Possible Natural Gas Product Requirements in FpML v 1.02

(Comments in parenthesis are suggested implementation or use-case questions)

Commodity Reference Price / Index

  • Natural Gas Commoditiy Reference Price (Scheme values are already in FpML)
  • Specified Price(Either ‘Money Type’ or an extended ‘CommodityMoney Type’)
  • ‘Money’ in FpML consists of a currency and an amount – Commodities are often expressed in units of applicable product and units (metric tons of grain for example). We may need to extend Money and include a choice between either cash or a physical commodity value.
  • Delivery Date(An FpML Adjusted or Unajusted Date)
  • Common Pricing (An FpML structure/type with multiple instances of Reference Prices)
  • Commodity Transaction Life
  • Commodity Business Days (FpML Business Days Type should suffice)
  • Commodity Business Day Convention (Following, Mod Following, Nearest, Preceeding)
  • Commodity Business Days are relative to the Reference Price and Market disruption Events specified, where normal FpML Business Days reference a BusinessCenter and an offset.
  • Calculation Period (FpML Period End Date and Settlement Period)
  • Expiration Date (FpML Unajusted Date)
  • Expiration Time(xsd:datetime)

Commoditiy Quantitative & Valuation Details

  • Period Interpolation (weighted/linear choices, linear empty and weighted with each weight)
  • Rounding Convention(Either a new Enumeration or a Scheme to specify rounding types)
  • Number of periods (standard integer)
  • Notional quantity per period (in units of underlying commodity or cash?)
  • Discount factor curve (list of integers and dates in which the factor applies)

Commodity Exercise Type (Full Details)

  • (a) "Exercise Period"
    (b) "Exercise Date"
    (c) "Notice of Exercise"
    (d) "Written Confirmation"
    (e) "Automatic Exercise"
    (f) Any notice or communication given, and permitted to be given, orally (includingby telephone) in connection with an Option will be effective when actually received by the recipient.
    (g) "Potential Exercise Date"
    (h) "Seller Business Day"

Commodities Events

  • 2005 Commodities Annex and Sub-Annex applicability(List of All Annexes?)
    NOTE: Electronic Trading is only mentioned in Sub-Annex A – Would this come into play when we express trades in FpML?
  • Market Disruption Events and Fallbacks (Choice Structures? Simple Listing of Fallback order?)
  • Fallback Provisions (Provisions Type? New type with provisional actions, or just a list of applicable 2005 Commodities Provisions?)
  • Settlement Provisions (Provisions Type? (Provisions Type? New type with provisional actions, or just a list of applicable 2005 Commodities Provisions?)