPeriod-If 'dataCorrection'=true, this indicates how long after the initial publication of the data corrections can be made.
    • maximumPaymentAmount-The maximum total payment amount that will be paid in any particular transaction.
    • maximumTransactionPaymentAmount-The maximum payment amount that will be paid in any particular Calculation Period.
    • rounding-Rounding direction and precision for price values.

16.4.2.6 commodityOption - CommodityWeatherOption - weatherIndexData

weatherIndexData-Specifies where the data (e.g. CPD) have been collected, an actual physical reference point (weather station) and various fall back arrangements.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/WeatherIndexData.png

    • referenceLevel-Reference level is the number of degree-days (in the case of HDD and CDD) or inches/millimeters (in the case of CPD) on which the differential is calculated. In the case of HDD it is the number of degree-days below this reference level. In the case of CDD it is the number of degree days above this reference level. In the case of CPD it is number of inches/millimeters above this reference level.
    • DataProvider-Specify as applicable. Parties may wish to refer to the state meteorological authority in a particular location or to an exchange or other third party data provider. Parties may find the definitions in the Commodity Definitions useful as a means of identifying potential Data Providers.
    • finalEditedData-If specified by the parties to apply in the related Confirmation, Final Edited Data means that the parties will have recourse to Primary Disruption Fallbacks even if relevant data is available from the Data Provider, so long as such data is not published in its final edited form. Otherwise the parties will have recourse to Primary Disruption Fallbacks only if relevant data is unavailable from the Data Provider on a relevant day.
    • weatherStation-The source or sources of weather index data specified by the parties in the related Confirmation. Examples include: AU-CBM (the Commonwealth Bureau of Meteorology in Australia) and CM-SMI (the Swiss Meteorological Institute).
    • finalEditedData-If specified by the parties to apply in the related Confirmation, Final Edited Data means that the parties will have recourse to Primary Disruption Fallbacks even if relevant data is available from the Data Provider, so long as such data is not published in its final edited form. Otherwise the parties will have recourse to Primary Disruption Fallbacks only if relevant data is unavailable from the Data Provider on a relevant day.
    • weatherStationFallback-If weather index data is not available for the weather station specified by the parties in the related Confirmation, the first alternative Weather Index Station.
    • weatherStationSecondFallback-If weather index data is neither available for the weather station specified by the parties in the related Confirmation nor the first alternative Weather Index Station, the second alternative Weather Index Station.
    • alternativeDataProvider-A provider of either temperature data or precipitation data specified by the parties in the related Confirmation. If the parties fail to specify an Alternative Data Provider, the "Fallback Data" Disruption Fallback will not apply.
    • synopticDataFallback-If the parties specify "Not Applicable", the "Synoptic Data" Disruption Fallback will not apply. Synoptic Data means that maximum and/or minimum temperature or daily precipitation at the location for the Missing Data Day will be the maxium and/or minimum temperature or daily precipitation for that day at the Location (Weather Index Station) which has not been subject to ultimate quality control, integrity or verification process.
    • adjustmentToFallbackWeatherStation-The Weather Index Station from which data with which to apply the "Adjustement to Fallback Station Data" terms. See Section 11.20 of the 2005 ISDA Commodity Definitions.
    • primaryDisruptionFallbacks-A list of actions available to the parties should a Primary Disruption Event occur. A Primary Disruption Event means if maximum or minimum temperature or precipitation data for a Missing Data Day is required to determine a Payment Amount then the maximum and/or minimum temperature or the daily precipitation for that day will be determined in accordance with the first applicable Primary Disruption Fallback.
    • secondaryDisruptionFallbacks-A list of actions available to the parties should a Secondary Disruption Event occur. A Primary Disruption Event means if maximum or minimum temperature or precipitation data for a Missing Data Day is required to determine a Payment Amount then the maximum and/or minimum temperature or the daily precipitation for that day will be determined in accordance with the first applicable Secondary Disruption Fallback.

16.4.2.6.1 WeatherStation

WeatherStation-Weather Station.

The same content applies to 'weatherStationFallback' and 'weatherStationSecondFallback'.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/WeatherStation.png

16.4.3 commodityOption - CommodityPhysicalOption

CommodityPhysicalOption.model-Items specific to financially-settled commodity options.

