FloatingPriceLeg

Floating Price Leg of a Commodity Swap.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
@id	xsd:ID				1-1, ncf
payerPartyReference	PartyReference	A reference to the party responsible for making the payments defined by this structure.	Payer.	Party code.	0-1, mre, mfr
payerAccountReference	AccountReference	A reference to the account of the payer party (specified by payerPartyReference) responsible for making the payments defined by this structure.	Payer's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
receiverPartyReference	PartyReference	A reference to the party that receives the payments corresponding to this structure.	Receiver.	Party code.	0-1, mre, mfr
receiverAccountReference	AccountReference	A reference to the account of the receiver party (specified by receiverPartyReference) that receives the payments corresponding to this structure.	Receiver's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
Choice begin
Branch1
calculationDates	AdjustableDates	The Calculation Period dates for this leg of the trade where the Calculation Periods are all one day long, typically a physically-settled emissions or metals trade. Only dates explicitly included determine the Calculation Periods and there is a Calculation Period for each date specified.	Calculation dates.		1-1, mre
Branch2
calculationPeriods	AdjustableDates	The Calculation Period start dates for this leg of the swap. This type 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 the calculationPeriodsScheduleReference can be used to point to the Calculation Periods Schedule for that leg.	Calculation periods.		1-1, ncf
Branch3
calculationPeriodsSchedule	CommodityCalculationPeriodsSchedule	The Calculation Periods for this leg of the swap. This type 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 the other leg - or the calculationPeriodsScheduleReference can be used to point to the Calculation Periods Schedule for that leg.	Calculation periods schedule.		1-1, mre
Branch4
Choice begin
Branch1
calculationPeriodsReference	CalculationPeriodsReference	A pointer style reference to the Calculation Periods defined on another leg.	Calculation periods reference.		1-1, ncf	At the first stage the repository doesn't use references to periods and dates.
Branch2
calculationPeriodsScheduleReference	CalculationPeriodsScheduleReference	A pointer style reference to the Calculation Periods Schedule defined on another leg.	Calculation periods schedule reference.		1-1, ncf	At the first stage the repository doesn't use references to periods and dates.
Branch3
calculationPeriodsDatesReference	CalculationPeriodsDatesReference	A pointer style reference to single-day-duration Calculation Periods defined on another leg.	Calculation periods dates reference.		1-1, ncf	At the first stage the repository doesn't use references to periods and dates.
Choice end
Choice end
commodity	Commodity	Specifies the underlying instrument. At this time, only underlyers of type Commodity are supported; the choice group in the future could offer the possibility of adding other types later.	Commodity.		1-1, mre
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
calculation	FloatingLegCalculation	Defines details relevant to the calculation of the floating price.	Floating price parameters.		1-1, mre
Choice begin
Branch1
relativePaymentDates	CommodityRelativePaymentDates	The Payment Dates of the trade relative to the Calculation Periods.	Relative payment dates.		1-1, ncf	At the first stage the repository doesn't use relative dates.
Branch2
Choice begin
Branch1
paymentDates	AdjustableDatesOrRelativeDateOffset	Dates on which payments will be made.	Payment dates.		1-1, mre
Branch2
masterAgreementPaymentDates	xsd:boolean	If present and true indicates that the Payment Date(s) are specified in the relevant master agreement.	Master agreement payment dates.		1-1, ncf
Choice end
Choice end
flatRate	FlatRateEnum	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.	Flat rate type.		0-1, mre, mfr
flatRateAmount	NonNegativeMoney	If flatRate is set to "Fixed", the actual value of the Flat Rate.	Flat rate amount.		0-1

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FloatingPriceLeg

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.

A choice of the calculation periods specification.

calculationDates(AdjustableDates)

	The Calculation Period dates for this leg of the trade where the Calculation Periods are all one day long, typically a physically-settled emissions or metals trade. Only dates explicitly included determine the Calculation Periods and there is a Calculation Period for each date specified.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

calculationPeriodsSchedule(CommodityCalculationPeriodsSchedule)

The Calculation Periods for this leg of the swap. This type 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 the other leg - or the calculationPeriodsScheduleReference can be used to point to the Calculation Periods Schedule for that leg.

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;

commodity(Commodity)

	Specifies the underlying instrument. At this time, 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 notional quantity specification.

Sequence

totalNotionalQuantity(decimal)

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

calculation(FloatingLegCalculation)

	Defines details relevant to the calculation of the floating price.

pricingDates(CommodityPricingDates)

	Commodity Pricing Dates.

A choice of the dates specifying method.

pricingDates(AdjustableDates)

	A list of adjustable dates on which the trade would price. Each date will price for the Calculation Period within which it falls.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

Sequence

averagingMethod(AveragingMethodEnum)

	The parties may specify a Method of Averaging where more than one pricing Dates is being specified as being applicable.
	Unweighted;Weighted;

conversionFactor(decimal)

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. In heat rate options the heat rate multiplier is entered into this element.

A choice of the spread representation.

spread(CommoditySpread)

	The spread over or under the Commodity Reference Price for this leg of the trade.

currency(Currency)

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

amount(decimal)

	The 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.

spreadConversionFactor(decimal)

	spreadConversionFactor should be used when the unit of measure of the Commodity Reference Price and the unit of measure in which the spread is quoted are different. The value of spreadConversionFactor is the number of units of measure in which the spread is quoted per unit of measure of the Commodity Reference Price.

spreadUnit(QuantityUnit)

	spreadUnit should be used when the unit of measure of the Commodity Reference Price and the unit of measure in which the spread is quoted are different. The value of spreadUnit is the unit of measure in which the spread is quoted.

spreadSchedule(CommoditySpreadSchedule)

	The spread over or under the Commodity Reference Price for this leg of the trade for each Calculation Period.

spreadStep(CommoditySpread)

	The spread per Calculation Period. There must be a spread step specified for each Calculation Period, regardless of whether the spread changes or remains the same between periods.

currency(Currency)

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

amount(decimal)

	The 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.

spreadConversionFactor(decimal)

	spreadConversionFactor should be used when the unit of measure of the Commodity Reference Price and the unit of measure in which the spread is quoted are different. The value of spreadConversionFactor is the number of units of measure in which the spread is quoted per unit of measure of the Commodity Reference Price.

spreadUnit(QuantityUnit)

	spreadUnit should be used when the unit of measure of the Commodity Reference Price and the unit of measure in which the spread is quoted are different. The value of spreadUnit is the unit of measure in which the spread is quoted.

spreadPercentage(decimal)

	The spread percentage over or under the Commodity Reference Price for this leg of the trade.

A choice of the dates specification.

Group

A choice of the dates specification.

paymentDates(AdjustableDatesOrRelativeDateOffset)

	Dates on which payments will be made.

A choice of the date specification.

adjustableDates(AdjustableDates)

	A series of adjustable dates.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.