XML Schema "fpml-cd-5-13.xsd"
Target Namespace:
http://www.fpml.org/FpML-5/transparency
Version:
$Revision: 14642 $
Defined Components:
elements (2 global + 66 local), complexTypes (26)
Default Namespace-Qualified Form:
Local Elements: qualified; Local Attributes: unqualified
Schema Location:
c:\init\trunk\xml\transparency\fpml-cd-5-13.xsd; see XML source
Includes Schemas (1):
fpml-option-shared-5-13.xsd [src]
Included in Schemas (2):
fpml-generic-5-13.xsd [src], fpml-main-5-13.xsd [src]
All Element Summary
adjustablePaymentDate
A fixed amount payment date that shall be subject to adjustment in accordance with the applicable business day convention if it would otherwise fall on a day that is not a business day.
Type:
xsd:date
Content:
simple
Defined:
locally within SinglePayment complexType; see XML source
attachmentPoint
Lower bound percentage of the loss that the Tranche can endure, expressed as a decimal.
Type:
xsd:decimal
Content:
simple
Defined:
locally within Tranche complexType; see XML source
basketReferenceInformation
This element contains all the terms relevant to defining the Credit Default Swap Basket.
Type:
BasketReferenceInformation
Content:
complex, 6 elements
Defined:
locally within GeneralTerms complexType; see XML source
calculationAmount
The notional amount of protection coverage.
Type:
Money
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ProtectionTerms complexType; see XML source
constituentWeight (in referencePoolItem)
Describes the weight of each of the constituents within the basket.
Type:
ConstituentWeight
Content:
complex, 3 elements
Defined:
locally within ReferencePoolItem complexType; see XML source
creditDefaultSwap
In a credit default swap one party (the protection seller) agrees to compensate another party (the protection buyer) if a specified company or Sovereign (the reference entity) experiences a credit event, indicating it is or may be unable to service its debts.
Type:
CreditDefaultSwap
Content:
complex, 1 attribute, 8 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
creditDefaultSwap (in creditDefaultSwapOption)
Type:
LimitedCreditDefaultSwap
Content:
complex, 3 elements
Defined:
locally within CreditDefaultSwapOption complexType; see XML source
creditDefaultSwapOption
An option on a credit default swap.
Type:
CreditDefaultSwapOption
Content:
complex, 1 attribute, 17 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
creditEvents
This element contains all the ISDA terms relating to credit events.
Type:
CreditEvents
Content:
complex, 1 attribute, 1 element
Defined:
locally within ProtectionTerms complexType; see XML source
dayCountFraction (in fixedAmountCalculation)
The day count fraction.
Type:
DayCountFraction
Content:
simple, 1 attribute
Defined:
locally within FixedAmountCalculation complexType; see XML source
dayCountFraction (in floatingAmountCalculation)
The day count fraction.
Type:
DayCountFraction
Content:
simple, 1 attribute
Defined:
locally within FloatingAmountCalculation complexType; see XML source
effectiveDate (defined in GeneralTerms complexType)
The first day of the term of the trade.
Type:
AdjustableDate2
Content:
complex, 1 attribute, 1 element
Defined:
locally within GeneralTerms complexType; see XML source
entityType
Defines the reference entity types corresponding to a list of types in the ISDA First to Default documentation.
Type:
EntityType
Content:
simple, 1 attribute
Defined:
locally within ReferencePair complexType; see XML source
exhaustionPoint
Upper bound percentage of the loss that the Tranche can endure, expressed as a decimal.
Type:
xsd:decimal
Content:
simple
Defined:
locally within Tranche complexType; see XML source
feeLeg (in creditDefaultSwap in creditDefaultSwapOption)
This element contains all the terms relevant to defining the fixed amounts/payments per the applicable ISDA definitions.
Type:
FeeLeg
Content:
complex, 1 attribute, 4 elements
Defined:
locally within LimitedCreditDefaultSwap complexType; see XML source
feeLeg (in creditDefaultSwap)
This element contains all the terms relevant to defining the fixed amounts/payments per the applicable ISDA definitions.
Type:
FeeLeg
Content:
complex, 1 attribute, 4 elements
Defined:
locally within CreditDefaultSwap complexType; see XML source
finalFixingDate
Type:
AdjustableDate
Content:
complex, 1 attribute, 1 element
Defined:
locally within FloatingAmountCalculation complexType; see XML source
fixedAmount (defined in PeriodicPayment complexType)
A fixed payment amount.