The approach is similar to that used for interest rate swaptions by embedding a physically-settled precious and non-precious metal forward transaction within the option transaction. So that the exercise of an option results in a new physically-settled forward transaction.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityPhysicalOption.model.png

    • commodityForward-Defines a commodity forward product.
    • physicalExercise-The parameters for defining how the commodity option can be exercised into a physical transaction.

The 'commodityForward' component is described in the 'Commodity Forward' section below.

The 'physicalExercise' component is the same as for physically-settled commodity options described in the 'commoditySwaption' section below.

NOTE: support for other physically-settled options within 'commodityOption' is DEPRICATED. The 'commoditySwaption' product should be used instead.

The commodityBasketOption defines a commodity basket option product

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityBasketOption.png

16.5.1 commodityBasketOption - CommodityBasketOptionFeatures.model

Describes additional features within the Basket option

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityBasketOptionFeatures.model.png

    • CommodityBasketOptionFeatures.model-Describes the features a commodity basket option.
    • effectiveDate-The effective date of the Commodity Option Transaction. Note that the Termination/Expiration Date should be specified in expirationDate within the CommodityAmericanExercise type or the CommodityEuropeanExercise type, as applicable.
    • terminationDate-Specifies the termination date of the Commodity Option Transaction. In some confirmations this will be indicated as the second date in "Option Term" or "Term". Note: If provided, terminationDate should not be before specified expirationDate within the CommodityAmericanExercise type or the CommodityEuropeanExercise type.
    • calculationPeriodsSchedule-A parametric representation of the Calculation Periods of the Commodity Option Transaction.
    • calculationPeriods-An absolute representation of the Calculation Period start dates of the Commodity Option Transaction.

16.5.2 commodityBasketOption - notionalQuantityBasket

Describes notional quantity basket.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityBasketByNotional.png

    • CommodityBasketByNotional-No Annotation Available
    • underlying-Indicates the role of the option buyer with regard to this underlyer.Indicates the role of the option buyer with regard to this underlyer.

16.5.3 commodityBasketOption - notionalAmountBasket

Describes notional amount basket.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityBasketByPercentage.png

16.5.4 commodityBasketOption - CommodityStrikePrice.model

Describes strike price.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityStrikePrice.model.png

16.5.5 commodityBasketOption - CommodityFloatingStrikePrice.model

Describes floating strike price.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityFloatingStrikePrice.model.png

16.5.6 commodityBasketOption - Exercise

exercise

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityExerciseBasket.png

    • CommodityExerciseBasket-The parameters for defining how the commodity option can be exercised, how it is priced and how it is settled.
    • americanExercise-The parameters for defining the exercise period for an American style option together with the rules governing the quantity of the commodity that can be exercised on any given exercise date.
    • europeanExercise-The parameters for defining the expiration date and time for a European or Asian style option. For an Asian style option the expiration date is equivalent to the termination date.
    • automaticExercise-Specifies whether or not Automatic Exercise applies to a Commodity Option Transaction.
    • writtenConfirmation-Specifies whether or not Written Confirmation applies to a Commodity Option Transaction.
    • settlementCurrency-The currency into which the Commodity Option Transaction will settle. If this is not the same as the currency in which the Commodity Reference Price is quoted, then an FX determination method should also be specified.
    • CommodityPaymentDates.model-The different options for specifying the Payment Date. This will consist of either a set of Payment Dates or else a Payment Date schedule.

16.5.7 commodityBasketOption - Premium

premium

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityPremium.png

16.5.8 commodityBasketOption - CommodityContent.model

CommodityContent.model

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityContent.model.png

The commodityDigitalOption defines a commodity digital option product

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityDigitalOption.png

    • CommodityDigitalOption-Defines the digital commodity option product type. Digital options exercise when a barrier is breached and are financially settled. The 'commodityDigitalOption' type is an extension of the 'commodityOption' product.
    • optionType-The type of option transaction.The type of option transaction.
      e.g. a call option or a put option.
    • commodity-Specifies the underlying instrument. Usual content is an ISDA Commodity Reference Price Name. The 'commodity' underlyer component is specified using a reference to the 'commodity' asset (see description above at the Commodity Underlyer section).Specifies the underlying instrument. Usual content is an ISDA Commodity Reference Price Name. The 'commodity' underlyer component is specified using a reference to the 'commodity' asset (see description above at the Commodity Underlyer section).
    • CommodityDigitalOptionFeatures.model-Describes features of the digital option.
    • notionalAmount-Volume contracted when volume is specified as a currency-denominated amount.
    • notionalQuantity-No Annotation Available
    • totalNotionalQuantity-No Annotation Available
    • exercise-The parameters for defining how the commodity option can be exercised and how it is settled.The parameters for defining how the commodity option can be exercised and how it is settled.
    • CommodityStrikePrice.model-The different options for specifying the Strike price per unit.
    • premium-The option premium payable by the buyer to the seller.The option premium payable by the buyer to the seller.
    • CommodityContent.model-Items common to all Commodity Transactions.

