http://www.fpml.org/spec/fpml-4-2-13-tr-6
http://www.fpml.org/spec/fpml-4-2-13-tr-6
https://www.fpml.org/spec/fpml-4-2-12-rec-2/
http://www.fpml.org/spec/errata/fpml-4-2-13-tr-6-errata.html
Document built: Thu 09/09/2021 16:55:52.64
Copyright (c) 1999 - 2006 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.
Financial Products Markup Language is subject to the FpML public license
A copy of this license is available at http://www.fpml.org/documents/license.html
The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: additionalTermScheme (xsd:anyURI)
<xsd:complexType name="AdditionalTerm">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="additionalTermScheme" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
adjustedPaymentDate (exactly one occurrence; of the type xsd:date)
paymentAmount (exactly one occurrence; of the type Money)
<xsd:complexType name="AdjustedPaymentDates">
<xsd:sequence>
<xsd:element name="adjustedPaymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted payment date. This date should already be
adjusted for any applicable business day convention. This
component is not intended for use in trade confirmation but
my be specified to allow the fee structure to also serve as a
cashflow type component (all dates the the Cashflows type are
adjusted payment dates).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency amount of the payment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
CDS Basket Reference Information
referencePool (exactly one occurrence; of the type ReferencePool)
tranche (exactly one occurrence; of the type Tranche)
<xsd:complexType name="BasketReferenceInformation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
CDS Basket Reference Information
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="BasketIdentifier.model" minOccurs="0">
<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 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 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 name="mthToDefault" type="xsd:positiveInteger" minOccurs="0">
<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>
Inherited element(s): (This definition inherits the content defined by the type SettlementTerms)
valuationDate (zero or one occurrence; of the type ValuationDate)
valuationTime (zero or one occurrence; of the type BusinessCenterTime)
quotationMethod (zero or one occurrence; of the type QuotationRateTypeEnum)
quotationAmount (zero or one occurrence; of the type Money)
minimumQuotationAmount (zero or one occurrence; of the type Money)
dealer (zero or more occurrences; of the type xsd:string)
cashSettlementBusinessDays (zero or one occurrence; of the type xsd:nonNegativeInteger)
cashSettlementAmount (zero or one occurrence; of the type Money)
accruedInterest (zero or one occurrence; of the type xsd:boolean)
valuationMethod (zero or one occurrence; of the type ValuationMethodEnum)
<xsd:complexType name="CashSettlementTerms">
<xsd:complexContent>
<xsd:extension base="SettlementTerms">
<xsd:sequence>
<xsd:element name="valuationDate" type="ValuationDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of business days after conditions to
settlement have been satisfied when the calculation agent
obtains a price quotation on the Reference Obligation for
purposes of cash settlement. There may be one or more
valuation dates. This is typically specified if the cash
settlement amount is not a fixed amount. ISDA 2003 Term:
Valuation Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationTime" type="BusinessCenterTime" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time of day in the specified business center when the
calculation agent seeks quotations for an amount of the
reference obligation for purposes of cash settlement.
ISDA 2003 Term: Valuation Time
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quotationMethod" type="QuotationRateTypeEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The type of price quotations to be requested from dealers
when determining the market value of the reference
obligation for purposes of cash settlement. For example,
Bid, Offer or Mid-market. ISDA 2003 Term: Quotation
Method
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quotationAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
In the determination of a cash settlement amount, if
weighted average quotations are to be obtained, the
quotation amount specifies an upper limit to the
outstanding principal balance of the reference obligation
for which the quote should be obtained. If not specified,
the ISDA definitions provide for a fallback amount equal
to the floating rate payer calculation amount. ISDA 2003
Term: Quotation Amount
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="minimumQuotationAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
In the determination of a cash settlement amount, if
weighted average quotations are to be obtained, the
minimum quotation amount specifies a minimum intended
threshold amount of outstanding principal balance of the
reference obligation for which the quote should be
obtained. If not specified, the ISDA definitions provide
for a fallback amount of the lower of either USD
1,000,000 (or its equivalent in the relevant obligation
currency) or the quotation amount. ISDA 2003 Term:
Minimum Quotation Amount
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dealer" type="xsd:string" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A dealer from whom quotations are obtained by the
calculation agent on the reference obligation for
purposes of cash settlement. ISDA 2003 Term: Dealer
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashSettlementBusinessDays" type="xsd:nonNegativeInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of business days used in the determination of
the cash settlement payment date. If a cash settlement
amount is specified, the cash settlement payment date
will be this number of business days following the
calculation of the final price. If a cash settlement
amount is not specified, the cash settlement payment date
will be this number of business days after all conditions
to settlement are satisfied. ISDA 2003 Term: Cash
Settlement Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashSettlementAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount paid by the seller to the buyer for cash
settlement on the cash settlement date. If not otherwise
specified, would typically be calculated as 100 (or the
Reference Price) minus the price of the Reference
Obligation (all expressed as a percentage) times Floating
Rate Payer Calculation Amount. ISDA 2003 Term: Cash
Settlement Amount
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="accruedInterest" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates whether accrued interest is included (true) or
not (false). For cash settlement this specifies whether
quotations should be obtained inclusive or not of accrued
interest. For physical settlement this specifies whether
the buyer should deliver the obligation with an
outstanding principal balance that includes or excludes
accrued interest. ISDA 2003 Term: Include/Exclude Accrued
Interest
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationMethod" type="ValuationMethodEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA defined methodology for determining the final
price of the reference obligation for purposes of cash
settlement. (ISDA 2003 Term: Valuation Method). For
example, Market, Highest etc.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type Product)
generalTerms (exactly one occurrence; of the type GeneralTerms)
feeLeg (exactly one occurrence; of the type FeeLeg)
protectionTerms (one or more occurrences; of the type ProtectionTerms)
cashSettlementTerms (exactly one occurrence; of the type CashSettlementTerms)
Or
physicalSettlementTerms (exactly one occurrence; of the type PhysicalSettlementTerms)
<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 name="protectionTerms" type="ProtectionTerms" maxOccurs="unbounded">
<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:choice minOccurs="0" maxOccurs="unbounded">
<xsd:element name="cashSettlementTerms" type="CashSettlementTerms">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the ISDA terms relevant to
cash settlement for when cash settlement is applicable.
ISDA 2003 Term: Cash Settlement
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="physicalSettlementTerms" type="PhysicalSettlementTerms">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the ISDA terms relevant to
physical settlement for when physical settlement is
applicable. ISDA 2003 Term: Physical Settlement
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
notifyingParty (exactly one occurrence; of the type NotifyingParty)
businessCenter (zero or one occurrence; of the type BusinessCenter)
publiclyAvailableInformation (zero or one occurrence; of the type PubliclyAvailableInformation)
<xsd:complexType name="CreditEventNotice">
<xsd:sequence>
<xsd:element name="notifyingParty" type="NotifyingParty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Pointer style references to a party identifier defined
elsewhere in the document. The notifying party is the party
that notifies the other party when a credit event has
occurred by means of a credit event notice. If more than one
party is referenced as being the notifying party then either
party may notify the other of a credit event occurring. ISDA
2003 Term: Notifying Party
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="businessCenter" type="BusinessCenter" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Inclusion of this business center element implies that
Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit
Derivatives Definitions is replaced by the local time of the
city indicated by the businessCenter element value.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="publiclyAvailableInformation" type="PubliclyAvailableInformation" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A specified condition to settlement. Publicly available
information means information that reasonably confirms any of
the facts relevant to determining that a credit event or
potential repudiation/moratorium, as applicable, has
occurred. The ISDA defined list (2003) is the market standard
and is considered comprehensive, and a minimum of two
differing public sources must have published the relevant
information, to declare a Credit Event. ISDA 2003 Term:
Notice of Publicly Available Information Applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
bankruptcy (zero or one occurrence; of the type Empty)
failureToPay (zero or one occurrence; of the type FailureToPay)
obligationDefault (zero or one occurrence; of the type Empty)
obligationAcceleration (zero or one occurrence; of the type Empty)
repudiationMoratorium (zero or one occurrence; of the type Empty)
restructuring (zero or one occurrence; of the type Restructuring)
defaultRequirement (zero or one occurrence; of the type Money)
creditEventNotice (zero or one occurrence; of the type CreditEventNotice)
<xsd:complexType name="CreditEvents">
<xsd:sequence>
<xsd:element name="bankruptcy" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. The reference entity has been dissolved or
has become insolvent. It also covers events that may be a
precursor to insolvency such as instigation of bankruptcy or
insolvency proceedings. Sovereign trades are not subject to
Bankruptcy as "technically" a Sovereign cannot become
bankrupt. ISDA 2003 Term: Bankruptcy
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="failureToPay" type="FailureToPay" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. This credit event triggers, after the
expiration of any applicable grace period, if the reference
entity fails to make due payments in an aggregrate amount of
not less than the payment requirement on one or more
obligations (e.g. a missed coupon payment). ISDA 2003 Term:
Failure to Pay
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="obligationDefault" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. One or more of the obligations have become
capable of being declared due and payable before they would
otherwise have been due and payable as a result of, or on the
basis of, the occurrence of a default, event of default or
other similar condition or event other than failure to pay.