Type:
Money
Content:
complex, 1 attribute, 2 elements
Defined:
locally within PeriodicPayment complexType; see XML source
fixedAmount (in singlePayment)
A fixed payment amount.
Type:
Money
Content:
complex, 1 attribute, 2 elements
Defined:
locally within SinglePayment complexType; see XML source
fixedAmountCalculation
This element contains all the terms relevant to calculating a fixed amount where the fixed amount is calculated by reference to a per annum fixed rate.
Type:
FixedAmountCalculation
Content:
complex, 2 elements
Defined:
locally within PeriodicPayment complexType; see XML source
fixedRate (in fixedAmountCalculation)
The calculation period fixed rate.
Type:
FixedRate
Content:
simple, 1 attribute
Defined:
locally within FixedAmountCalculation complexType; see XML source
floatingAmountCalculation
Type:
FloatingAmountCalculation
Content:
complex, 4 elements
Defined:
locally within PeriodicPayment complexType; see XML source
floatingRate (in floatingAmountCalculation)
The calculation period floating rate.
Type:
FloatingRateCalculation
Content:
complex, 1 attribute, 8 elements
Defined:
locally within FloatingAmountCalculation complexType; see XML source
generalTerms (in creditDefaultSwap in creditDefaultSwapOption)
This element contains all the data that appears in the section entitled "1.
Type:
GeneralTerms
Content:
complex, 5 elements
Defined:
locally within LimitedCreditDefaultSwap complexType; see XML source
generalTerms (in creditDefaultSwap)
This element contains all the data that appears in the section entitled "1.
Type:
GeneralTerms
Content:
complex, 5 elements
Defined:
locally within CreditDefaultSwap complexType; see XML source
indexFactor (defined in IndexReferenceInformation complexType)
Index Factor is the index version factor or percent, expressed as an absolute decimal value between 0 and 1, that multiplied by the original notional amount yields the notional amount covered by the seller of protection.
Type:
DecimalFraction
Content:
simple
Defined:
locally within IndexReferenceInformation complexType; see XML source
indexFactor (in indexReferenceInformation in creditChangeEvent)
Index Factor is the index version factor or percent, expressed as an absolute decimal value between 0 and 1, that multiplied by the original notional amount yields the notional amount covered by the seller of protection.
Type:
DecimalFraction
Content:
simple
Defined:
locally within CreditEventIndexReferenceInformation complexType; see XML source
indexId (defined in IndexReferenceInformation complexType)
A CDS index identifier (e.g.
Type:
IndexId
Content:
simple, 1 attribute
Defined:
locally within IndexReferenceInformation complexType; see XML source
indexId (defined in IndexReferenceInformation complexType)
A CDS index identifier (e.g.
Type:
IndexId
Content:
simple, 1 attribute
Defined:
locally within IndexReferenceInformation complexType; see XML source
indexId (in indexReferenceInformation in creditChangeEvent)
A CDS index identifier (e.g.
Type:
IndexId
Content:
simple, 1 attribute
Defined:
locally within CreditEventIndexReferenceInformation complexType; see XML source
indexId (in indexReferenceInformation in creditChangeEvent)
A CDS index identifier (e.g.
Type:
IndexId
Content:
simple, 1 attribute
Defined:
locally within CreditEventIndexReferenceInformation complexType; see XML source
indexName (defined in IndexReferenceInformation complexType)
The name of the index expressed as a free format string.
Type:
IndexName
Content:
simple, 1 attribute
Defined:
locally within IndexReferenceInformation complexType; see XML source
indexName (in indexReferenceInformation in creditChangeEvent)
The name of the index expressed as a free format string.
Type:
IndexName
Content:
simple, 1 attribute
Defined:
locally within CreditEventIndexReferenceInformation complexType; see XML source
indexReferenceInformation (defined in GeneralTerms complexType)
This element contains all the terms relevant to defining the Credit DefaultSwap Index.
Type:
IndexReferenceInformation
Content:
complex, 1 attribute, 6 elements
Defined:
locally within GeneralTerms complexType; see XML source
indexReversionDate
The date on which the index, affected by the credit event, is reversioned.