16.6.1 commodityDigitalOption - CommodityDigitalOptionFeatures.model

Specific to financially-settled commodity digital options

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityDigitalOptionFeatures.model.png

    • CommodityDigitalOptionFeatures.model-Describes features of the digital option.
    • effectiveDate-The effective date of the Commodity Option Transaction. Note that the Termination/Expiration Date should be specified in expirationDate within the CommodityAmericanExercise type or the CommodityEuropeanExercise type, as applicable.
    • terminationDate-Specifies the termination date of the Commodity Option Transaction. In some confirmations this will be indicated as the second date in "Option Term" or "Term". Note: If provided, terminationDate should not be before specified expirationDate within the CommodityAmericanExercise type or the CommodityEuropeanExercise type.
    • CommodityAsian.model-Model group containing features specific to Asian/averaging commodity options.
    • digital-The barrier and cash payout features of the digital option.

16.6.1.1 commodityDigitalOption - CommodityDigitalOptionFeatures.model - digital

Specific the commodity digital options' barrier:

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityDigital.png

    • CommodityDigital-Defined the conditions under which the digital option can triggers and, if triggered, what payment results.
    • trigger-No Annotation Available
    • featurePaymentAmount-The cash payment that is made when the digital barrier is breached.

16.6.1.1.1 commodityDigitalOption - CommodityDigitalOptionFeatures.model - Digital - Commodity Trigger

Trigger point at which feature is effective.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityTrigger.png

    • CommodityTrigger-The barrier which, when breached, triggers the knock-in or knock-out of the barrier option.
    • levelQuantity-The amount used the specify the barrier in terms of an quantity of commodity or a change in the quantity of commodity. In confirmations this is often described as the "Strike Volume" or "Strike Quantity".
    • levelUnit-The units (e.g. BCF) used to specify the barrier in terms of an quantity of commodity or change in the quantity of commodity.
    • levelPercentage-A barrier expressed as a percentage of notional quantity or commodity price level.
    • triggerType-For barrier options: the specification of how an option will trigger or expire based on the position of the spot rate relative to the trigger level. For trades with selectable notionals: the specification of the conditions where one of the alternative notional values would apply.

16.6.2 commodityDigitalOption - Exercise

exercise

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityDigitalExercise.png

    • CommodityDigitalExercise-The parameters for defining how the commodity digital option can be exercised. I differs from the CommodityExercise type in that it lacks a specification of Settlement Currency. The Settlement Currency is specified in the 'featurePayment' element.
    • americanExercise-The parameters for defining the expiration date for an American option.
    • europeanExercise-The parameters for defining the expiration date and time for a European or Asian style option. For an Asian style option the expiration date is equivalent to the termination date.
    • automaticExercise-Specifies whether or not Automatic Exercise applies to a Commodity Option Transaction.
    • writtenConfirmation-Specifies whether or not Written Confirmation applies to a Commodity Option Transaction.
    • settlementCurrency-No Annotation Available
    • CommodityPaymentDates.model-The different options for specifying the Payment Date. This will consist of either a set of Payment Dates or else a Payment Date schedule.

16.6.3 commodityDigitalOption - Premium

premium

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityPremium.png

16.6.4 commodityDigitalOption - CommodityContent.model

CommodityContent.model

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityContent.model.png

The commoditySwaption is specific to physically-settled commodity options:

All FpML products inherit two optional elements from the Product type: 'productType' and 'productId'. The 'productType' defines a classification of the type of product. FpML defines a simple product categorization using a coding scheme. The 'productId' contains a product reference identifier allocated by a party. In this case, FpML does not define the domain values associated with this element.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommoditySwaption.png

    • CommoditySwaption-Commodity Swaption.
    • BuyerSeller.model - a complex group containing information on the identities of the parties to the transaction and the account information of each party.
    • optionType-The type of option transaction.The type of option transaction.
      e.g. a call option or a put option.
    • commoditySwap-The underlying commodity swap definiton.The underlying commodity swap definiton.
    • physicalExercise-The parameters for defining how the commodity option can be exercised into a physical transaction.The parameters for defining how the commodity option can be exercised into a physical transaction.
    • premium-The option premium payable by the buyer to the seller.The option premium payable by the buyer to the seller.
    • CommodityContent.model-Items common to all Commodity Transactions.

