FpML Issues Tracker
closed
Tweak
Always
Coding Scheme
5.13 Second Working Draft (Build 2)
XAPWG
mgratacos
jbaserba
Summary
CDM already supports required concepts. The element needs to be added in FpML to support input data to then develop test for modelling approach. The proposal is to add a new LastAvailableSpotPrice value to the measure type coding scheme.
Notes:
mgratacos
04/06/23 8:18 am
Proposal sent to the FpML XAPWG.
JasonPolis
04/26/23 1:20 pm
MG to ask ISDA (Andrew Bailey) to clarify definition in EMIR with ESMA.
JasonPolis
04/26/23 1:45 pm
For commodity basis swaps, the CDE Notional Amount definition states: Commodity basis swaps and similar products: Product
of the last available spot price at the time of the transaction of the underlying asset of the leg with no spread and the total notional quantity of the leg with no spread.”
mgratacos
05/02/23 11:40 am
For commodity basis swaps, the CDE Notional Amount definition states: Commodity basis swaps and similar products: Product of the last available spot price at the time of the transaction of the underlying asset of the leg with no spread and the total notional quantity of the leg with no spread.”
We did check with the commodities SME from a bank and the way they compute the Last Available Spot Price is quite specific to them. I cannot share how they do it but based on the specificity of the computation I’d suggest leaving the description generic as “The Last Available Spot Price of the underlyer.”
mgratacos
05/02/23 12:38 pm
The updated description of the scheme value should be: The last available spot price at the time of the transaction of the underlying asset with no spread.
mgratacos
06/23/23 10:16 am
The new code was published on June 21, 2023 as part of the new version of the asset measure scheme.