CommodityOption

Defines a commodity option product.

Nested view
Tree view

Field	Type	Description	Print form title	FFSM title	Properties	Conditions
primaryAssetClass	AssetClass	A classification of the most important risk class of the trade.	Primary asset class.		0-1, ncf	At the first stage this element is not used in the repository messages.
secondaryAssetClass	AssetClass	A classification of additional risk classes of the trade, if any.	Secondary asset class.		0-∞, ncf	At the first stage this element is not used in the repository messages.
productType	ProductType	A classification of the type of product.	Product type.	Derivative instrument type.	0-∞, mre, mfr	This element is mandatory for NSD messages, except for messages, related to master agreement registration.
productId	ProductId	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.	Derivatives classification code.	Classification code of the derivative financial instrument.	0-∞, mre, mfr	Mandatory field for NSD messages, except for messages, related to the registration of master agreements, repo transactions and quarterly representation of trades exercised within 4 working days period. This is used to hold classification codes for derivatives transactions required by FFMS.
embeddedOptionType	EmbeddedOptionType	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.	Embedded option type.		0-2, ncf	Optional field for NSD repository messages. It is not used in messages, related to the registration of master agreements and quarterly representation of trades exercised within 4 working days period. This is used only if trade terms include embedded option of a type specified in the coding scheme. At the first stage this element is not used in the repository messages.
@id	xsd:ID				1-1
buyerPartyReference	PartyReference	A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.	Buyer party.	Party code.	0-1, mre, mfr
buyerAccountReference	AccountReference	A reference to the account that buys this instrument.	Buyer's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
sellerPartyReference	PartyReference	A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.	Seller party.	Party code.	0-1, mre, mfr
sellerAccountReference	AccountReference	A reference to the account that sells this instrument.	Seller's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
optionType	PutCallEnum	The type of option transaction.	Option type.		0-1, ncf
Choice begin
Branch1
commodity	Commodity	Specifies the underlying component. At the time of the initial schema design, only underlyers of type Commodity are supported; the choice group in the future could offer the possibility of adding other types later.	Commodity underlier.		1-1, mre
effectiveDate	AdjustableOrRelativeDate	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.	Effective date.	Effective date / Start date.	0-1, ncf
terminationDate	AdjustableOrRelativeDate	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.	Termination date.	Termination date.	0-1, ncf
Choice begin
Branch1
calculationPeriodsSchedule	CommodityCalculationPeriodsSchedule	A parametric representation of the Calculation Periods of the Commodity Option Transaction.	Calculation periods schedule.		1-1, mre
Branch2
calculationPeriods	AdjustableDates	An absolute representation of the Calculation Period start dates of the Commodity Option Transaction.	Calculation periods.		1-1, mre
Choice end
pricingDates	CommodityPricingDates	The dates on which the option will price.	Pricing dates.		0-1, ncf
averagingMethod	AveragingMethodEnum	The Method of Averaging if there is more than one Pricing Date.	Averaging method.		0-1, ncf
Choice begin
Branch1
Choice begin
Branch1
notionalQuantitySchedule	CommodityNotionalQuantitySchedule	Allows the documentation of a shaped notional trade where the notional changes over the life of the transaction.	Notional quantity schedule.		1-1, mre, afr
Branch2
notionalQuantity	CommodityNotionalQuantity	The Notional Quantity.	Notional.	Notional amount / Total notional quantity.	1-1, mre, afr
Branch3
settlementPeriodsNotionalQuantity	CommoditySettlementPeriodsNotionalQuantity	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.	Settlement periods notional quantity.		1-∞, ncf	At the first stage the repository doesn't use references to periods and dates.