16.7.1 commoditySwaption - CommoditySwapDetails

The approach is similar to that used for interest rate swaptions by embedding a physically-settled swap transaction within the option transaction. So that the exercise of an option results in a new physically-settled swap transaction.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommoditySwapDetails.model.png

    • effectiveDate-Specifies the effective date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the effective date of the other leg of the swap.
    • terminationDate-Specifies the termination date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the termination date of the other leg of the swap.
    • settlementCurrency-The currency into which the Commodity Swap Transaction will settle. If this is not the same as the currency in which the Commodity Reference Price is quoted on a given floating leg of the Commodity Swap Transaction, then an FX rate should also be specified for that leg.
    • commoditySwapLeg-Defines the substitutable commodity swap leg
    • weatherLeg-A weather leg element of a Commodity Swap defines Weather Index Swap transactions. Weather Index Swap transactions are OTC derivative transactions which settle financially based on an index calculated from observations of temperature, precipitation and other weather-related measurements at weather stations throughout the world. Sub-Annex C of the 2005 ISDA Commodity Definitions provides definitions and terms for a number of types of weather indices. These indices include: HDD (heating degree days), CDD (cooling degree days), CPD (critical precipitation days). Weather Index Swap transactions result in a cash flow to one of the two counterparties each Calculation Period depending on the relationship between the Settlement Level and the Weather Index Level. A Weather Index swap transaction always consists of a commodity swap element as a parent to two weatherLeg elements.
    • CommodityContent.model-Items common to all Commodity Transactions.

16.7.2 commoditySwaption - physicalExercise

physicalExercise-The parameters for defining how the commodity option can be exercised into a physical transaction.The parameters for defining how the commodity option can be exercised into a physical transaction.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommoditySwaption/physicalExercise.png

    • CommodityPhysicalExercise-The parameters for defining how the physically-settled commodity option can be exercised and how it is settled.
    • americanExercise-The parameters for defining the expiration date(s) and time(s) for an American style option.
    • europeanExercise-The parameters for defining the expiration date(s) and time(s) for a European style option.
    • automaticExercise-Specifies whether or not Automatic Exercise applies to a Commodity Option Transaction.
    • writtenConfirmation-Specifies whether or not Written Confirmation applies to a Commodity Option Transaction.

16.7.3 commoditySwaption - premium

premium-The option premium payable by the buyer to the seller.The option premium payable by the buyer to the seller.
Should the premium differ over the course of an Asian options life (e.g. because delivery is per calendar day which is reflected in the premium), a premium schedule should be specified. Note that the intention is that a premium step should be specified for each Calculation Period in the trade, regardless of whether there is a change in value between two periods. This is so as to match the premium schedule to the calculation periods as clearly as possible. The premium steps must be in chronological order (i.e the first step corresponds to the first Calculation Period, the last step to the last Calculation Period).

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommoditySwaption/premium.png

    • CommodityPremium-The commodity option premium payable by the buyer to the seller.
    • PayerReceiver.model-No Annotation Available
    • paymentDate-The payment date, which can be expressed as either an adjustable or relative date.The payment date, which can be expressed as either an adjustable or relative date.
    • paymentAmount-Non negative payment amount.Non negative payment amount.
    • premiumPerUnit - Not used in Swaptions

16.7.4 commoditySwaption - CommodityContent

CommodityContent.model-Items common to all Commodity Transactions.
The 'commonPricing', 'marketDisruption', and 'rounding' elements are common across all commodity transactions. For a detailed description of them see the commoditySwap section.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityContent.model.png

    • commonPricing-If Common Pricing is elected (“true”) for a Transaction with referencing more than one Commodity Reference Price then no date will be a Pricing Date unless such a date is a day on which all Commodity Reference Prices are scheduled to be published.
    • marketDisruption-Contains contract terms related to triggers and responses to market disruptions as defined in the 1993 or 2005 Commodity Definitions.
    • settlementDisruption-Describes contract terms related to the consequences of Bullion Settlement Disruption Events.
    • rounding-Rounding direction and precision for amounts.

