Schema "fpml-sec-lending-5-11.xsd" | XML Schema Documentation

<xsd:include schemaLocation="fpml-repo-5-11.xsd"/>

<xsd:complexType name="CollateralArrangement">

<xsd:annotation>

<xsd:documentation xml:lang="en">

(SFTR required field.) Method used to provide collateral. Indication whether the collateral is subject to a title transfer collateral arrangement, a securities financial collateral arrangement, or a securities financial with the right of use.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:extension base="Scheme">

<xsd:attribute default="http://www.fpml.org/coding-scheme/collateral-arrangement" name="collateralArrangementScheme" type="NonEmptyURI"/>

</xsd:extension>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="SecLendCollateralProvisions">

<xsd:annotation>

<xsd:documentation>

Parameters relating to acceptable collateral for the specified security lending transaction.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

<xsd:choice>

<xsd:annotation>

<xsd:documentation xml:lang="en">A choice between margin ratio and haircut.</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

<xsd:element name="marginRatio" type="xsd:decimal">

<xsd:annotation>

<xsd:documentation xml:lang="en">

An element defining an initial margin expressed as a ratio of the Market Value of the collateral to the Purchase Price. A default value of initial margin ratio of 1.00 means there is no margin and thus no risk related with the collateral. See GMRA 2000 paragraph 2(z) and GMRA 2011 paragraph 2(bb).

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

<xsd:sequence>

<xsd:element name="haircut" type="xsd:decimal">

<xsd:annotation>

<xsd:documentation xml:lang="en">

An element defining a haircut expressed as the percentage difference between the Market Value of the collateral and the Purchase Price of the repo and calculated as 100 multiplied by a ratio of the difference between the Market Value of the collateral and the Purchase Price of the repo to the Market Value of the collateral. Haircut is alternative way to adjust the value of collateral sold in a repurchase agreement to initial margin ratio. Because an initial margin is a percentage of the Purchase Price, while a haircut is a percentage of the Market Value of collateral, the arithmetic of initial margins and haircuts is slightly different. For example, an initial margin of 102% is not equivalent to a haircut of 2%, but to 1.961% (ie 100/102%). See GMRA 2011 paragraph 2(aa).

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:choice>

<xsd:element minOccurs="0" name="triParty" type="TriParty">

<xsd:annotation>

<xsd:documentation xml:lang="en">Tri-party.</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:sequence>

<xsd:element minOccurs="0" name="collateralArrangement" type="CollateralArrangement">

<xsd:annotation>

<xsd:documentation xml:lang="en">

(SFTR related field) Method used to provide collateral - Indication whether the collateral is subject to a title transfer collateral arrangement, a securities financial collateral arrangement, or a securities financial with the right of use.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="exclusiveArrangements" type="xsd:boolean">

<xsd:annotation>

<xsd:documentation xml:lang="en">

(SFTR related field) In the case of securities borrowing and lending, indication whether the borrower has exclusive access to borrow from the lender's securities portfolio. (True/False).

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:complexType>

<xsd:complexType name="SecLendFeeCalculation">

<xsd:sequence>

<xsd:group ref="RateCalculation.model"/>

<xsd:element minOccurs="0" name="minimumFee" type="PositiveMoney">

<xsd:annotation>

<xsd:documentation xml:lang="en">

A contractual minimum amount which the borrower will pay, regardless of the duration of the loan. A Mechanism for making sure, that a trade generates enough income.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:complexType>

<xsd:complexType name="SecLendInitiation">

<xsd:annotation>

<xsd:documentation>Initiation of the security lending transaction</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:extension base="SecLendTransferEvent">

<xsd:sequence>

<xsd:element minOccurs="0" name="prepaidRate" type="xsd:decimal">

<xsd:annotation>

<xsd:documentation xml:lang="en">

Specifies the rate which is applied to cash collateral when cash collateral settled ahead of borrowed security.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="SecLendRebateCalculation">

<xsd:annotation>

<xsd:documentation>

Cash collateral rebate in a security lending transaction: a portion of investment interest on the cash collateral, rebated (returned) to the party posting the collateral (the security borrower). Under a cash-collateralised transation, the securities lending fee is implicit in the level of the rebate. In the case of a "special" loan on a hard-to-borrow security, a negative rebate may be negotiated i.e. the borrower pays a fee to the lender. The lender retains the investment earnings on the cash collateral, and earns an additional premium.