ISDA 2003 Term: Obligation Default
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="obligationAcceleration" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. One or more of the obligations have been
declared due and payable before they would otherwise have
been due and payable as a result of, or on the basis of, the
occurrence of a default, event of default or other similar
condition or event other than failure to pay (preferred by
the market over Obligation Default, because more definitive
and encompasses the definition of Obligation Default - this
is more favorable to the Seller). Subject to the default
requirement amount. ISDA 2003 Term: Obligation Acceleration
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="repudiationMoratorium" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. The reference entity, or a governmental
authority, either refuses to recognise or challenges the
validity of one or more obligations of the reference entity,
or imposes a moratorium thereby postponing payments on one or
more of the obligations of the reference entity. Subject to
the default requirement amount. ISDA 2003 Term:
Repudiation/Moratorium
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="restructuring" type="Restructuring" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. A restructuring is an event that materially
impacts the reference entity's obligations, such as an
interest rate reduction, principal reduction, deferral of
interest or principal, change in priority ranking, or change
in currency or composition of payment. ISDA 2003 Term:
Restructuring
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="defaultRequirement" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
In relation to certain credit events, serves as a threshold
for Obligation Acceleration, Obligation Default,
Repudiation/Moratorium and Restructuring. Market standard is
USD 10,000,000 (JPY 1,000,000,000 for all Japanese Yen
trades). This is applied on an aggregate or total basis
across all Obligations of the Reference Entity. Used to
prevent technical/operational errors from triggering credit
events. ISDA 2003 Term: Default Requirement
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="creditEventNotice" type="CreditEventNotice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A specified condition to settlement. An irrevocable written
or verbal notice that describes a credit event that has
occurred. The notice is sent from the notifying party (either
the buyer or the seller) to the counterparty. It provides
information relevant to determining that a credit event has
occurred. This is typically accompanied by Publicly Available
Information. ISDA 2003 Term: Credit Event Notice
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
accruedInterest (zero or one occurrence; of the type xsd:boolean)
category (zero or one occurrence; of the type ObligationCategoryEnum)
notSubordinated (zero or one occurrence; of the type Empty)
specifiedCurrency (zero or one occurrence; of the type SpecifiedCurrency)
notSovereignLender (zero or one occurrence; of the type Empty)
notDomesticCurrency (zero or one occurrence; of the type NotDomesticCurrency)
notDomesticLaw (zero or one occurrence; of the type Empty)
listed (zero or one occurrence; of the type Empty)
notContingent (zero or one occurrence; of the type Empty)
notDomesticIssuance (zero or one occurrence; of the type Empty)
assignableLoan (zero or one occurrence; of the type PCDeliverableObligationCharac)
consentRequiredLoan (zero or one occurrence; of the type PCDeliverableObligationCharac)
directLoanParticipation (zero or one occurrence; of the type LoanParticipation)
transferable (zero or one occurrence; of the type Empty)
maximumMaturity (zero or one occurrence; of the type Interval)
acceleratedOrMatured (zero or one occurrence; of the type Empty)
notBearer (zero or one occurrence; of the type Empty)
fullFaithAndCreditObLiability (exactly one occurrence; of the type Empty)
Or
generalFundObligationLiability (exactly one occurrence; of the type Empty)
Or
revenueObligationLiability (exactly one occurrence; of the type Empty)
indirectLoanParticipation (zero or one occurrence; of the type LoanParticipation)
excluded (zero or one occurrence; of the type xsd:string)
othReferenceEntityObligations (zero or one occurrence; of the type xsd:string)
<xsd:complexType name="DeliverableObligations">
<xsd:sequence>
<xsd:element name="accruedInterest" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates whether accrued interest is included (true) or not
(false). For cash settlement this specifies whether
quotations should be obtained inclusive or not of accrued
interest. For physical settlement this specifies whether the
buyer should deliver the obligation with an outstanding
principal balance that includes or excludes accrued interest.
ISDA 2003 Term: Include/Exclude Accrued Interest
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="category" type="ObligationCategoryEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used in both obligations and deliverable obligations to
represent a class or type of securities which apply. ISDA
2003 Term: Obligation Category/Deliverable Obligation
Category
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notSubordinated" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. An
obligation that ranks at least equal with the most senior
Reference Obligation in priority of payment or, if no
Reference Obligation is specified in the related
Confirmation, the obligations of the Reference Entity that
are senior. ISDA 2003 Term: Not Subordinated
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="specifiedCurrency" type="SpecifiedCurrency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. The
currency or currencies in which an obligation or deliverable
obligation must be payable. ISDA 2003 Term: Specified
Currency
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notSovereignLender" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. Any
obligation that is not primarily (majority) owed to a
Sovereign or Supranational Organization. ISDA 2003 Term: Not
Sovereign Lender
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticCurrency" type="NotDomesticCurrency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. Any
obligation that is payable in any currency other than the
domestic currency. Domestic currency is either the currency
so specified or, if no currency is specified, the currency of
(a) the reference entity, if the reference entity is a
sovereign, or (b) the jurisdiction in which the relevant
reference entity is organised, if the reference entity is not
a sovereign. ISDA 2003 Term: Not Domestic Currency
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticLaw" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. If
the reference entity is a Sovereign, this means any
obligation that is not subject to the laws of the reference
entity. If the reference entity is not a sovereign, this
means any obligation that is not subject to the laws of the
jurisdiction of the reference entity. ISDA 2003 Term: Not
Domestic Law
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="listed" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Indicates whether or not the obligation is quoted, listed or
ordinarily purchased and sold on an exchange. ISDA 2003 Term:
Listed
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notContingent" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. In essence Not
Contingent means the repayment of principal cannot be
dependant on a formula/index, i.e. to prevent the risk of
being delivered an instrument that may never pay any element
of principal, and to ensure that the obligation is interest
bearing (on a regular schedule). ISDA 2003 Term: Not
Contingent
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticIssuance" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. Any
obligation other than an obligation that was intended to be
offered for sale primarily in the domestic market of the
relevant Reference Entity. This specifies that the obligation
must be an internationally recognized bond. ISDA 2003 Term:
Not Domestic Issuance
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="assignableLoan" type="PCDeliverableObligationCharac" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. A loan that is
freely assignable to a bank or financial institution without
the consent of the Reference Entity or the guarantor, if any,
of the loan (or the consent of the applicable borrower if a
Reference Entity is guaranteeing the loan) or any agent. ISDA
2003 Term: Assignable Loan
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="consentRequiredLoan" type="PCDeliverableObligationCharac" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. A loan that is
capable of being assigned with the consent of the Reference
Entity or the guarantor, if any, of the loan or any agent.
ISDA 2003 Term: Consent Required Loan
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="directLoanParticipation" type="LoanParticipation" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. A loan with a
participation agreement whereby the buyer is capable of
creating, or procuring the creation of, a contractual right
in favour of the seller that provides the seller with
recourse to the participation seller for a specified share in
any payments due under the relevant loan which are received
by the participation seller. ISDA 2003 Term: Direct Loan
Participation
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="transferable" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. An obligation that
is transferable to institutional investors without any
contractual, statutory or regulatory restrictions. ISDA 2003
Term: Transferable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maximumMaturity" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. An obligation that
has a remaining maturity from the Physical Settlement Date of
not greater than the period specified. ISDA 2003 Term:
Maximum Maturity
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="acceleratedOrMatured" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. An obligation at
time of default is due to mature and due to be repaid, or as
a result of downgrade/bankruptcy is due to be repaid as a
result of an acceleration clause. ISDA 2003 Term: Accelerated
or Matured
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notBearer" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. Any obligation that
is not a bearer instrument. This applies to Bonds only and is
meant to avoid tax, fraud and security/delivery provisions
that can potentially be associated with Bearer Bonds. ISDA
2003 Term: Not Bearer
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:element name="fullFaithAndCreditObLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term: Full
Faith and Credit Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="generalFundObligationLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term: General
Fund Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="revenueObligationLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term: Revenue
Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="indirectLoanParticipation" type="LoanParticipation" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 1999 Term: Indirect Loan Participation. NOTE: Only
applicable as a deliverable obligation under ISDA Credit
1999.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="excluded" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A free format string to specify any excluded obligations or
deliverable obligations, as the case may be, of the reference
entity or excluded types of obligations or deliverable
obligations. ISDA 2003 Term: Excluded Obligations/Excluded
Deliverable Obligations
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="othReferenceEntityObligations" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element is used to specify any other obligations of a
reference entity in both obligations and deliverable
obligations. The obligations can be specified free-form. ISDA
2003 Term: Other Obligations of a Reference Entity
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Defines a coding scheme of the entity types defined in the ISDA First to Default documentation.
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: entityTypeScheme (xsd:anyURI)
<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="xsd:normalizedString">
<xsd:attribute name="entityTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/entity-type-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
gracePeriodExtension (zero or one occurrence; of the type GracePeriodExtension)
paymentRequirement (zero or one occurrence; of the type Money)
<xsd:complexType name="FailureToPay">
<xsd:sequence>
<xsd:element name="gracePeriodExtension" type="GracePeriodExtension" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If this element is specified, indicates whether or not a
grace period extension is applicable. ISDA 2003 Term: Grace
Period Extension Applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentRequirement" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a threshold for the failure to pay credit event.
Market standard is USD 1,000,000 (JPY 100,000,000 for
Japanese Yen trades) or its equivalent in the relevant
obligation currency. This is applied on an aggregate basis
across all Obligations of the Reference Entity. Intended to
prevent technical/operational errors from triggering credit
events. ISDA 2003 Term: Payment Requirement
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
initialPayment (zero or one occurrence; of the type InitialPayment)
singlePayment (zero or more occurrences; of the type SinglePayment)
periodicPayment (zero or one occurrence; of the type PeriodicPayment)
marketFixedRate (zero or one occurrence; of the type xsd:decimal)
<xsd:complexType name="FeeLeg">
<xsd:sequence>
<xsd:element name="initialPayment" type="InitialPayment" minOccurs="0">
<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 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 name="singlePayment" type="SinglePayment" minOccurs="0" maxOccurs="unbounded">
<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:element name="periodicPayment" type="PeriodicPayment" minOccurs="0">
<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:element name="marketFixedRate" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional element that only has meaning in a credit index
trade. This element contains the credit spread ("fair value")
at which the trade was executed. Unlike the fixedRate of an
index, the marketFixedRate varies over the life of the index
depending on market conditions. The marketFixedRate is the
price of the index as quoted by trading desks.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
calculationAmount (zero or one occurrence; of the type Money)
fixedRate (exactly one occurrence; of the type xsd:decimal)
dayCountFraction (zero or one occurrence; of the type DayCountFraction)
<xsd:complexType name="FixedAmountCalculation">
<xsd:sequence>
<xsd:element name="calculationAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The notional amount used in the calculation of fixed amounts
where an amount is calculated on a formula basis, i.e. fixed
amount = fixed rate payer calculation amount x fixed rate x
fixed rate day count fraction. ISDA 2003 Term: Fixed Rate
Payer Calculation Amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixedRate" type="xsd:decimal">
<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 name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<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>
effectiveDate (zero or one occurrence; of the type AdjustableDate2)
scheduledTerminationDate (zero or one occurrence; of the type ScheduledTerminationDate)
sellerPartyReference (exactly one occurrence; of the type PartyOrTradeSideReference)
buyerPartyReference (exactly one occurrence; of the type PartyOrTradeSideReference)
dateAdjustments (zero or one occurrence; of the type BusinessDayAdjustments)
referenceInformation (exactly one occurrence; of the type ReferenceInformation)
Or
indexReferenceInformation (exactly one occurrence; of the type IndexReferenceInformation)
Or
basketReferenceInformation (exactly one occurrence; of the type BasketReferenceInformation)
additionalTerm (zero or more occurrences; of the type AdditionalTerm)
substitution (zero or one occurrence; of the type Empty)
modifiedEquityDelivery (zero or one occurrence; of the type Empty)
<xsd:complexType name="GeneralTerms">
<xsd:sequence>
<xsd:element name="effectiveDate" type="AdjustableDate2" minOccurs="0">
<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="ScheduledTerminationDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The scheduled date on which the credit protection will lapse.