Type:
xsd:date
Content:
simple
Defined:
locally within CreditEventIndexReferenceInformation complexType; see XML source
initialFixingDate
Type:
xsd:date
Content:
simple
Defined:
locally within FloatingAmountCalculation complexType; see XML source
initialPayment
Specifies a single fixed payment that is payable by the payer to the receiver on the initial payment date.
Type:
InitialPayment
Content:
complex, 1 attribute, 1 element
Defined:
locally within FeeLeg complexType; see XML source
mthToDefault
M th reference obligation to default to allow representation of N th to M th defaults.
Type:
xsd:positiveInteger
Content:
simple
Defined:
locally within BasketReferenceInformation complexType; see XML source
noReferenceObligation (defined in ReferenceInformation complexType)
Used to indicate that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one.
Type:
xsd:boolean
Content:
simple
Defined:
locally within ReferenceInformation complexType; see XML source
noReferenceObligation (in referencePair)
Used to indicate that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one.
Type:
xsd:boolean
Content:
simple
Defined:
locally within ReferencePair complexType; see XML source
nthToDefault
N th reference obligation to default triggers payout.
Type:
xsd:positiveInteger
Content:
simple
Defined:
locally within BasketReferenceInformation complexType; see XML source
paymentAmount (in initialPayment)
A fixed payment amount.
Type:
Money
Content:
complex, 1 attribute, 2 elements
Defined:
locally within InitialPayment complexType; see XML source
paymentFrequency (defined in PeriodicPayment complexType)
The time interval between regular fixed rate payer payment dates.
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within PeriodicPayment complexType; see XML source
periodicPayment (defined in FeeLeg complexType)
Specifies a periodic schedule of fixed amounts that are payable by the buyer to the seller on the fixed rate payer payment dates.
Type:
PeriodicPayment
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FeeLeg complexType; see XML source
periodicPayment (defined in FeeLeg complexType)
Specifies a periodic schedule of fixed amounts that are payable by the buyer to the seller on the fixed rate payer payment dates.
Type:
PeriodicPayment
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FeeLeg complexType; see XML source
price (in strike in creditDefaultSwapOption)
The strike of a credit default swap option or credit swaption when expressed as in reference to the price of the underlying obligation(s) or index.
Type:
xsd:decimal
Content:
simple
Defined:
locally within CreditOptionStrike complexType; see XML source
protectionTerms (in creditDefaultSwap in creditDefaultSwapOption)
This element contains all the terms relevant to defining the applicable floating rate payer calculation amount, credit events and associated conditions to settlement, and reference obligations.
Type:
ProtectionTerms
Content:
complex, 1 attribute, 2 elements
Defined:
locally within LimitedCreditDefaultSwap complexType; see XML source
protectionTerms (in creditDefaultSwap)
This element contains all the terms relevant to defining the applicable floating rate payer calculation amount, credit events and associated conditions to settlement, and reference obligations.
Type:
ProtectionTerms
Content:
complex, 1 attribute, 2 elements
Defined:
locally within CreditDefaultSwap complexType; see XML source
referenceEntity (defined in ReferenceInformation complexType)
The corporate or sovereign entity on which you are buying or selling protection and any successor that assumes all or substantially all of its contractual and other obligations.
Type:
LegalEntity
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ReferenceInformation complexType; see XML source
referenceEntity (in referencePair)
The corporate or sovereign entity on which you are buying or selling protection and any successor that assumes all or substantially all of its contractual and other obligations.
Type:
LegalEntity
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ReferencePair complexType; see XML source
referenceInformation
This element contains all the terms relevant to defining the reference entity and reference obligation(s).
Type:
ReferenceInformation
Content:
complex, 4 elements
Defined:
locally within GeneralTerms complexType; see XML source
referenceObligation (defined in ReferenceInformation complexType)
The Reference Obligation is a financial instrument that is either issued or guaranteed by the reference entity.
Type:
ReferenceObligation
Content:
complex, 5 elements
Defined:
locally within ReferenceInformation complexType; see XML source
referenceObligation (in referencePair)
The Reference Obligation is a financial instrument that is either issued or guaranteed by the reference entity.
