FloatingForwardLeg

A type for defining the floating leg of a general cash-settled forward for which the underlyer is a commodity.

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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.
commodity	Commodity	Specifies the underlying asset. 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
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Choice begin
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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
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notionalQuantity	CommodityNotionalQuantity	The Notional Quantity.	Notional.	Notional amount / Total notional quantity.	1-1, mre, afr
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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
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quantityReference	QuantityReference	A pointer style reference to a quantity defined on another leg.	Quantity reference.		1-1, ncf
Choice end
calculation	FloatingLegCalculation	Details relevant to the calculation of the floating price.	Floating price parameters.		1-1, mre
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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.
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Choice begin
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paymentDates	AdjustableDatesOrRelativeDateOffset	Dates on which payments will be made.	Payment dates.		1-1, mre
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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

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FloatingForwardLeg

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.

commodity(Commodity)

	Specifies the underlying asset. 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)

	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.