May be specified as an adjusting or non-adjusting date or
alternatively as a period offset from the effective date.
ISDA 2003 Term: Scheduled Termination Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="sellerPartyReference" type="PartyOrTradeSideReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The seller of the credit protection. ISDA 2003 Term: Floating
Rate Payer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="buyerPartyReference" type="PartyOrTradeSideReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The buyer of the credit protection. ISDA 2003 Term: Fixed
Rate Payer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dateAdjustments" type="BusinessDayAdjustments" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2003 Terms: Business Day and Business Day Convention.
</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:element name="indexReferenceInformation" type="IndexReferenceInformation">
<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:element name="basketReferenceInformation" type="BasketReferenceInformation">
<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:element name="additionalTerm" type="AdditionalTerm" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element is used for representing information contained
in the Additional Terms field of the 2003 Master Credit
Derivatives confirm.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="substitution" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Presence of this element indicates that substitution is
applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="modifiedEquityDelivery" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Presence of this element indicates that modified equity
delivery is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
gracePeriod (zero or one occurrence; of the type Offset)
<xsd:complexType name="GracePeriodExtension">
<xsd:sequence>
<xsd:element name="gracePeriod" type="Offset" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of calendar or business days after any due date
that the reference entity has to fulfil its obligations
before a failure to pay credit event is deemed to have
occurred. ISDA 2003 Term: Grace Period
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: indexAnnexSourceScheme (xsd:anyURI)
<xsd:complexType name="IndexAnnexSource">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="indexAnnexSourceScheme" default="http://www.fpml.org/coding-scheme/cdx-index-annex-source-1-0" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: indexIdScheme (xsd:anyURI)
<xsd:complexType name="IndexId">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="indexIdScheme" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: indexNameScheme (xsd:anyURI)
<xsd:complexType name="IndexName">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="indexNameScheme" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
A type defining a Credit Default Swap Index.
indexSeries (zero or one occurrence; of the type xsd:integer)
indexAnnexVersion (zero or one occurrence; of the type xsd:integer)
indexAnnexDate (zero or one occurrence; of the type xsd:date)
indexAnnexSource (zero or one occurrence; of the type IndexAnnexSource)
excludedReferenceEntity (zero or more occurrences; of the type LegalEntity)
tranche (zero or one occurrence; of the type Tranche)
settledEntityMatrix (zero or one occurrence; of the type SettledEntityMatrix)
Attribute: id (xsd:ID)
<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>
<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 name="indexId" type="IndexId" minOccurs="0" maxOccurs="unbounded">
<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 name="indexId" type="IndexId" maxOccurs="unbounded">
<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 name="indexSeries" type="xsd:integer" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS index series identifier, e.g. 1, 2, 3 etc.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexAnnexVersion" type="xsd:integer" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS index series version identifier, e.g. 1, 2, 3 etc.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexAnnexDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS index series annex date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexAnnexSource" type="IndexAnnexSource" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS index series annex source.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="excludedReferenceEntity" type="LegalEntity" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Excluded reference entity.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="tranche" type="Tranche" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains CDS tranche terms.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="settledEntityMatrix" type="SettledEntityMatrix" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used to specify the Relevant Settled Entity Matrix when there
are settled entities at the time of the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
payerPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
receiverPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
adjustablePaymentDate (zero or one occurrence; of the type xsd:date)
adjustedPaymentDate (zero or one occurrence; of the type xsd:date)
paymentAmount (exactly one occurrence; of the type Money)
<xsd:complexType name="InitialPayment">
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="adjustablePaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A fixed 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedPaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted payment date. This date should already be
adjusted for any applicable business day convention. This
component is not intended for use in trade confirmation but
may be specified to allow the fee structure to also serve as
a cashflow type component.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<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:complexType>
Inherited element(s): (This definition inherits the content defined by the type PCDeliverableObligationCharac)
qualifyingParticipationSeller (zero or one occurrence; of the type xsd:string)
<xsd:complexType name="LoanParticipation">
<xsd:complexContent>
<xsd:extension base="PCDeliverableObligationCharac">
<xsd:sequence>
<xsd:element name="qualifyingParticipationSeller" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If Direct Loan Participation is specified as a
deliverable obligation characteristic, this specifies any
requirements for the Qualifying Participation Seller. The
requirements may be listed free-form. ISDA 2003 Term:
Qualifying Participation Seller
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: settledEntityMatrixSourceScheme (xsd:anyURI)
<xsd:complexType name="MatrixSource">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="settledEntityMatrixSourceScheme" default="http://www.fpml.org/coding-scheme/settled-entity-matrix-source-1-0" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type SingleValuationDate)
businessDaysThereafter (zero or one occurrence; of the type xsd:positiveInteger)
numberValuationDates (zero or one occurrence; of the type xsd:positiveInteger)
<xsd:complexType name="MultipleValuationDates">
<xsd:complexContent>
<xsd:extension base="SingleValuationDate">
<xsd:sequence>
<xsd:element name="businessDaysThereafter" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of business days between successive valuation
dates when multiple valuation dates are applicable for
cash settlement. ISDA 2003 Term: Business Days thereafter
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="numberValuationDates" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where multiple valuation dates are specified as being
applicable for cash settlement, this element specifies
(a) the number of applicable valuation dates, and (b) the
number of business days after satisfaction of all
conditions to settlement when the first such valuation
date occurs, and (c) the number of business days
thereafter of each successive valuation date. ISDA 2003
Term: Multiple Valuation Dates
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
currency (zero or one occurrence; of the type Currency)
<xsd:complexType name="NotDomesticCurrency">
<xsd:sequence>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An explicit specification of the domestic currency.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
buyerPartyReference (exactly one occurrence; of the type PartyReference)
sellerPartyReference (zero or one occurrence; of the type PartyReference)
<xsd:complexType name="NotifyingParty">
<xsd:sequence>
<xsd:element name="buyerPartyReference" type="PartyReference"/>
<xsd:element name="sellerPartyReference" type="PartyReference" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
category (exactly one occurrence; of the type ObligationCategoryEnum)
notSubordinated (zero or one occurrence; of the type Empty)
specifiedCurrency (zero or one occurrence; of the type SpecifiedCurrency)
notSovereignLender (zero or one occurrence; of the type Empty)
notDomesticCurrency (zero or one occurrence; of the type NotDomesticCurrency)
notDomesticLaw (zero or one occurrence; of the type Empty)
listed (zero or one occurrence; of the type Empty)
notDomesticIssuance (zero or one occurrence; of the type Empty)
fullFaithAndCreditObLiability (exactly one occurrence; of the type Empty)
Or
generalFundObligationLiability (exactly one occurrence; of the type Empty)
Or
revenueObligationLiability (exactly one occurrence; of the type Empty)
notContingent (zero or one occurrence; of the type Empty)
excluded (zero or one occurrence; of the type xsd:string)
othReferenceEntityObligations (zero or one occurrence; of the type xsd:string)
<xsd:complexType name="Obligations">
<xsd:sequence>
<xsd:element name="category" type="ObligationCategoryEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used in both obligations and deliverable obligations to
represent a class or type of securities which apply. ISDA
2003 Term: Obligation Category/Deliverable Obligation
Category
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notSubordinated" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. An
obligation that ranks at least equal with the most senior
Reference Obligation in priority of payment or, if no
Reference Obligation is specified in the related
Confirmation, the obligations of the Reference Entity that
are senior. ISDA 2003 Term: Not Subordinated
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="specifiedCurrency" type="SpecifiedCurrency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. The
currency or currencies in which an obligation or deliverable
obligation must be payable. ISDA 2003 Term: Specified
Currency
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notSovereignLender" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. Any
obligation that is not primarily (majority) owed to a
Sovereign or Supranational Organization. ISDA 2003 Term: Not
Sovereign Lender
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticCurrency" type="NotDomesticCurrency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. Any
obligation that is payable in any currency other than the
domestic currency. Domestic currency is either the currency
so specified or, if no currency is specified, the currency of
(a) the reference entity, if the reference entity is a
sovereign, or (b) the jurisdiction in which the relevant
reference entity is organised, if the reference entity is not
a sovereign. ISDA 2003 Term: Not Domestic Currency
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticLaw" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. If
the reference entity is a Sovereign, this means any
obligation that is not subject to the laws of the reference
entity. If the reference entity is not a sovereign, this
means any obligation that is not subject to the laws of the
jurisdiction of the reference entity. ISDA 2003 Term: Not
Domestic Law
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="listed" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Indicates whether or not the obligation is quoted, listed or
ordinarily purchased and sold on an exchange. ISDA 2003 Term:
Listed
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticIssuance" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. Any
obligation other than an obligation that was intended to be
offered for sale primarily in the domestic market of the
relevant Reference Entity. This specifies that the obligation
must be an internationally recognized bond. ISDA 2003 Term:
Not Domestic Issuance
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:element name="fullFaithAndCreditObLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term: Full
Faith and Credit Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="generalFundObligationLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term: General
Fund Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="revenueObligationLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term: Revenue
Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="notContingent" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
NOTE: Only allowed as an obligation charcteristic under ISDA
Credit 1999. In essence Not Contingent means the repayment of
principal cannot be dependant on a formula/index, i.e. to
prevent the risk of being delivered an instrument that may
never pay any element of principal, and to ensure that the
obligation is interest bearing (on a regular schedule). ISDA
2003 Term: Not Contingent
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="excluded" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A free format string to specify any excluded obligations or
deliverable obligations, as the case may be, of the reference
entity or excluded types of obligations or deliverable
obligations. ISDA 2003 Term: Excluded Obligations/Excluded
Deliverable Obligations
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="othReferenceEntityObligations" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element is used to specify any other obligations of a
reference entity in both obligations and deliverable
obligations. The obligations can be specified free-form. ISDA
2003 Term: Other Obligations of a Reference Entity
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
partialCashSettlement (zero or one occurrence; of the type Empty)
<xsd:complexType name="PCDeliverableObligationCharac">
<xsd:sequence>
<xsd:element name="partialCashSettlement" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether either 'Partial Cash Settlement of
Assignable Loans', 'Partial Cash Settlement of Consent
Required Loans' or 'Partial Cash Settlement of
Participations' is applicable. If this element is specified
and Assignable Loan is a Deliverable Obligation
Chracteristic, any Assignable Loan that is deliverable, but
where a non-receipt of Consent by the Physical Settlement
Date has occurred, the Loan can be cash settled rather than
physically delivered. If this element is specified and
Consent Required Loan is a Deliverable Obligation
Characterisitc, any Consent Required Loan that is
deliverable, but where a non-receipt of Consent by the
Physical Settlement Date has occurred, the Loan can be cash
settled rather than physically delivered. If this element is
specified and Direct Loan Participation is a Deliverable
Obligation Characterisitic, any Participation that is
deliverable, but where this participation has not been
effected (has not come into effect) by the Physical
Settlement Date, the participation can be cash settled rather
than physically delivered.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
paymentFrequency (zero or one occurrence; of the type Interval)
firstPeriodStartDate (zero or one occurrence; of the type xsd:date)
firstPaymentDate (zero or one occurrence; of the type xsd:date)
lastRegularPaymentDate (zero or one occurrence; of the type xsd:date)
rollConvention (zero or one occurrence; of the type RollConventionEnum)
fixedAmount (exactly one occurrence; of the type Money)
Or
fixedAmountCalculation (exactly one occurrence; of the type FixedAmountCalculation)
adjustedPaymentDates (zero or more occurrences; of the type AdjustedPaymentDates)
<xsd:complexType name="PeriodicPayment">
<xsd:sequence>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time interval between regular fixed rate payer payment
dates.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="firstPeriodStartDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start date of the initial calculation period if such date
is not equal to the trade’s effective date. It must only be
specified if it is not equal to the effective date. The
applicable business day convention and business day are those
specified in the dateAdjustments element within the
generalTerms component (or in a transaction supplement FpML
representation defined within the referenced general terms
confirmation agreement).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="firstPaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The first unadjusted fixed rate payer payment date. The
applicable business day convention and business day are those
specified in the dateAdjustments element within the
generalTerms component (or in a transaction supplement FpML
representation defined within the referenced general terms
confirmation agreement). ISDA 2003 Term: Fixed Rate Payer
Payment Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="lastRegularPaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The last regular unadjusted fixed rate payer payment date.