Type:
ReferenceObligation
Content:
complex, 5 elements
Defined:
locally within ReferencePair complexType; see XML source
referencePair
Type:
ReferencePair
Content:
complex, 4 elements
Defined:
locally within ReferencePoolItem complexType; see XML source
referencePool
This element contains all the reference pool items to define the reference entity and reference obligation(s) in the basket
Type:
ReferencePool
Content:
complex, 1 element
Defined:
locally within BasketReferenceInformation complexType; see XML source
referencePoolItem
Type:
ReferencePoolItem
Content:
complex, 2 elements
Defined:
locally within ReferencePool complexType; see XML source
scheduledTerminationDate
The scheduled date on which the credit protection will lapse.
Type:
AdjustableDate2
Content:
complex, 1 attribute, 1 element
Defined:
locally within GeneralTerms complexType; see XML source
seniority (defined in IndexReferenceInformation complexType)
Seniority of debt instruments comprising the index.
Type:
CreditSeniority
Content:
simple, 1 attribute
Defined:
locally within IndexReferenceInformation complexType; see XML source
seniority (in indexReferenceInformation in creditChangeEvent)
Seniority of debt instruments comprising the index.
Type:
CreditSeniority
Content:
simple, 1 attribute
Defined:
locally within CreditEventIndexReferenceInformation complexType; see XML source
singlePayment
Specifies a single fixed amount that is payable by the buyer to the seller on the fixed rate payer payment date.
Type:
SinglePayment
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FeeLeg complexType; see XML source
spread (in strike in creditDefaultSwapOption)
The strike of a credit default swap option or credit swaption when expressed as a spread per annum.
Type:
xsd:decimal
Content:
simple
Defined:
locally within CreditOptionStrike complexType; see XML source
standardReferenceObligation
Indicates if the reference obligation is a Standard Reference Obligation.
Type:
xsd:boolean
Content:
simple
Defined:
locally within ReferenceObligation complexType; see XML source
strike (in creditDefaultSwapOption)
Specifies the strike of the option on credit default swap.
Type:
CreditOptionStrike
Content:
complex, 3 elements
Defined:
locally within CreditDefaultSwapOption complexType; see XML source
strikeReference (in strike in creditDefaultSwapOption)
The strike of a credit default swap option or credit swaption when expressed in reference to the spread of the underlying swap (typical practice in the case of single name swaps).
Type:
FixedRateReference
Content:
empty, 1 attribute
Defined:
locally within CreditOptionStrike complexType; see XML source
tranche (defined in IndexReferenceInformation complexType)
This element contains CDS tranche terms.
Type:
Tranche
Content:
complex, 2 elements
Defined:
locally within IndexReferenceInformation complexType; see XML source
tranche (in basketReferenceInformation)
This element contains CDS tranche terms.
Type:
Tranche
Content:
complex, 2 elements
Defined:
locally within BasketReferenceInformation complexType; see XML source
tranche (in indexReferenceInformation in creditChangeEvent)
This element contains CDS tranche terms.
Type:
Tranche
Content:
complex, 2 elements
Defined:
locally within CreditEventIndexReferenceInformation complexType; see XML source
unknownReferenceObligation
Used to indicate that the Reference obligation associated with the Credit Default Swap is currently not known.
Type:
xsd:boolean
Content:
simple
Defined:
locally within ReferenceInformation complexType; see XML source
Complex Type Summary
BasketReferenceInformation
CDS Basket Reference Information
Content:
complex, 6 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 1 location
CreditDefaultSwap
Content:
complex, 1 attribute, 8 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 1 location
CreditDefaultSwapOption
A complex type to support the credit default swap option.
Content:
complex, 1 attribute, 17 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
CreditEventIndexReferenceInformation
A type defining a Credit Default Swap Index after a Credit Event.
Content:
complex, 1 attribute, 7 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 7 elements
Used:
at 1 location
CreditOptionStrike
A complex type to specify the strike of a credit swaption or a credit default swap option.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 1 location
EntityType
Defines a coding scheme of the entity types defined in the ISDA First to Default documentation.
Content:
simple, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 1 location
FeeLeg
Content:
complex, 1 attribute, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 2 locations
FixedAmountCalculation
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
FixedRate
The calculation period fixed rate.
Content:
simple, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 1 location
FixedRateReference
Content:
empty, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 1 location
FloatingAmountCalculation
Content:
complex, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 1 location
GeneralTerms
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
at 2 locations
IndexId
Content:
simple, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 4 locations
IndexName
Content:
simple, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 2 locations
IndexReferenceInformation
A type defining a Credit Default Swap Index.
