CommoditySwaption

Commodity Swaption.

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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
commoditySwap	CommoditySwaptionUnderlying	The underlying commodity swap definiton.	Commodity swap.		0-1, mre
physicalExercise	CommodityPhysicalExercise	The parameters for defining how the commodity option can be exercised into a physical transaction.	Physical exercise.		0-1, mre
premium	CommodityPremium	The option premium payable by the buyer to the seller.	Premium.	Option premium.	0-1, 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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CommoditySwaption

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.

commoditySwap(CommoditySwaptionUnderlying)

The underlying commodity swap definiton.

effectiveDate(AdjustableOrRelativeDate)

	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.
	Effective date.

A choice of the date specification.

adjustableDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable dates. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	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.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

terminationDate(AdjustableOrRelativeDate)

	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.
	Termination date.

A choice of the date specification.

adjustableDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable dates. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	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.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

settlementCurrency(IdentifiedCurrency)

	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.

A choice of the commodity swap leg.

commoditySwapLeg(CommoditySwapLeg)

Is substituted by one of the elements: fixedLeg commoditySwapPhysicalLeg floatingLegNsd

	Defines the substitutable commodity swap leg

weatherLeg(WeatherLeg)

Weather Leg 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 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.

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.

weatherIndexLevel(WeatherIndex)

Defining the Weather Index Level or Weather Index Strike Level.

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.

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;

calculation(WeatherLegCalculation)

Defines details relevant to the calculation of the aggregate weather index amount.

settlementLevel(WeatherSettlementLevelEnum)

	The Settlement Level means either the cumulative number of Weather Index Units for each day in the Calculaiton 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 (Minimum).
	Cumulative;Average;Mximum;Minimum;

referenceLevelEqualsZero(boolean)

	If 'true', reference level equals to zero.

calculationDate(Period)

Defines a calculation date.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

maximumPaymentAmount(NonNegativeMoney)

Cups on total 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;

maximumTransactionPaymentAmount(NonNegativeMoney)

Cups on payment amount that goes out in any particular calculation period.

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;

paymentDates(CommodityRelativePaymentDates)

The Payment Dates of the trade relative to the Calculation Periods or Calculation Date.

A choice of the reference for payment date definition.

payRelativeTo(CommodityPayRelativeToEnum)

	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.
	CalculationDate;CalculationPeriodMonthEnd;CalculationPeriodMonthStart;EffectiveDate;PricingPeriodMonthEnd;TerminationOrExpirationDate;TradeDate;PricingPeriodEndOfWeek;FirstPricingDate;

payRelativeToEvent(CommodityPayRelativeToEvent)

	Specifies whether the payment(s) occur relative to the date of a physical event.

physicalExercise(CommodityPhysicalExercise)

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

A choice of the option exercise style.

americanExercise(CommodityPhysicalAmericanExercise)

	The parameters for defining the expiration date(s) and time(s) for an American style option.

A choice of the exercise period definition method.

Sequence

commencementDates(AdjustableOrRelativeDates)

The first day(s) of the exercise period(s) for an American-style option.

A choice of the dates specification.

adjustableDates(AdjustableDates)

	A series of dates that shall be subject to adjustment if they 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.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

expirationDates(AdjustableOrRelativeDates)

The Expiration Date(s) of an American-style option.

A choice of the dates specification.

adjustableDates(AdjustableDates)

	A series of dates that shall be subject to adjustment if they 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.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

Sequence

relativeCommencementDates(CommodityRelativeExpirationDates)

The first day(s) of the exercise period(s) for an American-style option where it is relative to the occurrence of an external event.

expireRelativeToEvent(CommodityExpireRelativeToEvent)

	Specifies whether the payment(s) occur relative to the date of a physical event.

expirationDateOffset(DateOffset)

Specifies any offset from the adjusted Calculation Period start date or adjusted Calculation Period end date applicable to each Payment Date.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

dayType(DayTypeEnum)

	In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included.
	Business;Calendar;CommodityBusiness;CurrencyBusiness;ExchangeBusiness;ScheduledTradingDay;

businessDayConvention(BusinessDayConventionEnum)

	The convention for adjusting a date if it would otherwise fall on a day that is not a business day.
	FOLLOWING;FRN;MODFOLLOWING;PRECEDING;MODPRECEDING;NEAREST;NONE;NotApplicable;

A choice of the method of specifying financial business centers.

businessCenters(BusinessCenters)

	Financial business centers.

businessCenter(BusinessCenter)

	Financial business center.

relativeExpirationDates(CommodityRelativeExpirationDates)

The Expiration Date(s) of an American-style option where it is relative to the occurrence of an external event.

expireRelativeToEvent(CommodityExpireRelativeToEvent)

	Specifies whether the payment(s) occur relative to the date of a physical event.

expirationDateOffset(DateOffset)

Specifies any offset from the adjusted Calculation Period start date or adjusted Calculation Period end date applicable to each Payment Date.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

dayType(DayTypeEnum)

	In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included.
	Business;Calendar;CommodityBusiness;CurrencyBusiness;ExchangeBusiness;ScheduledTradingDay;

businessDayConvention(BusinessDayConventionEnum)

	The convention for adjusting a date if it would otherwise fall on a day that is not a business day.
	FOLLOWING;FRN;MODFOLLOWING;PRECEDING;MODPRECEDING;NEAREST;NONE;NotApplicable;

A choice of the method of specifying financial business centers.

businessCenters(BusinessCenters)

	Financial business centers.

businessCenter(BusinessCenter)

	Financial business center.

europeanExercise(CommodityPhysicalEuropeanExercise)

	The parameters for defining the expiration date(s) and time(s) for a European style option.

A choice of the expiration date definition.

expirationDate(AdjustableOrRelativeDate)

	The Expiration Date of a single expiry European-style option or the first Expiration Date of a multiple expiry or daily expiring option.

A choice of the date specification.

adjustableDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable dates. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	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.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

expirationDates(AdjustableRelativeOrPeriodicDates2)

	The Expiration Date(s) of a European-style option.

A choice of the dates specification.

adjustableDates(AdjustableDates)

	A series of dates that shall be subject to adjustment if they 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.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

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;