Choice end
totalNotionalQuantity	xsd:decimal	The Total Notional Quantity.	Total notional quantity.	Notional amount / Total notional quantity.	1-1, mre, mfr
Branch2
quantityReference	QuantityReference	A pointer style reference to a quantity defined on another leg.	Quantity reference.		1-1, ncf
Choice end
exercise	CommodityExercise	The parameters for defining how the commodity option can be exercised and how it is settled.	Option exercise.		0-1, mre
Choice begin
Branch1
Choice begin
Branch1
strikePricePerUnit	NonNegativeMoney	The currency amount of the strike price per unit.	Strike price per unit.	Strike price.	1-1, mre
Branch2
strikePricePerUnitSchedule	CommodityStrikeSchedule	Strike price per unit schedule.	Strike price per unit schedule.	Strike price.	1-1, ncf
Choice end
Branch2
Choice begin
Branch1
floatingStrikePricePerUnit	FloatingStrikePrice	The calculated currency amount of the strike price per unit.	Floating strike price per unit.		1-1, mre
Branch2
floatingStrikePricePerUnitSchedule	CommodityCalculationPeriodsSchedule	Floating strike price per unit schedule.	Floating strike price schedule.		1-1, ncf
Choice end
Choice end
Branch2
Choice begin
Branch1
commoditySwap	CommoditySwap	Defines a commodity swap product.	Commodity swap.		1-1
Branch2
commodityForward	CommodityForward	Defines a commodity forward product.	Commodity forward.		1-1
Choice end
physicalExercise	CommodityPhysicalExercise	The parameters for defining how the commodity option can be exercised into a physical transaction.	Physical exercise.		0-1, mre
Branch3
effectiveDate	AdjustableOrRelativeDate	Effective date of an option.	Effective date.	Effective date / Start date.	0-1, ncf
Choice begin
Branch1
weatherCalculationPeriods	WeatherCalculationPeriods	The schedule of Weather Calculation Periods. If there is only one Calculation Period then the First Day of the Calculation Period is equal to the Effective Date and the Last Day of the Calculation Period is equal to the Termination Date.	Weather calculation periods.		1-1, mre
Branch2
weatherCalculationPeriodsReference	CalculationPeriodsReference	Weather calculation periods reference.	Weather calculation periods reference.		1-1, ncf	At the first stage the repository doesn't use references to periods and dates.
Choice end
weatherNotionalAmount	NonNegativeMoney	Defines the price per weather index unit.	Weather notional amount.		0-1, mre
exercise	CommodityExercise	The parameters for defining how the commodity option can be exercised and how it is settled.	Option exercise.		0-1, mre
weatherIndexStrikeLevel	WeatherIndex	Weather Index strike price level is specified in terms of weather index units (e.g. 1 Days, 3 Inches, etc.)	Weather index strike level.		0-1, mre
calculation	WeatherLegCalculation	Contains parameters which figure in the calculation of payments on a Weather Index Option.	Weather index value calculation.		0-1, ncf
weatherIndexData	WeatherIndexData	Specifies where the data (e.g. CPD) have been collected, an actual physical reference point (weather station) and various fall back arrangements.	Weather index data.		0-1, ncf	At the first stage this element is not used in the repository messages.
Choice end
premium	CommodityPremium	The option premium payable by the buyer to the seller.	Option premium.	Option premium.	0-∞, mre
commonPricing	xsd:boolean	Common pricing may be relevant for a Transaction that references more than one Commodity Reference Price. If Common Pricing is not specified as applicable, it will be deemed not to apply.	Common pricing.		0-1, mfr
marketDisruption	CommodityMarketDisruption	Market disruption events as defined in the ISDA 1993 Commodity Definitions or in ISDA 2005 Commodity Definitions, as applicable.	Market disruption events.		0-1, ncf	At the first stage this element is not used in the repository messages.
settlementDisruption	CommodityBullionSettlementDisruptionEnum	The consequences of Bullion Settlement Disruption Events.	Settlement disruption events.		0-1, ncf	At the first stage this element is not used in the repository messages.
rounding	Rounding	Rounding direction and precision for amounts.	Rounding.		0-1