</xsd:documentation>

</xsd:annotation>

<xsd:group ref="RateCalculation.model"/>

</xsd:complexType>

<xsd:complexType name="SecLendTermination">

<xsd:annotation>

<xsd:documentation>Termination of the security lending transaction.</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:extension base="SecLendTransferEvent"/>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType abstract="true" name="SecLendTransferEvent">

<xsd:annotation>

<xsd:documentation>

Abstract base type for initiation, termination events.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

<xsd:element name="settlementDate" type="IdentifiedDate">

<xsd:annotation>

<xsd:documentation>Security transfer settlement date.</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:complexType>

<xsd:complexType name="SecurityLending">

<xsd:complexContent>

<xsd:extension base="Product">

<xsd:sequence>

<xsd:group ref="LenderBorrower.model"/>

<xsd:element name="principal" type="SecurityValuation">

<xsd:annotation>

<xsd:documentation>

The security (principal) which is the subject of the lending transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:sequence>

<xsd:element name="initiation" type="SecLendInitiation">

<xsd:annotation>

<xsd:documentation>

Initiation of the security lending transaction: initial transfer of principal.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="termination" type="SecLendTermination">

<xsd:annotation>

<xsd:documentation>

Termination of the security lending transaction: return of principal.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

<xsd:sequence>

<xsd:element name="duration" type="SecurityLendingDurationEnum">

<xsd:annotation>

<xsd:documentation xml:lang="en">

Duration of the security lending transaction. {Open, Term}.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:choice minOccurs="0">

<xsd:group ref="ExtensionPeriod.model"/>

<xsd:sequence>

<xsd:element name="callingParty" type="SecLendCallingPartyEnum">

<xsd:annotation>

<xsd:documentation xml:lang="en">

A party to the open repo or security lending transaction that has a right to demand for exercise of far leg of the open repo or security lending transaction. This element represents an enumerated list that includes InitialBuyer, InitialSeller, Either, AsDefinedInMasterAgreement. In the default case either party can call for closing open repo transaction, unless otherwise specified. If electing parties are not defined in open repo confirmation, when they are defined by default in the Master Agreement, AsDefinedInMasterAgreement value should be used. Exact buyer/seller related parties, including any third parties who can demand exercise of open repo transactions on behalf of the parties to the trade (calculation agent, executing broker, etc.), can be defined in the relatedParty element (tradeHeader/partyTradeInformation).

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="callDate" type="AdjustableOrRelativeDate">

<xsd:annotation>

<xsd:documentation xml:lang="en">

Defines the latest date when the open repo transaction can be exercised (and no later than which it must be exercised) on demand by a party to the trade indicated in the electingParty element (or in the Master Agreement, if the electingParty element has AsDefinedInMasterAgreement value). For instance, in the open repo transaction with callDate agreed as business day one year after the trade date far leg can be settled on any day after the near leg settlement date and before and including the callDate. If the call date is not defined in trade terms and / or not included into trade confirmation this element can be omitted.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:choice minOccurs="0">

<xsd:element name="noticePeriod" type="AdjustableOffset">

<xsd:annotation>

<xsd:documentation xml:lang="en">

Notice period for open repo transactions in number of days. This element represents agreed period of notice to be given in advance before exercise of the repo trade by a party requesting such exercise.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element maxOccurs="2" name="partyNoticePeriod" type="PartyNoticePeriod">

<xsd:annotation>

<xsd:documentation xml:lang="en">

Notice period for open repo transactions referenced to a party to the trade, in number of days. This element represents agreed period of notice to be given in advance before exercise of the repo trade by a party requesting such exercise and reference to that party.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:choice>

</xsd:sequence>

</xsd:choice>

</xsd:sequence>

<xsd:sequence>

<xsd:choice>

<xsd:annotation>

<xsd:documentation xml:lang="en">

Under a non-cash collateralised transaction: borrowing fee based on market value of securities. Under a cash collateralised transaction: a portion of re-investment interest paid to the security borrower (rebate).

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

<xsd:element name="fee" type="SecLendFeeCalculation">

<xsd:annotation>

<xsd:documentation xml:lang="en">

Under a non-cash collateralised transaction, the borrower pays a fee on the security being lent.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="rebate" type="SecLendRebateCalculation"/>

</xsd:sequence>

<xsd:element name="rebate" type="SecLendRebateCalculation">

<xsd:annotation>

<xsd:documentation>

Under a cash collateralised transaction: a portion of re-investment interest paid to the security borrower (rebate).