Content:
complex, 1 attribute, 6 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 6 elements
Used:
at 2 locations
InitialPayment
Content:
complex, 1 attribute, 1 element
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
LimitedCreditDefaultSwap
A limited version of the CDS type used as an underlyer to CDS options in Transparency view, to avoid requiring product type etc.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 1 location
PeriodicPayment
Content:
complex, 1 attribute, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 2 locations
ProtectionTerms
Content:
complex, 1 attribute, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 2 elements
Used:
at 2 locations
ReferenceInformation
Content:
complex, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 2 locations
ReferenceObligation
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
at 2 locations
ReferencePair
Content:
complex, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 1 location
ReferencePool
This type contains all the reference pool items to define the reference entity and reference obligation(s) in the basket.
Content:
complex, 1 element
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
ReferencePoolItem
This type contains all the constituent weight and reference information.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
SinglePayment
Content:
complex, 1 attribute, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
Tranche
This type represents a CDS Tranche.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 3 locations
XML Source
<?xml version="1.0" encoding="utf-8"?>
<!--
== Copyright (c) 2022-2024 All rights reserved.
== Financial Products Markup Language is subject to the FpML public license.
== A copy of this license is available at http://www.fpml.org/license/license.html
-->
<xsd:schema attributeFormDefault="unqualified" ecore:documentRoot="FpML" ecore:nsPrefix="trnsp" ecore:package="org.fpml.transparency" elementFormDefault="qualified" targetNamespace="http://www.fpml.org/FpML-5/transparency" version="$Revision: 14642 $" xmlns="http://www.fpml.org/FpML-5/transparency" xmlns:ecore="http://www.eclipse.org/emf/2002/Ecore" xmlns:fpml-annotation="http://www.fpml.org/annotation" xmlns:xsd="http://www.w3.org/2001/XMLSchema">
<xsd:include schemaLocation="fpml-option-shared-5-13.xsd"/>
<xsd:complexType name="BasketReferenceInformation">
<xsd:annotation>
<xsd:documentation xml:lang="en">CDS Basket Reference Information</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group minOccurs="0" ref="BasketIdentifier.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reuses the group that specifies a name and an identifier for a given basket.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element minOccurs="0" name="referencePool" type="ReferencePool">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the reference pool items to define the reference entity and reference obligation(s) in the basket
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:sequence>
<xsd:element minOccurs="0" name="nthToDefault" type="xsd:positiveInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
N th reference obligation to default triggers payout.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="mthToDefault" type="xsd:positiveInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
M th reference obligation to default to allow representation of N th to M th defaults.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element name="tranche" type="Tranche">
<xsd:annotation>
<xsd:documentation xml:lang="en">This element contains CDS tranche terms.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="CreditDefaultSwap">
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element name="generalTerms" type="GeneralTerms">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the data that appears in the section entitled "1. General Terms" in the 2003 ISDA Credit Derivatives Confirmation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="feeLeg" type="FeeLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the terms relevant to defining the fixed amounts/payments per the applicable ISDA definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" name="protectionTerms" type="ProtectionTerms">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the terms relevant to defining the applicable floating rate payer calculation amount, credit events and associated conditions to settlement, and reference obligations.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="CreditDefaultSwapOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A complex type to support the credit default swap option.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="OptionBaseExtended">
<xsd:sequence>
<xsd:element name="strike" type="CreditOptionStrike">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the strike of the option on credit default swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="creditDefaultSwap" type="LimitedCreditDefaultSwap"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="CreditOptionStrike">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A complex type to specify the strike of a credit swaption or a credit default swap option.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="spread" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The strike of a credit default swap option or credit swaption when expressed as a spread per annum.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="price" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The strike of a credit default swap option or credit swaption when expressed as in reference to the price of the underlying obligation(s) or index.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="strikeReference" type="FixedRateReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The strike of a credit default swap option or credit swaption when expressed in reference to the spread of the underlying swap (typical practice in the case of single name swaps).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="EntityType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a coding scheme of the entity types defined in the ISDA First to Default documentation.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="Scheme">
<xsd:attribute default="http://www.fpml.org/coding-scheme/entity-type" name="entityTypeScheme" type="NonEmptyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="FeeLeg">
