fpml:commoditySwap

Defines a commodity swap product.

Element information

Content

• Sequence [1..1]
  from type fpml:Product
  from group fpml:Product.model
  Sequence [0..1]
  1. fpml:primaryAssetClass [0..1]    A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.
  2. fpml:secondaryAssetClass [0..*]    A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.
  3. fpml:productType [0..*]    A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
  4. fpml:productId [0..*]    A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the "UPI" (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list.
  5. fpml:embeddedOptionType [0..2]    Describes the type of any embedded optionality in the transaction that might not otherwise be apparent. Can be used to represent embedded optionality such as early termination provisions, extendible provisions, or cancelable provisions, etc., where applicable. If omitted, no embedded optionality is applicable.
  from group fpml:CommoditySwapDetails.model
  fpml:effectiveDate [1..1]    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.
  fpml:terminationDate [1..1]    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.
  fpml:settlementCurrency [0..1]    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.
  Choice [1..1]
  • Choice [2..2]
    from subst. group fpml:commoditySwapLeg
    fpml:coalPhysicalLeg    Physically settled coal leg.
    fpml:electricityPhysicalLeg    Physically settled electricity leg.
    fpml:environmentalPhysicalLeg    Physically settled environmental leg.
    fpml:fixedLeg    Fixed Price Leg.
    fpml:floatingLeg    Floating Price leg.
    fpml:gasPhysicalLeg    Physically settled natural gas leg.
    fpml:oilPhysicalLeg    Physically settled oil or refined products leg.
  • fpml:weatherLeg [2..2]    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.

Attributes

Used in

• Type fpml:Strategy
• Type fpml:PhysicalSettlement (Element fpml:physicalSettlement)
• Type fpml:Trade (Elements fpml:trade, fpml:originalTrade, fpml:resultingTrade, fpml:trade, fpml:originalTrade, fpml:oldTrade, fpml:trade, fpml:feeTrade, fpml:newTrade, fpml:oldTrade, fpml:trade, fpml:trade)

Substitution hierarchy

• fpml:product
  • can be substituted with fpml:commoditySwap

Sample instance

<commoditySwap>
   <primaryAssetClass>Commodity</primaryAssetClass>
   <productType>Commodity:Energy:NatGas:Swap:Cash</productType>
   <effectiveDate>
      <adjustableDate>
         <unadjustedDate>2006-07-01</unadjustedDate>
      </adjustableDate>
   </effectiveDate>
   <terminationDate>
      <adjustableDate>
         <unadjustedDate>2006-07-31</unadjustedDate>
      </adjustableDate>
   </terminationDate>
   <fixedLeg>
      <fixedPrice>
         <price>6.295</price>
         <priceCurrency>USD</priceCurrency>
         <priceUnit>MMBTU</priceUnit>
      </fixedPrice>
      <notionalQuantity>
         <quantityUnit>MMBTU</quantityUnit>
      </notionalQuantity>
      <totalNotionalQuantity>77500.0</totalNotionalQuantity>
   </fixedLeg>
   <floatingLeg>
      <calculationPeriodsSchedule id="floatingLegCalculationPeriods">
         <periodMultiplier>1</periodMultiplier>
         <period>M</period>
      </calculationPeriodsSchedule>
      <commodity>
         <instrumentId instrumentIdScheme="http://www.fpml.org/coding-scheme/commodity-reference-price-1-0">NATURAL GAS-HENRY HUB-NYMEX</instrumentId>
         <specifiedPrice>Settlement</specifiedPrice>
         <deliveryDates>FirstNearby</deliveryDates>
      </commodity>
      <notionalQuantity>
         <quantityUnit>MMBTU</quantityUnit>
      </notionalQuantity>
      <totalNotionalQuantity>77500.0</totalNotionalQuantity>
      <calculation>
         <pricingDates>
            <dayDistribution>Last</dayDistribution>
         </pricingDates>
      </calculation>
   </floatingLeg>
</commoditySwap>