The applicable business day convention and business day are
those specified in the dateAdjustments element within the
generalTerms component (or in a transaction supplement FpML
representation defined within the referenced general terms
confirmation agreement). This element should only be included
if there is a final payment stub, i.e. where the last regular
unadjusted fixed rate payer payment date is not equal to the
scheduled termination date. ISDA 2003 Term: Fixed Rate Payer
Payment Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="rollConvention" type="RollConventionEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used in conjunction with the effectiveDate,
scheduledTerminationDate, firstPaymentDate,
lastRegularPaymentDate and paymentFrequency to determine the
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:element name="fixedAmountCalculation" type="FixedAmountCalculation">
<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:element name="adjustedPaymentDates" type="AdjustedPaymentDates" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional cashflow-like structure allowing the equivalent
representation of the periodic fixed payments in terms of a
series of adjusted payment dates and amounts. This is
intended to support application integration within an
organisation and is not intended for use in inter-firm
communication or confirmations. ISDA 2003 Term: Fixed Rate
Payer Payment Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
businessDaysNotSpecified (exactly one occurrence; of the type Empty)
Or
businessDays (exactly one occurrence; of the type xsd:nonNegativeInteger)
Or
maximumBusinessDays (exactly one occurrence; of the type xsd:nonNegativeInteger)
<xsd:complexType name="PhysicalSettlementPeriod">
<xsd:choice>
<xsd:element name="businessDaysNotSpecified" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An explicit indication that a number of business days are not
specified and therefore ISDA fallback provisions should
apply.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="businessDays" type="xsd:nonNegativeInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A number of business days. Its precise meaning is dependant
on the context in which this element is used. ISDA 2003 Term:
Business Day
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maximumBusinessDays" type="xsd:nonNegativeInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A maximum number of business days. Its precise meaning is
dependant on the context in which this element is used.
Intended to be used to limit a particular ISDA fallback
provision.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type SettlementTerms)
physicalSettlementPeriod (zero or one occurrence; of the type PhysicalSettlementPeriod)
deliverableObligations (zero or one occurrence; of the type DeliverableObligations)
escrow (zero or one occurrence; of the type xsd:boolean)
sixtyBusinessDaySettlementCap (zero or one occurrence; of the type xsd:boolean)
<xsd:complexType name="PhysicalSettlementTerms">
<xsd:complexContent>
<xsd:extension base="SettlementTerms">
<xsd:sequence>
<xsd:element name="physicalSettlementPeriod" type="PhysicalSettlementPeriod" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of business days used in the determination of
the physical settlement date. The physical settlement
date is this number of business days after all applicable
conditions to settlement are satisfied. If a number of
business days is not specified fallback provisions apply
for determining the number of business days. If Section
8.5/8.6 of the 1999/2003 ISDA Definitions are to apply
the businessDaysNotSpecified element should be included.
If a specified number of business days are to apply these
should be specified in the businessDays element. If
Section 8.5/8.6 of the 1999/2003 ISDA Definitions are to
apply but capped at a maximum number of business days
then the maximum number should be specified in the
maximumBusinessDays element. ISDA 2003 Term: Physical
Settlement Period
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="deliverableObligations" type="DeliverableObligations" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the ISDA terms relevant to
defining the deliverable obligations.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="escrow" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If this element is specified, indicates that physical
settlement must take place through the use of an escrow
agent. (For Canadian counterparties this is always "Not
Applicable". ISDA 2003 Term: Escrow
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="sixtyBusinessDaySettlementCap" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If this element is specified, for a transaction
documented under the 2003 ISDA Credit Derivatives
Definitions, has the effect of incorporating the language
set forth below into the confirmation. The section
references are to the 2003 ISDA Credit Derivatives
Definitions. Notwithstanding Section 1.7 or any
provisions of Sections 9.9 or 9.10 to the contrary, but
without prejudice to Section 9.3 and (where applicable)
Sections 9.4, 9.5 and 9.6, if the Termination Date has
not occurred on or prior to the date that is 60 Business
Days following the Physical Settlement Date, such 60th
Business Day shall be deemed to be the Termination Date
with respect to this Transaction except in relation to
any portion of the Transaction (an "Affected Portion") in
respect of which: (1) a valid notice of Buy-in Price has
been delivered that is effective fewer than three
Business Days prior to such 60th Business Day, in which
case the Termination Date for that Affected Portion shall
be the third Business Day following the date on which
such notice is effective; or (2) Buyer has purchased but
not Delivered Deliverable Obligations validly specified
by Seller pursuant to Section 9.10(b), in which case the
Termination Date for that Affected Portion shall be the
tenth Business Day following the date on which Seller
validly specified such Deliverable Obligations to Buyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
calculationAmount (exactly one occurrence; of the type Money)
creditEvents (zero or one occurrence; of the type CreditEvents)
obligations (zero or one occurrence; of the type Obligations)
Attribute: id (xsd:ID) - optional
<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 name="creditEvents" type="CreditEvents" minOccurs="0">
<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:element name="obligations" type="Obligations" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The underlying obligations of the reference entity on which
you are buying or selling protection. The credit events
Failure to Pay, Obligation Acceleration, Obligation Default,
Restructuring, Repudiation/Moratorium are defined with
respect to these obligations. ISDA 2003 Term:
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
Reference to protectionTerms component.
Inherited element(s): (This definition inherits the content defined by the type Reference)
<xsd:complexType name="ProtectionTermsReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to protectionTerms component.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference"/>
</xsd:complexContent>
</xsd:complexType>
standardPublicSources (zero or one occurrence; of the type Empty)
publicSource (zero or more occurrences; of the type xsd:string)
specifiedNumber (zero or one occurrence; of the type xsd:positiveInteger)
<xsd:complexType name="PubliclyAvailableInformation">
<xsd:sequence>
<xsd:element name="standardPublicSources" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If this element is specified, indicates that ISDA defined
Standard Public Sources are applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="publicSource" type="xsd:string" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A public information source, e.g. a particular newspaper or
electronic news service, that may publish relevant
information used in the determination of whether or not a
credit event has occurred. ISDA 2003 Term: Public Source
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="specifiedNumber" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The minimum number of the specified public information
sources that must publish information that reasonably
confirms that a credit event has occurred. The market
convention is two. ISDA 2003 Term: Specified Number
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
referenceEntity (exactly one occurrence; of the type LegalEntity)
referenceObligation (one or more occurrences; of the type ReferenceObligation)
Or
noReferenceObligation (exactly one occurrence; of the type Empty)
Or
unknownReferenceObligation (exactly one occurrence; of the type Empty)
allGuarantees (zero or one occurrence; of the type xsd:boolean)
referencePrice (zero or one occurrence; of the type xsd:decimal)
<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>
<xsd:element name="referenceObligation" type="ReferenceObligation" maxOccurs="unbounded">
<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="Empty">
<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="Empty">
<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:element name="allGuarantees" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates whether an obligation of the Reference Entity,
guaranteed by the Reference Entity on behalf of a
non-Affiliate, is to be considered an Obligation for the
purpose of the transaction. It will be considered an
obligation if allGuarantees is applicable (true) and not if
allGuarantees is inapplicable (false). ISDA 2003 Term: All
Guarantees
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="referencePrice" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used to determine (a) for physically settled trades, the
Physical Settlement Amount, which equals the Floating Rate
Payer Calculation Amount times the Reference Price and (b)
for cash settled trades, the Cash Settlement Amount, which
equals the greater of (i) the difference between the
Reference Price and the Final Price and (ii) zero. ISDA 2003
Term: Reference Price
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
bond (exactly one occurrence; of the type Bond)
Or
convertibleBond (exactly one occurrence; of the type ConvertibleBond)
primaryObligor (exactly one occurrence; of the type LegalEntity)
Or
primaryObligorReference (exactly one occurrence; of the type LegalEntityReference)
guarantor (exactly one occurrence; of the type LegalEntity)
Or
guarantorReference (exactly one occurrence; of the type LegalEntityReference)
<xsd:complexType name="ReferenceObligation">
<xsd:sequence>
<xsd:choice>
<xsd:element ref="bond"/>
<xsd:element ref="convertibleBond"/>
</xsd:choice>
<xsd:choice minOccurs="0">
<xsd:element name="primaryObligor" type="LegalEntity">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The entity primarily responsible for repaying debt to a
creditor as a result of borrowing or issuing bonds. ISDA
2003 Term: Primary Obligor
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="primaryObligorReference" type="LegalEntityReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to a reference entity defined
elsewhere in the document. Used when the reference entity
is the primary obligor.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:choice minOccurs="0" maxOccurs="unbounded">
<xsd:element name="guarantor" type="LegalEntity">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The party that guarantees by way of a contractual
arrangement to pay the debts of an obligor if the obligor
is unable to make the required payments itself. ISDA 2003
Term: Guarantor
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="guarantorReference" type="LegalEntityReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to a reference entity defined
elsewhere in the document. Used when the reference entity
is the guarantor.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
referenceEntity (exactly one occurrence; of the type LegalEntity)
referenceObligation (exactly one occurrence; of the type ReferenceObligation)
Or
noReferenceObligation (exactly one occurrence; of the type Empty)
entityType (exactly one occurrence; of the type EntityType)
<xsd:complexType name="ReferencePair">
<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>
<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="Empty">
<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 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>
This type contains all the reference pool items to define the reference entity and reference obligation(s) in the basket.