<xsd:complexContent>
<xsd:extension base="Leg">
<xsd:sequence>
<xsd:choice>
<xsd:sequence>
<xsd:choice>
<xsd:element name="initialPayment" type="InitialPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a single fixed payment that is payable by the payer to the receiver on the initial payment date. The fixed payment to be paid is specified in terms of a known currency amount. This element should be used for CDS Index trades, Standard CDS trades, and can be used for CDS trades where it is necessary to represent a payment from Seller to Buyer. For CDS trades where a payment is to be made from Buyer to Seller the feeLeg/singlePayment structure must be used.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" name="singlePayment" type="SinglePayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a single fixed amount that is payable by the buyer to the seller on the fixed rate payer payment date. The fixed amount to be paid is specified in terms of a known currency amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element minOccurs="0" name="periodicPayment" type="PeriodicPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a periodic schedule of fixed amounts that are payable by the buyer to the seller on the fixed rate payer payment dates. The fixed amount to be paid on each payment date can be specified in terms of a known currency amount or as an amount calculated on a formula basis by reference to a per annum fixed rate. The applicable business day convention and business day for adjusting any fixed rate payer payment date if it would otherwise fall on a day that is not a business day are those specified in the dateAdjustments element within the generalTerms component. ISDA 2003 Term:
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element name="periodicPayment" type="PeriodicPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a periodic schedule of fixed amounts that are payable by the buyer to the seller on the fixed rate payer payment dates. The fixed amount to be paid on each payment date can be specified in terms of a known currency amount or as an amount calculated on a formula basis by reference to a per annum fixed rate. The applicable business day convention and business day for adjusting any fixed rate payer payment date if it would otherwise fall on a day that is not a business day are those specified in the dateAdjustments element within the generalTerms component. ISDA 2003 Term:
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FixedAmountCalculation">
<xsd:sequence>
<xsd:element name="fixedRate" type="FixedRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="dayCountFraction" type="DayCountFraction">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count fraction. ISDA 2003 Term: Fixed Rate Day Count Fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FixedRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:decimal">
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="FixedRateReference">
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute ecore:reference="FixedRate" name="href" type="xsd:IDREF" use="required"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FloatingAmountCalculation">
<xsd:sequence>
<xsd:element name="floatingRate" type="FloatingRateCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">The calculation period floating rate.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="dayCountFraction" type="DayCountFraction">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count fraction. ISDA 2003 Term: Fixed Rate Day Count Fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="initialFixingDate" type="xsd:date"/>
<xsd:element minOccurs="0" name="finalFixingDate" type="AdjustableDate"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="GeneralTerms">
<xsd:sequence>
<xsd:element name="effectiveDate" type="AdjustableDate2">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. ISDA 2003 Term: Effective Date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="scheduledTerminationDate" type="AdjustableDate2">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The scheduled date on which the credit protection will lapse. This day may be subject to adjustment in accordance with a business day convention. ISDA 2003 Term: Scheduled Termination Date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="referenceInformation" type="ReferenceInformation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the terms relevant to defining the reference entity and reference obligation(s).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the terms relevant to defining the Credit DefaultSwap Index.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the terms relevant to defining the Credit Default Swap Basket.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="IndexId">
<xsd:simpleContent>
<xsd:extension base="NonEmptyScheme">
<xsd:attribute name="indexIdScheme" type="NonEmptyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="IndexName">
<xsd:simpleContent>
<xsd:extension base="NonEmptyScheme">
<xsd:attribute name="indexNameScheme" type="NonEmptyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="IndexReferenceInformation">
<xsd:annotation>
<xsd:documentation xml:lang="en">A type defining a Credit Default Swap Index.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice minOccurs="0">
<xsd:sequence>
<xsd:element name="indexName" type="IndexName">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The name of the index expressed as a free format string. FpML does not define usage rules for this element.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="indexId" type="IndexId">
<xsd:annotation>
<xsd:documentation xml:lang="en">A CDS index identifier (e.g. RED pair code).</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" name="indexId" type="IndexId">
<xsd:annotation>
<xsd:documentation xml:lang="en">A CDS index identifier (e.g. RED pair code).</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<xsd:element minOccurs="0" name="tranche" type="Tranche">
<xsd:annotation>
<xsd:documentation xml:lang="en">This element contains CDS tranche terms.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence minOccurs="0">
<xsd:annotation>
<xsd:documentation>
Index reference data reportatble under the revised EMIR RTS.