The commodityForward product element supports the representation of Precious and Non-Precious metal Forwards. Whilst some commodity forwards are booked as single period swaps, precious forwards are extremely basic trades and are confirmed under a different ISDA confirmation template

Even though the initial scope is limited to Precious and Non-Precious Forward, the intention of the working group is to allow support for other commodity classes should this be required.

schemaDocumentation/schemas/fpml-com-5-6_xsd/elements/commodityForward.png

    • valueDate-Specifies the value date of the Commodity Forward Transaction. This is the day on which both the cash and the physical commodity settle.Specifies the value date of the Commodity Forward Transaction. This is the day on which both the cash and the physical commodity settle.
    • fixedLeg-The fixed leg of a Commodity Forward Transaction.
    • averagePriceLeg-Specifies the calculated floating price leg of a Commodity Forward Transaction.
    • commodityForwardLeg-Defines the substitutable commodity forward leg.
    • CommodityContent.model-Items common to all Commodity Transactions.

16.8.1 commodityForward - fixedLeg

The fixed payment of the Commodity Forward product is represented using the fixedLeg element of type NonPeriodicFixedPriceLeg.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityForward/fixedLeg.png

    • PayerReceiver.model - a complex group containing references to the identity of the paying party, the receiving party and the accounts used by each.
    • fixedPrice-Fixed price on which fixed payments are based.Fixed price on which fixed payments are based.
    • totalPrice-The total amount of the fixed payment for all units of the underlying commodity.The total amount of the fixed payment for all units of the underlying commodity.
    • quantityReference-A pointer style reference to a quantity defined on another leg.A pointer style reference to a quantity defined on another leg.
    • CommodityPaymentDates.model-The different options for specifying the Payment Date. This will consist of either a set of Payment Dates or else a Payment Date schedule.

16.8.2 commodityForward - averagePriceLeg

averagePriceLeg-Specifies the calculated floating price leg of a Commodity Forward Transaction.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityForward/averagePriceLeg.png

    • AveragePriceLeg-The average price leg of an average price commodity bullion or non-precious metal forward transaction.
    • PayerReceiver.model - a complex group containing references to the identity of the paying party, the receiving party and the accounts used by each.
    • CommodityCalculationPeriods.model-The different options for specifying the Calculation Periods.
    • commodity-Identifies the underlying asset when it is a listed commodity.
    • quantityReference-A pointer to a specification of quantity defined elsewhere.A pointer to a specification of quantity defined elsewhere.
    • pricingStartDate-Defines the Start of the Pricing period. PricingStartDate is optional when discrete pricingDates are supplied and is not recommended to be included. Should they coexist, pricingStartDate is expected to be the same as the earliest pricing date or earlier for a Term deal as the discrete dates will take precedence.Defines the Start of the Pricing period. PricingStartDate is optional when discrete pricingDates are supplied and is not recommended to be included. Should they coexist, pricingStartDate is expected to be the same as the earliest pricing date or earlier for a Term deal as the discrete dates will take precedence.
    • calculation-Captures details relevant to the calculation of the floating price.Captures details relevant to the calculation of the floating price.
    • CommodityPaymentDates.model-The different options for specifying the Payment Date. This will consist of either a set of Payment Dates or else a Payment Date schedule.

The 'commodityForwardLeg' element is placeholder within commodityForward structure for the actual Precious and Non-Precious metal legs (e.g. bullionPhysicalLeg and metalPhysicalLeg).
16.8.3 commodityForward - bullionPhysicalLeg

The intention of the new leg is to re-use as many existing commodity components as possible to achieve a flexible implementation of a forward that will be adaptable for use with further commodity classes.

Consequently, the BullionPhysicalLeg component will be a member of a choice group such that further commodity types can be added over time.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/BullionPhysicalLeg.png

BullionPhysicalLeg-Physically settled leg of a physically settled Bullion Transaction.