referencePoolItem (one or more occurrences; of the type ReferencePoolItem)
<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 name="referencePoolItem" type="ReferencePoolItem" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
This type contains all the constituent weight and reference information.
constituentWeight (zero or one occurrence; of the type ConstituentWeight)
referencePair (exactly one occurrence; of the type ReferencePair)
protectionTermsReference (zero or one occurrence; of the type ProtectionTermsReference)
settlementTermsReference (zero or one occurrence; of the type SettlementTermsReference)
<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 name="constituentWeight" type="ConstituentWeight" minOccurs="0">
<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 name="referencePair" type="ReferencePair"/>
<xsd:element name="protectionTermsReference" type="ProtectionTermsReference" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the documentation terms applicable to this item.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="settlementTermsReference" type="SettlementTermsReference" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the settlement terms applicable to this item.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
restructuringType (zero or one occurrence; of the type RestructuringType)
multipleHolderObligation (zero or one occurrence; of the type Empty)
multipleCreditEventNotices (zero or one occurrence; of the type Empty)
<xsd:complexType name="Restructuring">
<xsd:sequence>
<xsd:element name="restructuringType" type="RestructuringType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the type of restructuring that is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multipleHolderObligation" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
In relation to a restructuring credit event, unless multiple
holder obligation is not specified restructurings are limited
to multiple holder obligations. A multiple holder obligation
means an obligation that is held by more than three holders
that are not affiliates of each other and where at least two
thirds of the holders must agree to the event that
constitutes the restructuring credit event. ISDA 2003 Term:
Multiple Holder Obligation
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multipleCreditEventNotices" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Presence of this element indicates that Section 3.9 of the
2003 Credit Derivatives Definitions shall apply. Absence of
this element indicates that Section 3.9 shall not apply.
NOTE: Not allowed under ISDA Credit 1999.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: restructuringScheme (xsd:anyURI)
<xsd:complexType name="RestructuringType">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="restructuringScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/restructuring-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
adjustableDate (exactly one occurrence; of the type AdjustableDate2)
Or
relativeDate (exactly one occurrence; of the type Interval)
<xsd:complexType name="ScheduledTerminationDate">
<xsd:choice>
<xsd:element name="adjustableDate" type="AdjustableDate2"/>
<xsd:element name="relativeDate" type="Interval"/>
</xsd:choice>
</xsd:complexType>
matrixSource (exactly one occurrence; of the type MatrixSource)
publicationDate (zero or one occurrence; of the type xsd:date)
<xsd:complexType name="SettledEntityMatrix">
<xsd:sequence>
<xsd:element name="matrixSource" type="MatrixSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Relevant settled entity matrix source.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="publicationDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the publication date of the applicable version of
the matrix. When this element is omitted, the Standard Terms
Supplement defines rules for which version of the matrix is
applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
settlementCurrency (zero or one occurrence; of the type Currency)
Attribute: id (xsd:ID) - optional
<xsd:complexType name="SettlementTerms">
<xsd:sequence>
<xsd:element name="settlementCurrency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2003 Term: Settlement Currency
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
Reference to a settlement terms derived construct (cashSettlementTerms or physicalSettlementTerms).
Inherited element(s): (This definition inherits the content defined by the type Reference)
<xsd:complexType name="SettlementTermsReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a settlement terms derived construct
(cashSettlementTerms or physicalSettlementTerms).
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference"/>
</xsd:complexContent>
</xsd:complexType>
adjustablePaymentDate (exactly one occurrence; of the type xsd:date)
adjustedPaymentDate (zero or one occurrence; of the type xsd:date)
fixedAmount (exactly one occurrence; of the type Money)
<xsd:complexType name="SinglePayment">
<xsd:sequence>
<xsd:element 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="adjustedPaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted payment date. This date should already be
adjusted for any applicable business day convention. This
component is not intended for use in trade confirmation but
may be specified to allow the fee structure to also serve as
a cashflow type component.
</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:complexType>
businessDays (zero or one occurrence; of the type xsd:nonNegativeInteger)
<xsd:complexType name="SingleValuationDate">
<xsd:sequence>
<xsd:element name="businessDays" type="xsd:nonNegativeInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A number of business days. Its precise meaning is dependant
on the context in which this element is used. ISDA 2003 Term:
Business Day
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
currency (zero or more occurrences; of the type Currency)
<xsd:complexType name="SpecifiedCurrency">
<xsd:sequence>
<xsd:element name="currency" type="Currency" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
This type represents a CDS Tranche.
attachmentPoint (exactly one occurrence; of the type xsd:decimal)
exhaustionPoint (exactly one occurrence; of the type xsd:decimal)
incurredRecoveryApplicable (zero or one occurrence; of the type xsd:boolean)
<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 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 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:element name="incurredRecoveryApplicable" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Outstanding Swap Notional Amount is defined at any time on
any day, as the greater of: (a) Zero; If Incurred Recovery
Amount Applicable: (b) The Original Swap Notional Amount
minus the sum of all Incurred Loss Amounts and all Incurred
Recovery Amounts (if any) determined under this Confirmation
at or prior to such time.Incurred Recovery Amount not
populated: (b) The Original Swap Notional Amount minus the
sum of all Incurred Loss Amounts determined under this
Confirmation at or prior to such time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
singleValuationDate (exactly one occurrence; of the type SingleValuationDate)
Or
multipleValuationDates (exactly one occurrence; of the type MultipleValuationDates)
<xsd:complexType name="ValuationDate">
<xsd:choice>
<xsd:element name="singleValuationDate" type="SingleValuationDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where single valuation date is specified as being applicable
for cash settlement, this element specifies the number of
business days after satisfaction of all conditions to
settlement when such valuation date occurs. ISDA 2003 Term:
Single Valuation Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multipleValuationDates" type="MultipleValuationDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where multiple valuation dates are specified as being
applicable for cash settlement, this element specifies (a)
the number of applicable valuation dates, and (b) the number
of business days after satisfaction of all conditions to
settlement when the first such valuation date occurs, and (c)
the number of business days thereafter of each successive
valuation date. ISDA 2003 Term: Multiple Valuation Dates
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
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.
Element creditDefaultSwap is defined by the complex type CreditDefaultSwap
<xsd:element name="creditDefaultSwap" type="CreditDefaultSwap" substitutionGroup="product">
<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:schema targetNamespace="http://www.fpml.org/2005/FpML-4-2" elementFormDefault="qualified" attributeFormDefault="unqualified" version="$Revision: 884 $">
<xsd:include schemaLocation="fpml-asset-4-2.xsd"/>
<xsd:complexType name="AdditionalTerm">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="additionalTermScheme" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="AdjustedPaymentDates">
<xsd:sequence>
<xsd:element name="adjustedPaymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted payment date. This date should already be
adjusted for any applicable business day convention. This
component is not intended for use in trade confirmation but
my be specified to allow the fee structure to also serve as
a cashflow type component (all dates the the Cashflows type
are adjusted payment dates).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency amount of the payment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="BasketReferenceInformation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
CDS Basket Reference Information
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="BasketIdentifier.model" minOccurs="0">
<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 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 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 name="mthToDefault" type="xsd:positiveInteger" minOccurs="0">
<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="CashSettlementTerms">
<xsd:complexContent>
<xsd:extension base="SettlementTerms">
<xsd:sequence>
<xsd:element name="valuationDate" type="ValuationDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of business days after conditions to
settlement have been satisfied when the calculation
agent obtains a price quotation on the Reference
Obligation for purposes of cash settlement. There may
be one or more valuation dates. This is typically
specified if the cash settlement amount is not a fixed
amount. ISDA 2003 Term: Valuation Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationTime" type="BusinessCenterTime" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time of day in the specified business center when
the calculation agent seeks quotations for an amount of
the reference obligation for purposes of cash
settlement. ISDA 2003 Term: Valuation Time
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quotationMethod" type="QuotationRateTypeEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The type of price quotations to be requested from
dealers when determining the market value of the
reference obligation for purposes of cash settlement.