</xsd:documentation>
</xsd:annotation>
<xsd:element minOccurs="0" name="indexFactor" type="DecimalFraction">
<xsd:annotation>
<xsd:documentation>
Index Factor is the index version factor or percent, expressed as an absolute decimal value between 0 and 1, that multiplied by the original notional amount yields the notional amount covered by the seller of protection.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="seniority" type="CreditSeniority">
<xsd:annotation>
<xsd:documentation>
Seniority of debt instruments comprising the index.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="CreditEventIndexReferenceInformation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a Credit Default Swap Index after a Credit Event.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice minOccurs="0">
<xsd:sequence>
<xsd:element name="indexName" type="IndexName">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The name of the index expressed as a free format string. FpML does not define usage rules for this element.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="indexId" type="IndexId">
<xsd:annotation>
<xsd:documentation xml:lang="en">A CDS index identifier (e.g. RED pair code).</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" name="indexId" type="IndexId">
<xsd:annotation>
<xsd:documentation xml:lang="en">A CDS index identifier (e.g. RED pair code).</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<xsd:element minOccurs="0" name="tranche" type="Tranche">
<xsd:annotation>
<xsd:documentation xml:lang="en">This element contains CDS tranche terms.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence minOccurs="0">
<xsd:annotation>
<xsd:documentation>
Index reference data reportatble under the revised EMIR RTS.
</xsd:documentation>
</xsd:annotation>
<xsd:element minOccurs="0" name="indexFactor" type="DecimalFraction">
<xsd:annotation>
<xsd:documentation>
Index Factor is the index version factor or percent, expressed as an absolute decimal value between 0 and 1, that multiplied by the original notional amount yields the notional amount covered by the seller of protection.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="seniority" type="CreditSeniority">
<xsd:annotation>
<xsd:documentation>
Seniority of debt instruments comprising the index.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element minOccurs="0" name="indexReversionDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the index, affected by the credit event, is reversioned.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="InitialPayment">
<xsd:complexContent>
<xsd:extension base="PaymentBase">
<xsd:sequence>
<xsd:element name="paymentAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">A fixed payment amount.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="LimitedCreditDefaultSwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A limited version of the CDS type used as an underlyer to CDS options in Transparency view, to avoid requiring product type etc.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="generalTerms" type="GeneralTerms">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the data that appears in the section entitled "1. General Terms" in the 2003 ISDA Credit Derivatives Confirmation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="feeLeg" type="FeeLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the terms relevant to defining the fixed amounts/payments per the applicable ISDA definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" name="protectionTerms" type="ProtectionTerms">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the terms relevant to defining the applicable floating rate payer calculation amount, credit events and associated conditions to settlement, and reference obligations.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PeriodicPayment">
<xsd:complexContent>
<xsd:extension base="PaymentBase">
<xsd:sequence>
<xsd:element minOccurs="0" name="paymentFrequency" type="Period">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time interval between regular fixed rate payer payment dates.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="fixedAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A fixed payment amount. ISDA 2003 Term: Fixed Amount
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the terms relevant to calculating a fixed amount where the fixed amount is calculated by reference to a per annum fixed rate. There is no corresponding ISDA 2003 Term. The equivalent is Sec 5.1 "Calculation of Fixed Amount" but this in itself is not a defined Term.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ProtectionTerms">
<xsd:sequence>
<xsd:element name="calculationAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The notional amount of protection coverage. ISDA 2003 Term: Floating Rate Payer Calculation Amount
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="creditEvents" type="CreditEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the ISDA terms relating to credit events.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
<xsd:complexType name="ReferenceInformation">
<xsd:sequence>
<xsd:element name="referenceEntity" type="LegalEntity">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The corporate or sovereign entity on which you are buying or selling protection and any successor that assumes all or substantially all of its contractual and other obligations. It is vital to use the correct legal name of the entity and to be careful not to choose a subsidiary if you really want to trade protection on a parent company. Please note, Reference Entities cannot be senior or subordinated. It is the obligations of the Reference Entities that can be senior or subordinated. ISDA 2003 Term: Reference Entity
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:element maxOccurs="unbounded" name="referenceObligation" type="ReferenceObligation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The Reference Obligation is a financial instrument that is either issued or guaranteed by the reference entity. It serves to clarify the precise reference entity protection is being offered upon, and its legal position with regard to other related firms (parents/subsidiaries). Furthermore the Reference Obligation is ALWAYS deliverable and establishes the Pari Passu ranking (as the deliverable bonds must rank equal to the reference obligation). ISDA 2003 Term: Reference Obligation