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:choice>

<xsd:element name="dayCountFraction" type="DayCountFraction">

<xsd:annotation>

<xsd:documentation xml:lang="en">

The day count fraction for calculating a fee or a rebate on a SBL transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

<xsd:group ref="DividendsAndPayment.model"/>

<xsd:element name="collateralProvisions" type="SecLendCollateralProvisions"/>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

<xsd:element name="securityLending" type="SecurityLending">

<xsd:annotation>

<xsd:documentation>

Global element representing a Security Lending transaction

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:group name="Borrower.model">

<xsd:sequence>

<xsd:element name="borrowerPartyReference" type="PartyReference">

<xsd:annotation>

<xsd:documentation>

A reference to the party that borrows the asset(s) exchanged in the context of the containing structure.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="borrowerAccountReference" type="AccountReference">

<xsd:annotation>

<xsd:documentation>

A reference to the account tht borrows the asset(s) exchanged in the context of the containing structure.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:group>

<xsd:group name="DividendsAndPayment.model">

<xsd:annotation>

<xsd:documentation>

Groups related to dividends and payments information.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

<xsd:element minOccurs="0" name="dividendRate" type="xsd:decimal">

<xsd:annotation>

<xsd:documentation xml:lang="en">

Specifies the proportion of the value of the dividend on the borrowed shares that the borrower is legally obligated to return to the lender.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="minimumBillingAmount" type="PositiveMoney">

<xsd:annotation>

<xsd:documentation xml:lang="en">

A minimum billable amount (daily fee increments accrue until a threshold is crossed, at which point payment becomes due)

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="rebatePaymentFrequency" type="Frequency">

<xsd:annotation>

<xsd:documentation xml:lang="en">

Time "period" and "periodMultiplier", describing frequency of payments for the floating rebate rate. Usually, the payment frequency is monthly, or daily. Business rule: Floating Rate Payment Frequency may be specified, in case of Floating Rebate Rate. (The assumption is that fee payment and rebate fixed rate payment are term payments, and rebate floating rate payment is periodic payment.)

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:group>

<xsd:group name="Lender.model">

<xsd:sequence>

<xsd:element name="lenderPartyReference" type="PartyReference">

<xsd:annotation>

<xsd:documentation>

A reference to the party that lends the asset(s) exchanged in the context of the containing structure.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="lenderAccountReference" type="AccountReference">

<xsd:annotation>

<xsd:documentation>

A reference to the account tht lends the asset(s) exchanged in the context of the containing structure.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:group>

<xsd:group name="LenderBorrower.model">

<xsd:sequence>

<xsd:group ref="Lender.model"/>

<xsd:group ref="Borrower.model"/>

</xsd:sequence>

</xsd:group>

<xsd:group name="RateCalculation.model">

<xsd:annotation>

<xsd:documentation xml:lang="en">

The rate calcualtion for repo and security lending products. Each product has its own terminology, which is reflected in two separate annotations. In Repo case: Return to cash lender is repo rate (interest on cash). In Security Lending case: If cash is used as collateral, interest paid (rebate).

</xsd:documentation>

</xsd:annotation>

<xsd:choice>

<xsd:element name="fixedRateSchedule" type="Schedule">

<xsd:annotation>

<xsd:documentation xml:lang="en">

The fixed repo rate. It is usually fixed for the duration of the agreement but can be changed with mid-life events (rate changes) except for sell/buy-back trades.

</xsd:documentation>

<xsd:documentation xml:lang="en">

The fixed security lending rate. It is usually fixed rebate rate for the duration of the agreement but can be changed with mid-life events (rate changes).

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:sequence>

<xsd:element name="floatingRateCalculation" type="FloatingRateCalculation">

<xsd:annotation>

<xsd:documentation xml:lang="en">

The floating rate index and tenor, with additional definitions relating to the calculation of floating rate amounts, including spread and multiplier. It is used for floating rate repos. For example, floating rate repos on European markets are made against EONIA.

</xsd:documentation>

<xsd:documentation xml:lang="en">

The floating rate index and tenor, with additional definitions relating to the calculation of floating rate amounts, including spread and multiplier. It is use for floating rate security lending. For example, most floating rate security lending on European markets are are against EONIA

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="resetFrequency" type="Frequency">

<xsd:annotation>

<xsd:documentation xml:lang="en">The floating rate reset frequency.</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:choice>

</xsd:group>