For example, Bid, Offer or Mid-market. ISDA 2003 Term:
Quotation Method
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quotationAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
In the determination of a cash settlement amount, if
weighted average quotations are to be obtained, the
quotation amount specifies an upper limit to the
outstanding principal balance of the reference
obligation for which the quote should be obtained. If
not specified, the ISDA definitions provide for a
fallback amount equal to the floating rate payer
calculation amount. ISDA 2003 Term: Quotation Amount
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="minimumQuotationAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
In the determination of a cash settlement amount, if
weighted average quotations are to be obtained, the
minimum quotation amount specifies a minimum intended
threshold amount of outstanding principal balance of
the reference obligation for which the quote should be
obtained. If not specified, the ISDA definitions
provide for a fallback amount of the lower of either
USD 1,000,000 (or its equivalent in the relevant
obligation currency) or the quotation amount. ISDA 2003
Term: Minimum Quotation Amount
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dealer" type="xsd:string" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A dealer from whom quotations are obtained by the
calculation agent on the reference obligation for
purposes of cash settlement. ISDA 2003 Term: Dealer
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashSettlementBusinessDays" type="xsd:nonNegativeInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of business days used in the determination
of the cash settlement payment date. If a cash
settlement amount is specified, the cash settlement
payment date will be this number of business days
following the calculation of the final price. If a cash
settlement amount is not specified, the cash settlement
payment date will be this number of business days after
all conditions to settlement are satisfied. ISDA 2003
Term: Cash Settlement Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashSettlementAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount paid by the seller to the buyer for cash
settlement on the cash settlement date. If not
otherwise specified, would typically be calculated as
100 (or the Reference Price) minus the price of the
Reference Obligation (all expressed as a percentage)
times Floating Rate Payer Calculation Amount. ISDA 2003
Term: Cash Settlement Amount
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="accruedInterest" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates whether accrued interest is included (true)
or not (false). For cash settlement this specifies
whether quotations should be obtained inclusive or not
of accrued interest. For physical settlement this
specifies whether the buyer should deliver the
obligation with an outstanding principal balance that
includes or excludes accrued interest. ISDA 2003 Term:
Include/Exclude Accrued Interest
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationMethod" type="ValuationMethodEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA defined methodology for determining the final
price of the reference obligation for purposes of cash
settlement. (ISDA 2003 Term: Valuation Method). For
example, Market, Highest etc.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</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 name="protectionTerms" type="ProtectionTerms" maxOccurs="unbounded">
<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:choice minOccurs="0" maxOccurs="unbounded">
<xsd:element name="cashSettlementTerms" type="CashSettlementTerms">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the ISDA terms relevant to
cash settlement for when cash settlement is
applicable. ISDA 2003 Term: Cash Settlement
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="physicalSettlementTerms" type="PhysicalSettlementTerms">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the ISDA terms relevant to
physical settlement for when physical settlement is
applicable. ISDA 2003 Term: Physical Settlement
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="CreditEventNotice">
<xsd:sequence>
<xsd:element name="notifyingParty" type="NotifyingParty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Pointer style references to a party identifier defined
elsewhere in the document. The notifying party is the party
that notifies the other party when a credit event has
occurred by means of a credit event notice. If more than
one party is referenced as being the notifying party then
either party may notify the other of a credit event
occurring. ISDA 2003 Term: Notifying Party
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="businessCenter" type="BusinessCenter" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Inclusion of this business center element implies that
Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit
Derivatives Definitions is replaced by the local time of
the city indicated by the businessCenter element value.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="publiclyAvailableInformation" type="PubliclyAvailableInformation" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A specified condition to settlement. Publicly available
information means information that reasonably confirms any
of the facts relevant to determining that a credit event or
potential repudiation/moratorium, as applicable, has
occurred. The ISDA defined list (2003) is the market
standard and is considered comprehensive, and a minimum of
two differing public sources must have published the
relevant information, to declare a Credit Event. ISDA 2003
Term: Notice of Publicly Available Information Applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="CreditEvents">
<xsd:sequence>
<xsd:element name="bankruptcy" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. The reference entity has been dissolved or
has become insolvent. It also covers events that may be a
precursor to insolvency such as instigation of bankruptcy
or insolvency proceedings. Sovereign trades are not subject
to Bankruptcy as "technically" a Sovereign cannot become
bankrupt. ISDA 2003 Term: Bankruptcy
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="failureToPay" type="FailureToPay" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. This credit event triggers, after the
expiration of any applicable grace period, if the reference
entity fails to make due payments in an aggregrate amount
of not less than the payment requirement on one or more
obligations (e.g. a missed coupon payment). ISDA 2003 Term:
Failure to Pay
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="obligationDefault" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. One or more of the obligations have become
capable of being declared due and payable before they would
otherwise have been due and payable as a result of, or on
the basis of, the occurrence of a default, event of default
or other similar condition or event other than failure to
pay. ISDA 2003 Term: Obligation Default
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="obligationAcceleration" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. One or more of the obligations have been
declared due and payable before they would otherwise have
been due and payable as a result of, or on the basis of,
the occurrence of a default, event of default or other
similar condition or event other than failure to pay
(preferred by the market over Obligation Default, because
more definitive and encompasses the definition of
Obligation Default - this is more favorable to the Seller).
Subject to the default requirement amount. ISDA 2003 Term:
Obligation Acceleration
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="repudiationMoratorium" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. The reference entity, or a governmental
authority, either refuses to recognise or challenges the
validity of one or more obligations of the reference
entity, or imposes a moratorium thereby postponing payments
on one or more of the obligations of the reference entity.
Subject to the default requirement amount. ISDA 2003 Term:
Repudiation/Moratorium
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="restructuring" type="Restructuring" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A credit event. A restructuring is an event that materially
impacts the reference entity's obligations, such as an
interest rate reduction, principal reduction, deferral of
interest or principal, change in priority ranking, or
change in currency or composition of payment. ISDA 2003
Term: Restructuring
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="defaultRequirement" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
In relation to certain credit events, serves as a threshold
for Obligation Acceleration, Obligation Default,
Repudiation/Moratorium and Restructuring. Market standard
is USD 10,000,000 (JPY 1,000,000,000 for all Japanese Yen
trades). This is applied on an aggregate or total basis
across all Obligations of the Reference Entity. Used to
prevent technical/operational errors from triggering credit
events. ISDA 2003 Term: Default Requirement
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="creditEventNotice" type="CreditEventNotice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A specified condition to settlement. An irrevocable written
or verbal notice that describes a credit event that has
occurred. The notice is sent from the notifying party
(either the buyer or the seller) to the counterparty. It
provides information relevant to determining that a credit
event has occurred. This is typically accompanied by
Publicly Available Information. ISDA 2003 Term: Credit
Event Notice
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="DeliverableObligations">
<xsd:sequence>
<xsd:element name="accruedInterest" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates whether accrued interest is included (true) or
not (false). For cash settlement this specifies whether
quotations should be obtained inclusive or not of accrued
interest. For physical settlement this specifies whether
the buyer should deliver the obligation with an outstanding
principal balance that includes or excludes accrued
interest. ISDA 2003 Term: Include/Exclude Accrued Interest
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="category" type="ObligationCategoryEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used in both obligations and deliverable obligations to
represent a class or type of securities which apply. ISDA
2003 Term: Obligation Category/Deliverable Obligation
Category
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notSubordinated" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. An
obligation that ranks at least equal with the most senior
Reference Obligation in priority of payment or, if no
Reference Obligation is specified in the related
Confirmation, the obligations of the Reference Entity that
are senior. ISDA 2003 Term: Not Subordinated
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="specifiedCurrency" type="SpecifiedCurrency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
The currency or currencies in which an obligation or
deliverable obligation must be payable. ISDA 2003 Term:
Specified Currency
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notSovereignLender" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Any obligation that is not primarily (majority) owed to a
Sovereign or Supranational Organization. ISDA 2003 Term:
Not Sovereign Lender
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticCurrency" type="NotDomesticCurrency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Any obligation that is payable in any currency other than
the domestic currency. Domestic currency is either the
currency so specified or, if no currency is specified, the
currency of (a) the reference entity, if the reference
entity is a sovereign, or (b) the jurisdiction in which the
relevant reference entity is organised, if the reference
entity is not a sovereign. ISDA 2003 Term: Not Domestic
Currency
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticLaw" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. If
the reference entity is a Sovereign, this means any
obligation that is not subject to the laws of the reference
entity. If the reference entity is not a sovereign, this
means any obligation that is not subject to the laws of the
jurisdiction of the reference entity. ISDA 2003 Term: Not
Domestic Law
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="listed" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Indicates whether or not the obligation is quoted, listed
or ordinarily purchased and sold on an exchange. ISDA 2003
Term: Listed
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notContingent" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. In essence Not
Contingent means the repayment of principal cannot be
dependant on a formula/index, i.e. to prevent the risk of
being delivered an instrument that may never pay any
element of principal, and to ensure that the obligation is
interest bearing (on a regular schedule). ISDA 2003 Term:
Not Contingent
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticIssuance" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Any obligation other than an obligation that was intended
to be offered for sale primarily in the domestic market of
the relevant Reference Entity. This specifies that the
obligation must be an internationally recognized bond. ISDA
2003 Term: Not Domestic Issuance
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="assignableLoan" type="PCDeliverableObligationCharac" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. A loan that is
freely assignable to a bank or financial institution
without the consent of the Reference Entity or the
guarantor, if any, of the loan (or the consent of the
applicable borrower if a Reference Entity is guaranteeing
the loan) or any agent. ISDA 2003 Term: Assignable Loan
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="consentRequiredLoan" type="PCDeliverableObligationCharac" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. A loan that is
capable of being assigned with the consent of the Reference
Entity or the guarantor, if any, of the loan or any agent.
ISDA 2003 Term: Consent Required Loan
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="directLoanParticipation" type="LoanParticipation" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. A loan with a
participation agreement whereby the buyer is capable of
creating, or procuring the creation of, a contractual right
in favour of the seller that provides the seller with
recourse to the participation seller for a specified share
in any payments due under the relevant loan which are
received by the participation seller. ISDA 2003 Term:
Direct Loan Participation
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="transferable" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. An obligation that
is transferable to institutional investors without any
contractual, statutory or regulatory restrictions. ISDA
2003 Term: Transferable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maximumMaturity" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. An obligation that
has a remaining maturity from the Physical Settlement Date
of not greater than the period specified. ISDA 2003 Term:
Maximum Maturity
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="acceleratedOrMatured" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. An obligation at
time of default is due to mature and due to be repaid, or
as a result of downgrade/bankruptcy is due to be repaid as
a result of an acceleration clause. ISDA 2003 Term:
Accelerated or Matured
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notBearer" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A deliverable obligation characteristic. Any obligation
that is not a bearer instrument. This applies to Bonds only
and is meant to avoid tax, fraud and security/delivery
provisions that can potentially be associated with Bearer
Bonds. ISDA 2003 Term: Not Bearer
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:element name="fullFaithAndCreditObLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term: Full
Faith and Credit Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="generalFundObligationLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term:
General Fund Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="revenueObligationLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term:
Revenue Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="indirectLoanParticipation" type="LoanParticipation" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 1999 Term: Indirect Loan Participation. NOTE: Only
applicable as a deliverable obligation under ISDA Credit
1999.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="excluded" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A free format string to specify any excluded obligations or
deliverable obligations, as the case may be, of the
reference entity or excluded types of obligations or
deliverable obligations. ISDA 2003 Term: Excluded
Obligations/Excluded Deliverable Obligations
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="othReferenceEntityObligations" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element is used to specify any other obligations of a
reference entity in both obligations and deliverable
obligations. The obligations can be specified free-form.
ISDA 2003 Term: Other Obligations of a Reference Entity
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</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="xsd:normalizedString">
<xsd:attribute name="entityTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/entity-type-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="FailureToPay">
<xsd:sequence>
<xsd:element name="gracePeriodExtension" type="GracePeriodExtension" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If this element is specified, indicates whether or not a
grace period extension is applicable. ISDA 2003 Term: Grace
Period Extension Applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentRequirement" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a threshold for the failure to pay credit event.