16.8.4 commodityForward - metalPhysicalLeg

metalPhysicalLeg-Physically settled metal products leg.

schemaDocumentation/schemas/fpml-com-5-6_xsd/elements/metalPhysicalLeg.png

    • MetalPhysicalLeg-Physically settled leg of a physically settled Metal transaction.
    • metal-The specification of the Metal Product to be delivered.The specification of the Metal Product to be delivered.
    • conversionFactor-If the Notional Quantity is specified in a unit that does not match the unit in which the Commodity Reference Price is quoted, the scaling or conversion factor used to convert the Commodity Reference Price unit into the Notional Quantity unit should be stated here. If there is no conversion, this element is not intended to be used.If the Notional Quantity is specified in a unit that does not match the unit in which the Commodity Reference Price is quoted, the scaling or conversion factor used to convert the Commodity Reference Price unit into the Notional Quantity unit should be stated here. If there is no conversion, this element is not intended to be used.
    • deliveryConditions-The physical delivery arrangements and requirements for a physically settled non-precious metal transaction.The physical delivery arrangements and requirements for a physically settled non-precious metal transaction.
    • CommodityFixedPhysicalQuantity.model-The different options for specifying a fixed physical quantity of commodity to be delivered.
    • conversionFactor-If the Notional Quantity is specified in a unit that does not match the unit in which the Commodity Reference Price is quoted, the scaling or conversion factor used to convert the Commodity Reference Price unit into the Notional Quantity unit should be stated here. If there is no conversion, this element is not intended to be used.If the Notional Quantity is specified in a unit that does not match the unit in which the Commodity Reference Price is quoted, the scaling or conversion factor used to convert the Commodity Reference Price unit into the Notional Quantity unit should be stated here. If there is no conversion, this element is not intended to be used.

16.8.4.1 commodityForward - metalPhysicalLeg - metal

metal-The specification of the Metal Product to be delivered.The specification of the Metal Product to be delivered.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/Metal.png

    • material-The types of metal product for a physically settled metal trade.
    • shape-The physical shape(s) which can be delivered in Seller's option.
    • brand-The brand(s) of material which can be delivered in Seller's option.
    • grade-The grade(s) of material which can be delivered in seller's option.

16.8.4.2 commodityForward - metalPhysicalLeg - deliveryPeriods

deliveryPeriods-The period during which delivery/deliveries of Metal may be scheduled.The period during which delivery/deliveries of Metal may be scheduled.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/CommodityDeliveryPeriods.png

    • periods-The Delivery Periods for this leg of the swap. This type is only intended to be used if the Delivery Periods differ from the Calculation Periods on the fixed or floating leg. If DeliveryPeriods mirror another leg, then the calculationPeriodsReference element should be used to point to the Calculation Periods on that leg - or the calculationPeriodsScheduleReference can be used to point to the Calculation Periods Schedule for that leg.
    • periodsSchedule-The Delivery Periods for this leg of the swap. This type is only intended to be used if the Delivery Periods differ from the Calculation Periods on the fixed or floating leg. If DeliveryPeriods mirror another leg, then the calculationPeriodsReference element should be used to point to the Calculation Periods on that leg - or the calculationPeriodsScheduleReference can be used to point to the Calculation Periods Schedule for that leg.
    • CommodityCalculationPeriodsPointer.model-Model group enables users to reference a Calculation Periods schedule in the form of a series of actual dates in a calculationPeriods container or in the form of a parameterized schedule in a calculationPeriodsSchedule container.

16.8.4.3 commodityForward - metalPhysicalLeg - deliveryConditions

deliveryConditions-The physical delivery arrangements and requirements for a physically settled non-precious metal transaction.The physical delivery arrangements and requirements for a physically settled non-precious metal transaction.

schemaDocumentation/schemas/fpml-com-5-6_xsd/complexTypes/MetalDelivery.png

    • MetalDelivery-The physical delivery conditions for the transaction.
    • deliveryLocation-The Delivery Point for a physically settled non-precious metal transaction.
    • risk-"Risk of loss" may also be used, equivalently, on confirmation documents.
    • totalQuantityTolerance-The +/- percent tolerance in seller's option which applies to the total quantity delivered over all shipment periods.
    • periodQuantityTolerance-The +/- percentage quantity tolerance in seller's option which applied to each shipment period.
    • title-Describes how and when title to the commodity transfers.

16.8.4.4 commodityForward - metalPhysicalLeg - CommodityFixedPhysicalQuantity.model

CommodityFixedPhysicalQuantity.model-The different options for specifying a fixed physical quantity of commodity to be delivered.

schemaDocumentation/schemas/fpml-com-5-6_xsd/groups/CommodityFixedPhysicalQuantity.model.png

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