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CommodityOption

productType(ProductType)

	This element is mandatory for NSD messages, except for messages, related to master agreement registration.
	A classification of the type of product.
	Derivative instrument type.

productId(ProductId)

	Mandatory field for NSD messages, except for messages, related to the registration of master agreements, repo transactions and quarterly representation of trades exercised within 4 working days period. This is used to hold classification codes for derivatives transactions required by FFMS.
	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.
	Classification code of the derivative financial instrument.

buyerPartyReference(PartyReference)

	A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.
	Party code.

sellerPartyReference(PartyReference)

	A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.
	Party code.

A choice of the option type.

Group

commodity(Commodity)

	Specifies the underlying component. At the time of the initial schema design, only underlyers of type Commodity are supported; the choice group in the future could offer the possibility of adding other types later.

instrumentId(InstrumentId)

	Identification of the underlying asset, using public and/or private identifiers.
	Underlying asset code.

description(string)

Long name of the underlying asset.

unit(QuantityUnit)

	A coding scheme value to identify the unit in which the undelryer is denominated. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.

currency(Currency)

	The currency in which the Commodity Reference Price is published.

A choice of the source of the commodity price publication.

exchangeId(ExchangeId)

	An exchange identifier.

publication(CommodityInformationSource)

	Commodity price information publication source.

rateSource(CommodityInformationProvider)

The publication in which the rate, price, index or factor is to be found. (e.g Gas Daily, Platts Bloomberg.)

A choice of the calculation periods definition method.

calculationPeriodsSchedule(CommodityCalculationPeriodsSchedule)

	A parametric representation of the Calculation Periods of the Commodity Option Transaction.

periodMultiplier(positiveInteger)

	A time period multiplier, e.g. 1, 2 or 3 etc. If the period value is T (Term) then periodMultiplier must contain the value 1.

period(PeriodExtendedEnum)

	A time period, e.g. a day, week, month, year or term of the stream.
	T;

calculationPeriods(AdjustableDates)

	An absolute representation of the Calculation Period start dates of the Commodity Option Transaction.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

A choice of the notional quantity specification.

Sequence

totalNotionalQuantity(decimal)

	The Total Notional Quantity.
	Notional amount / Total notional quantity.

exercise(CommodityExercise)

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

A choice of the option strike price type.

Group

A choice of the strike price definition method.

strikePricePerUnit(NonNegativeMoney)

	The currency amount of the strike price per unit.
	Strike price.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

Group

A choice of the calculation periods definition method.

weatherCalculationPeriods(WeatherCalculationPeriods)

	The schedule of Weather Calculation Periods. If there is only one Calculation Period then the First Day of the Calculation Period is equal to the Effective Date and the Last Day of the Calculation Period is equal to the Termination Date.

calculationPeriod(WeatherCalculationPeriod)

	Weather Calculation Period. If there is only one Calculation Period then the First Day of the Calculation Period is equal to the Effective Date and the Last Day of the Calculation Period is equal to the Termination Date.

calculationPeriodFirstDay(IdentifiedDate)

	The first day of the Weather Calculation Period. If there is only one Calculation Period then the First Day of the Calculation Period is equal to the Effective Date.

calculationPeriodEndDay(IdentifiedDate)

	The last day of the Weather Calculation Period. If there is only one Calculation Period then the Last Day of the Calculation Period is equal to the Termination Date.

weatherNotionalAmount(NonNegativeMoney)

Defines the price per weather index unit.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

exercise(CommodityExercise)

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

weatherIndexStrikeLevel(WeatherIndex)

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

quantity(decimal)

	This is the Reference Level. The CDD, HDD or CPD Reference Level is specified as the number of (amount of) Weather Index Units specified by the parties in the related Confirmation.

unit(QuantityUnit)

	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.

premium(CommodityPremium)

	The option premium payable by the buyer to the seller.
	Option premium.

payerPartyReference(PartyReference)

	A reference to the party responsible for making the payments defined by this structure.
	Party code.

receiverPartyReference(PartyReference)

	A reference to the party that receives the payments corresponding to this structure.
	Party code.

paymentAmount(NonNegativeMoney)

	Non negative payment amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;