Market standard is USD 1,000,000 (JPY 100,000,000 for
Japanese Yen trades) or its equivalent in the relevant
obligation currency. This is applied on an aggregate basis
across all Obligations of the Reference Entity. Intended to
prevent technical/operational errors from triggering credit
events. ISDA 2003 Term: Payment Requirement
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FeeLeg">
<xsd:sequence>
<xsd:element name="initialPayment" type="InitialPayment" minOccurs="0">
<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 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 name="singlePayment" type="SinglePayment" minOccurs="0" maxOccurs="unbounded">
<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:element name="periodicPayment" type="PeriodicPayment" minOccurs="0">
<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:element name="marketFixedRate" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional element that only has meaning in a credit index
trade. This element contains the credit spread ("fair
value") at which the trade was executed. Unlike the
fixedRate of an index, the marketFixedRate varies over the
life of the index depending on market conditions. The
marketFixedRate is the price of the index as quoted by
trading desks.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FixedAmountCalculation">
<xsd:sequence>
<xsd:element name="calculationAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The notional amount used in the calculation of fixed
amounts where an amount is calculated on a formula basis,
i.e. fixed amount = fixed rate payer calculation amount x
fixed rate x fixed rate day count fraction. ISDA 2003 Term:
Fixed Rate Payer Calculation Amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixedRate" type="xsd:decimal">
<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 name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<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="GeneralTerms">
<xsd:sequence>
<xsd:element name="effectiveDate" type="AdjustableDate2" minOccurs="0">
<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="ScheduledTerminationDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The scheduled date on which the credit protection will
lapse. May be specified as an adjusting or non-adjusting
date or alternatively as a period offset from the effective
date. ISDA 2003 Term: Scheduled Termination Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="sellerPartyReference" type="PartyOrTradeSideReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The seller of the credit protection. ISDA 2003 Term:
Floating Rate Payer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="buyerPartyReference" type="PartyOrTradeSideReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The buyer of the credit protection. ISDA 2003 Term: Fixed
Rate Payer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dateAdjustments" type="BusinessDayAdjustments" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2003 Terms: Business Day and Business Day Convention.
</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:element name="indexReferenceInformation" type="IndexReferenceInformation">
<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:element name="basketReferenceInformation" type="BasketReferenceInformation">
<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:element name="additionalTerm" type="AdditionalTerm" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element is used for representing information contained
in the Additional Terms field of the 2003 Master Credit
Derivatives confirm.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="substitution" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Presence of this element indicates that substitution is
applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="modifiedEquityDelivery" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Presence of this element indicates that modified equity
delivery is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="GracePeriodExtension">
<xsd:sequence>
<xsd:element name="gracePeriod" type="Offset" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of calendar or business days after any due date
that the reference entity has to fulfil its obligations
before a failure to pay credit event is deemed to have
occurred. ISDA 2003 Term: Grace Period
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="IndexAnnexSource">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="indexAnnexSourceScheme" default="http://www.fpml.org/coding-scheme/cdx-index-annex-source-1-0" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="IndexId">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="indexIdScheme" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="IndexName">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="indexNameScheme" type="xsd:anyURI"/>
</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>
<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 name="indexId" type="IndexId" minOccurs="0" maxOccurs="unbounded">
<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 name="indexId" type="IndexId" maxOccurs="unbounded">
<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 name="indexSeries" type="xsd:integer" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS index series identifier, e.g. 1, 2, 3 etc.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexAnnexVersion" type="xsd:integer" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS index series version identifier, e.g. 1, 2, 3 etc.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexAnnexDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS index series annex date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexAnnexSource" type="IndexAnnexSource" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS index series annex source.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="excludedReferenceEntity" type="LegalEntity" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Excluded reference entity.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="tranche" type="Tranche" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains CDS tranche terms.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="settledEntityMatrix" type="SettledEntityMatrix" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used to specify the Relevant Settled Entity Matrix when
there are settled entities at the time of the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="InitialPayment">
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="adjustablePaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A fixed 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedPaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted payment date. This date should already be
adjusted for any applicable business day convention. This
component is not intended for use in trade confirmation but
may be specified to allow the fee structure to also serve
as a cashflow type component.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<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:complexType>
<xsd:complexType name="LoanParticipation">
<xsd:complexContent>
<xsd:extension base="PCDeliverableObligationCharac">
<xsd:sequence>
<xsd:element name="qualifyingParticipationSeller" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If Direct Loan Participation is specified as a
deliverable obligation characteristic, this specifies
any requirements for the Qualifying Participation
Seller. The requirements may be listed free-form. ISDA
2003 Term: Qualifying Participation Seller
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="MatrixSource">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="settledEntityMatrixSourceScheme" default="http://www.fpml.org/coding-scheme/settled-entity-matrix-source-1-0" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="MultipleValuationDates">
<xsd:complexContent>
<xsd:extension base="SingleValuationDate">
<xsd:sequence>
<xsd:element name="businessDaysThereafter" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of business days between successive
valuation dates when multiple valuation dates are
applicable for cash settlement. ISDA 2003 Term:
Business Days thereafter
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="numberValuationDates" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where multiple valuation dates are specified as being
applicable for cash settlement, this element specifies
(a) the number of applicable valuation dates, and (b)
the number of business days after satisfaction of all
conditions to settlement when the first such valuation
date occurs, and (c) the number of business days
thereafter of each successive valuation date. ISDA 2003
Term: Multiple Valuation Dates
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="NotDomesticCurrency">
<xsd:sequence>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An explicit specification of the domestic currency.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="NotifyingParty">
<xsd:sequence>
<xsd:element name="buyerPartyReference" type="PartyReference"/>
<xsd:element name="sellerPartyReference" type="PartyReference" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Obligations">
<xsd:sequence>
<xsd:element name="category" type="ObligationCategoryEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used in both obligations and deliverable obligations to
represent a class or type of securities which apply. ISDA
2003 Term: Obligation Category/Deliverable Obligation
Category
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notSubordinated" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. An
obligation that ranks at least equal with the most senior
Reference Obligation in priority of payment or, if no
Reference Obligation is specified in the related
Confirmation, the obligations of the Reference Entity that
are senior. ISDA 2003 Term: Not Subordinated
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="specifiedCurrency" type="SpecifiedCurrency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
The currency or currencies in which an obligation or
deliverable obligation must be payable. ISDA 2003 Term:
Specified Currency
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notSovereignLender" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Any obligation that is not primarily (majority) owed to a
Sovereign or Supranational Organization. ISDA 2003 Term:
Not Sovereign Lender
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticCurrency" type="NotDomesticCurrency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Any obligation that is payable in any currency other than
the domestic currency. Domestic currency is either the
currency so specified or, if no currency is specified, the
currency of (a) the reference entity, if the reference
entity is a sovereign, or (b) the jurisdiction in which the
relevant reference entity is organised, if the reference
entity is not a sovereign. ISDA 2003 Term: Not Domestic
Currency
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticLaw" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic. If
the reference entity is a Sovereign, this means any
obligation that is not subject to the laws of the reference
entity. If the reference entity is not a sovereign, this
means any obligation that is not subject to the laws of the
jurisdiction of the reference entity. ISDA 2003 Term: Not
Domestic Law
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="listed" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Indicates whether or not the obligation is quoted, listed
or ordinarily purchased and sold on an exchange. ISDA 2003
Term: Listed
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notDomesticIssuance" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Any obligation other than an obligation that was intended
to be offered for sale primarily in the domestic market of
the relevant Reference Entity. This specifies that the
obligation must be an internationally recognized bond. ISDA
2003 Term: Not Domestic Issuance
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:element name="fullFaithAndCreditObLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term: Full
Faith and Credit Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="generalFundObligationLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term:
General Fund Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="revenueObligationLiability" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for
U.S. Municipal as Reference Entity. ISDA 2003 Term:
Revenue Obligation Liability
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="notContingent" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
NOTE: Only allowed as an obligation charcteristic under
ISDA Credit 1999. In essence Not Contingent means the
repayment of principal cannot be dependant on a
formula/index, i.e. to prevent the risk of being delivered
an instrument that may never pay any element of principal,
and to ensure that the obligation is interest bearing (on a
regular schedule). ISDA 2003 Term: Not Contingent
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="excluded" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A free format string to specify any excluded obligations or
deliverable obligations, as the case may be, of the
reference entity or excluded types of obligations or
deliverable obligations. ISDA 2003 Term: Excluded
Obligations/Excluded Deliverable Obligations
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="othReferenceEntityObligations" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element is used to specify any other obligations of a
reference entity in both obligations and deliverable
obligations. The obligations can be specified free-form.
ISDA 2003 Term: Other Obligations of a Reference Entity
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PCDeliverableObligationCharac">
<xsd:sequence>
<xsd:element name="partialCashSettlement" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether either 'Partial Cash Settlement of
Assignable Loans', 'Partial Cash Settlement of Consent
Required Loans' or 'Partial Cash Settlement of
Participations' is applicable. If this element is specified
and Assignable Loan is a Deliverable Obligation
Chracteristic, any Assignable Loan that is deliverable, but
where a non-receipt of Consent by the Physical Settlement
Date has occurred, the Loan can be cash settled rather than
physically delivered. If this element is specified and
Consent Required Loan is a Deliverable Obligation
Characterisitc, any Consent Required Loan that is
deliverable, but where a non-receipt of Consent by the
Physical Settlement Date has occurred, the Loan can be cash
settled rather than physically delivered. If this element
is specified and Direct Loan Participation is a Deliverable
Obligation Characterisitic, any Participation that is
deliverable, but where this participation has not been
effected (has not come into effect) by the Physical
Settlement Date, the participation can be cash settled
rather than physically delivered.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PeriodicPayment">
<xsd:sequence>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time interval between regular fixed rate payer payment
dates.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="firstPeriodStartDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start date of the initial calculation period if such
date is not equal to the trade’s effective date. It must
only be specified if it is not equal to the effective date.
The applicable business day convention and business day are
those specified in the dateAdjustments element within the
generalTerms component (or in a transaction supplement FpML
representation defined within the referenced general terms
confirmation agreement).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="firstPaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The first unadjusted fixed rate payer payment date. The
applicable business day convention and business day are
those specified in the dateAdjustments element within the
generalTerms component (or in a transaction supplement FpML
representation defined within the referenced general terms
confirmation agreement). ISDA 2003 Term: Fixed Rate Payer
Payment Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="lastRegularPaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The last regular unadjusted fixed rate payer payment date.