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="noReferenceObligation" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used to indicate that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="unknownReferenceObligation" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used to indicate that the Reference obligation associated with the Credit Default Swap is currently not known. This is not valid for Legal Confirmation purposes, but is valid for earlier stages in the trade life cycle (e.g. Broker Confirmation).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReferenceObligation">
<xsd:sequence>
<xsd:choice>
<xsd:element ref="bond"/>
<xsd:element ref="convertibleBond"/>
<xsd:element ref="mortgage"/>
<xsd:element ref="loan"/>
</xsd:choice>
<xsd:element minOccurs="0" name="standardReferenceObligation" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates if the reference obligation is a Standard Reference Obligation. ISDA 2014 Term: Standard Reference Obligation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReferencePair">
<xsd:sequence>
<xsd:element minOccurs="0" name="referenceEntity" type="LegalEntity">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The corporate or sovereign entity on which you are buying or selling protection and any successor that assumes all or substantially all of its contractual and other obligations. It is vital to use the correct legal name of the entity and to be careful not to choose a subsidiary if you really want to trade protection on a parent company. Please note, Reference Entities cannot be senior or subordinated. It is the obligations of the Reference Entities that can be senior or subordinated. ISDA 2003 Term: Reference Entity
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:element name="referenceObligation" type="ReferenceObligation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The Reference Obligation is a financial instrument that is either issued or guaranteed by the reference entity. It serves to clarify the precise reference entity protection is being offered upon, and its legal position with regard to other related firms (parents/subsidiaries). Furthermore the Reference Obligation is ALWAYS deliverable and establishes the Pari Passu ranking (as the deliverable bonds must rank equal to the reference obligation). ISDA 2003 Term: Reference Obligation
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="noReferenceObligation" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used to indicate that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element minOccurs="0" name="entityType" type="EntityType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the reference entity types corresponding to a list of types in the ISDA First to Default documentation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReferencePool">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This type contains all the reference pool items to define the reference entity and reference obligation(s) in the basket.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="referencePoolItem" type="ReferencePoolItem"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReferencePoolItem">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This type contains all the constituent weight and reference information.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="constituentWeight" type="ConstituentWeight">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes the weight of each of the constituents within the basket. If not provided, it is assumed to be equal weighted.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="referencePair" type="ReferencePair"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="SinglePayment">
<xsd:complexContent>
<xsd:extension base="PaymentBase">
<xsd:sequence>
<xsd:element minOccurs="0" name="adjustablePaymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A fixed amount payment date that shall be subject to adjustment in accordance with the applicable business day convention if it would otherwise fall on a day that is not a business day. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component. ISDA 2003 Term: Fixed Rate Payer Payment Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixedAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A fixed payment amount. ISDA 2003 Term: Fixed Amount
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="Tranche">
<xsd:annotation>
<xsd:documentation xml:lang="en">This type represents a CDS Tranche.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="attachmentPoint" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Lower bound percentage of the loss that the Tranche can endure, expressed as a decimal. An attachment point of 5% would be represented as 0.05. The difference between Attachment and Exhaustion points is call the width of the Tranche. A schema facet to constraint the value between 0 to 1 will be introduced in FpML 4.3.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="exhaustionPoint" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Upper bound percentage of the loss that the Tranche can endure, expressed as a decimal. An exhaustion point of 5% would be represented as 0.05. The difference between Attachment and Exhaustion points is call the width of the Tranche. A schema facet to constraint the value between 0 to 1 will be introduced in FpML 4.3.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:element name="creditDefaultSwap" substitutionGroup="product" type="CreditDefaultSwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">
In a credit default swap one party (the protection seller) agrees to compensate another party (the protection buyer) if a specified company or Sovereign (the reference entity) experiences a credit event, indicating it is or may be unable to service its debts. The protection seller is typically paid a fee and/or premium, expressed as an annualized percent of the notional in basis points, regularly over the life of the transaction or otherwise as agreed by the parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="creditDefaultSwapOption" substitutionGroup="product" type="CreditDefaultSwapOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">An option on a credit default swap.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:schema>
XML schema documentation generated with FlexDoc/XML 1.12.2 using FlexDoc/XML XSDDoc 2.9.1 template set. All XSD diagrams generated by FlexDoc/XML DiagramKit.