The applicable business day convention and business day are
those specified in the dateAdjustments element within the
generalTerms component (or in a transaction supplement FpML
representation defined within the referenced general terms
confirmation agreement). This element should only be
included if there is a final payment stub, i.e. where the
last regular unadjusted fixed rate payer payment date is
not equal to the scheduled termination date. ISDA 2003
Term: Fixed Rate Payer Payment Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="rollConvention" type="RollConventionEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used in conjunction with the effectiveDate,
scheduledTerminationDate, firstPaymentDate,
lastRegularPaymentDate and paymentFrequency to determine
the 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:element name="fixedAmountCalculation" type="FixedAmountCalculation">
<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:element name="adjustedPaymentDates" type="AdjustedPaymentDates" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional cashflow-like structure allowing the equivalent
representation of the periodic fixed payments in terms of a
series of adjusted payment dates and amounts. This is
intended to support application integration within an
organisation and is not intended for use in inter-firm
communication or confirmations. ISDA 2003 Term: Fixed Rate
Payer Payment Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PhysicalSettlementPeriod">
<xsd:choice>
<xsd:element name="businessDaysNotSpecified" type="Empty">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An explicit indication that a number of business days are
not specified and therefore ISDA fallback provisions should
apply.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="businessDays" type="xsd:nonNegativeInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A number of business days. Its precise meaning is dependant
on the context in which this element is used. ISDA 2003
Term: Business Day
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maximumBusinessDays" type="xsd:nonNegativeInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A maximum number of business days. Its precise meaning is
dependant on the context in which this element is used.
Intended to be used to limit a particular ISDA fallback
provision.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="PhysicalSettlementTerms">
<xsd:complexContent>
<xsd:extension base="SettlementTerms">
<xsd:sequence>
<xsd:element name="physicalSettlementPeriod" type="PhysicalSettlementPeriod" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of business days used in the determination
of the physical settlement date. The physical
settlement date is this number of business days after
all applicable conditions to settlement are satisfied.
If a number of business days is not specified fallback
provisions apply for determining the number of business
days. If Section 8.5/8.6 of the 1999/2003 ISDA
Definitions are to apply the businessDaysNotSpecified
element should be included. If a specified number of
business days are to apply these should be specified in
the businessDays element. If Section 8.5/8.6 of the
1999/2003 ISDA Definitions are to apply but capped at a
maximum number of business days then the maximum number
should be specified in the maximumBusinessDays element.
ISDA 2003 Term: Physical Settlement Period
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="deliverableObligations" type="DeliverableObligations" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element contains all the ISDA terms relevant to
defining the deliverable obligations.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="escrow" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If this element is specified, indicates that physical
settlement must take place through the use of an escrow
agent. (For Canadian counterparties this is always "Not
Applicable". ISDA 2003 Term: Escrow
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="sixtyBusinessDaySettlementCap" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If this element is specified, for a transaction
documented under the 2003 ISDA Credit Derivatives
Definitions, has the effect of incorporating the
language set forth below into the confirmation. The
section references are to the 2003 ISDA Credit
Derivatives Definitions. Notwithstanding Section 1.7 or
any provisions of Sections 9.9 or 9.10 to the contrary,
but without prejudice to Section 9.3 and (where
applicable) Sections 9.4, 9.5 and 9.6, if the
Termination Date has not occurred on or prior to the
date that is 60 Business Days following the Physical
Settlement Date, such 60th Business Day shall be deemed
to be the Termination Date with respect to this
Transaction except in relation to any portion of the
Transaction (an "Affected Portion") in respect of
which: (1) a valid notice of Buy-in Price has been
delivered that is effective fewer than three Business
Days prior to such 60th Business Day, in which case the
Termination Date for that Affected Portion shall be the
third Business Day following the date on which such
notice is effective; or (2) Buyer has purchased but not
Delivered Deliverable Obligations validly specified by
Seller pursuant to Section 9.10(b), in which case the
Termination Date for that Affected Portion shall be the
tenth Business Day following the date on which Seller
validly specified such Deliverable Obligations to
Buyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 name="creditEvents" type="CreditEvents" minOccurs="0">
<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:element name="obligations" type="Obligations" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The underlying obligations of the reference entity on which
you are buying or selling protection. The credit events
Failure to Pay, Obligation Acceleration, Obligation
Default, Restructuring, Repudiation/Moratorium are defined
with respect to these obligations. ISDA 2003 Term:
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
<xsd:complexType name="ProtectionTermsReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to protectionTerms component.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference"/>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="PubliclyAvailableInformation">
<xsd:sequence>
<xsd:element name="standardPublicSources" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If this element is specified, indicates that ISDA defined
Standard Public Sources are applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="publicSource" type="xsd:string" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A public information source, e.g. a particular newspaper or
electronic news service, that may publish relevant
information used in the determination of whether or not a
credit event has occurred. ISDA 2003 Term: Public Source
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="specifiedNumber" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The minimum number of the specified public information
sources that must publish information that reasonably
confirms that a credit event has occurred. The market
convention is two. ISDA 2003 Term: Specified Number
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</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>
<xsd:element name="referenceObligation" type="ReferenceObligation" maxOccurs="unbounded">
<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="Empty">
<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="Empty">
<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:element name="allGuarantees" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates whether an obligation of the Reference Entity,
guaranteed by the Reference Entity on behalf of a
non-Affiliate, is to be considered an Obligation for the
purpose of the transaction. It will be considered an
obligation if allGuarantees is applicable (true) and not if
allGuarantees is inapplicable (false). ISDA 2003 Term: All
Guarantees
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="referencePrice" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used to determine (a) for physically settled trades, the
Physical Settlement Amount, which equals the Floating Rate
Payer Calculation Amount times the Reference Price and (b)
for cash settled trades, the Cash Settlement Amount, which
equals the greater of (i) the difference between the
Reference Price and the Final Price and (ii) zero. ISDA
2003 Term: Reference Price
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReferenceObligation">
<xsd:sequence>
<xsd:choice>
<xsd:element ref="bond"/>
<xsd:element ref="convertibleBond"/>
</xsd:choice>
<xsd:choice minOccurs="0">
<xsd:element name="primaryObligor" type="LegalEntity">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The entity primarily responsible for repaying debt to a
creditor as a result of borrowing or issuing bonds. ISDA
2003 Term: Primary Obligor
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="primaryObligorReference" type="LegalEntityReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to a reference entity defined
elsewhere in the document. Used when the reference entity
is the primary obligor.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:choice minOccurs="0" maxOccurs="unbounded">
<xsd:element name="guarantor" type="LegalEntity">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The party that guarantees by way of a contractual
arrangement to pay the debts of an obligor if the obligor
is unable to make the required payments itself. ISDA 2003
Term: Guarantor
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="guarantorReference" type="LegalEntityReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to a reference entity defined
elsewhere in the document. Used when the reference entity
is the guarantor.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReferencePair">
<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>
<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="Empty">
<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 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 name="referencePoolItem" type="ReferencePoolItem" maxOccurs="unbounded"/>
</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 name="constituentWeight" type="ConstituentWeight" minOccurs="0">
<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 name="referencePair" type="ReferencePair"/>
<xsd:element name="protectionTermsReference" type="ProtectionTermsReference" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the documentation terms applicable to this
item.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="settlementTermsReference" type="SettlementTermsReference" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the settlement terms applicable to this item.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Restructuring">
<xsd:sequence>
<xsd:element name="restructuringType" type="RestructuringType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the type of restructuring that is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multipleHolderObligation" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
In relation to a restructuring credit event, unless
multiple holder obligation is not specified restructurings
are limited to multiple holder obligations. A multiple
holder obligation means an obligation that is held by more
than three holders that are not affiliates of each other
and where at least two thirds of the holders must agree to
the event that constitutes the restructuring credit event.
ISDA 2003 Term: Multiple Holder Obligation
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multipleCreditEventNotices" type="Empty" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Presence of this element indicates that Section 3.9 of the
2003 Credit Derivatives Definitions shall apply. Absence of
this element indicates that Section 3.9 shall not apply.
NOTE: Not allowed under ISDA Credit 1999.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="RestructuringType">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="restructuringScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/restructuring-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="ScheduledTerminationDate">
<xsd:choice>
<xsd:element name="adjustableDate" type="AdjustableDate2"/>
<xsd:element name="relativeDate" type="Interval"/>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="SettledEntityMatrix">
<xsd:sequence>
<xsd:element name="matrixSource" type="MatrixSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Relevant settled entity matrix source.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="publicationDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the publication date of the applicable version of
the matrix. When this element is omitted, the Standard
Terms Supplement defines rules for which version of the
matrix is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="SettlementTerms">
<xsd:sequence>
<xsd:element name="settlementCurrency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2003 Term: Settlement Currency
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
<xsd:complexType name="SettlementTermsReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a settlement terms derived construct
(cashSettlementTerms or physicalSettlementTerms).
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference"/>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="SinglePayment">
<xsd:sequence>
<xsd:element 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="adjustedPaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted payment date. This date should already be
adjusted for any applicable business day convention. This
component is not intended for use in trade confirmation but
may be specified to allow the fee structure to also serve
as a cashflow type component.
</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:complexType>
<xsd:complexType name="SingleValuationDate">
<xsd:sequence>
<xsd:element name="businessDays" type="xsd:nonNegativeInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A number of business days. Its precise meaning is dependant
on the context in which this element is used. ISDA 2003
Term: Business Day
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="SpecifiedCurrency">
<xsd:sequence>
<xsd:element name="currency" type="Currency" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</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 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 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:element name="incurredRecoveryApplicable" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Outstanding Swap Notional Amount is defined at any time on
any day, as the greater of: (a) Zero; If Incurred Recovery
Amount Applicable: (b) The Original Swap Notional Amount
minus the sum of all Incurred Loss Amounts and all Incurred
Recovery Amounts (if any) determined under this
Confirmation at or prior to such time.Incurred Recovery
Amount not populated: (b) The Original Swap Notional Amount
minus the sum of all Incurred Loss Amounts determined under
this Confirmation at or prior to such time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ValuationDate">
<xsd:choice>
<xsd:element name="singleValuationDate" type="SingleValuationDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where single valuation date is specified as being
applicable for cash settlement, this element specifies the
number of business days after satisfaction of all
conditions to settlement when such valuation date occurs.
ISDA 2003 Term: Single Valuation Date
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multipleValuationDates" type="MultipleValuationDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where multiple valuation dates are specified as being
applicable for cash settlement, this element specifies (a)
the number of applicable valuation dates, and (b) the
number of business days after satisfaction of all
conditions to settlement when the first such valuation date
occurs, and (c) the number of business days thereafter of
each successive valuation date. ISDA 2003 Term: Multiple
Valuation Dates
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:element name="creditDefaultSwap" type="CreditDefaultSwap" substitutionGroup="product">
<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:schema>