| All Element Summary | ||||||||||
| accruedInterestAmount |
|
|||||||||
| agreedAmount (in marginCallStatus) | The agreedAmount block allows the responder to detail the undisputed amount for any Variation Margin requirement and/or Segregated Independent Amount requirement they may have received in the corresponding requestMargin message.
|
|||||||||
| agreedAmount (in requestCollateralAcceptance) | The agreedAmount block allows the responder to detail the undisputed amount for any Variation Margin requirement and/or Segregated Independent Amount requirement they may have received in the corresponding requestMargin message.
|
|||||||||
| amount (defined in DeliverReturn.model group) |
|
|||||||||
| amount (in letterOfCredit) |
|
|||||||||
| amount (in threshold) |
|
|||||||||
| amount (in transferRounding) |
|
|||||||||
| assetReference (in cash defined in ProposedCollateralDeliveryReturn complexType) | Refers to the asset which specifies the currency of the cash being delivered or returned.
|
|||||||||
| assetReference (in security) |
|
|||||||||
| assets (defined in SubstituteReturnConfirmationStatus complexType) | The list of assets being moved.
|
|||||||||
| assets (in collateralProposalStatus) | The list of assets to be moved.
|
|||||||||
| assets (in requestCollateralAcceptance) | The list of assets to be moved.
|
|||||||||
| assets (in requestMargin) | The list of assets to be moved.
|
|||||||||
| assets (in requestSubstitution) | The list of assets being moved.
|
|||||||||
| assets (in substitutionStatus) | The list of assets being moved.
|
|||||||||
| baseCurrency (in disputeNotification) | Denomination currency as specified in the margin agreement.
|
|||||||||
| baseCurrency (in marginCallStatus) | Denomination currency as specified in the margin agreement.
|
|||||||||
| baseCurrency (in requestMargin) | Denomination currency as specified in the margin agreement.
|
|||||||||
| bothDirections (defined in InterestDirection complexType) |
|
|||||||||
| bothDirections (defined in InterestStatementDirection complexType) |
|
|||||||||
| calculationDate |
|
|||||||||
| calculationType |
|
|||||||||
| cash (defined in ProposedCollateralDeliveryReturn complexType) |
|
|||||||||
| cashType | Specifies cash as type of expected collateral.
|
|||||||||
| collateral (defined in MarginDetails.model group) |
|
|||||||||
| collateralAcceptanceAcknowledgement |
|
|||||||||
| collateralAcceptanceException |
|
|||||||||
| collateralProposalStatus |
|
|||||||||
| collateralResponseReason |
|
|||||||||
| collateralRetractionReason (in disputeRetracted) |
|
|||||||||
| collateralRetractionReason (in interestStatusRetracted) | Defines a list of collateral retraction reason codes.
|
|||||||||
| collateralRetractionReason (in marginCallStatusRetracted) |
|
|||||||||
| collateralRetractionReason (in requestInterestRetracted) | Defines a list of collateral retraction reason codes.
|
|||||||||
| collateralRetractionReason (in requestMarginRetracted) | Defines a list of collateral retraction reason codes.
|
|||||||||
| collateralRetractionReason (in requestSubstitutionRetracted) | Defines a list of collateral retraction reason codes.
|
|||||||||
| collateralRetractionReason (in substitutionStatusRetracted) | Defines a list of collateral retraction reason codes.
|
|||||||||
| collateralValue (in cash defined in ProposedCollateralDeliveryReturn complexType) | This is the value of the proposed collateral after the application of the haircut.
|
|||||||||
| collateralValue (in letterOfCredit) |
|
|||||||||
| collateralValue (in security) |
|
|||||||||
| comment (in interestStatement) |
|
|||||||||
| comment (in requestInterest) |
|
|||||||||
| convention (defined in IndependentAmountType complexType) |
|
|||||||||
| convention (in markToMarket) | Specifies whether the exposure should be treated on a net or gross basis.
|
|||||||||
| creditSupportAgreement (defined in SubstituteReturnConfirmationStatus complexType) | The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties.
|
|||||||||
| creditSupportAgreement (in disputeNotification) | References the legal agreement.
|
|||||||||
| creditSupportAgreement (in interestStatement) | The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties.
|
|||||||||
| creditSupportAgreement (in interestStatus) | The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties.
|
|||||||||
| creditSupportAgreement (in marginCallStatus) | The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties.
|
|||||||||
| creditSupportAgreement (in requestInterest) | The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties.
|
|||||||||
| creditSupportAgreement (in requestMargin) | The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties.
|
|||||||||
| creditSupportAgreement (in requestSubstitution) | The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties.
|
|||||||||
| creditSupportAgreement (in substitutionStatus) | The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties.
|
|||||||||
| cumulativeInterestAmount |
|
|||||||||
| currency (defined in DeliverReturn.model group) |
|
|||||||||
| currency (in cashType) |
|
|||||||||
| currency (in marginTerm) |
|
|||||||||
| dailyInterestCalculation | Specifies the interest calculations for one day of the interest period.
|
|||||||||
| dayCountFraction (in interestCalculationTerms) |
|
|||||||||
| deliver (defined in ExpectedCollateralDeliveryReturn complexType) |
|
|||||||||
| deliver (defined in ProposedCollateral complexType) | proposed collateral to be delivered
|
|||||||||
| deliver (defined in SubstituteCollateral complexType) |
|
|||||||||
| deliver (defined in SubstituteCollateral complexType) | return details for substitute collateral
|
|||||||||
| deliver (defined in VariationRequirement complexType) | variation margin to be delivered
|
|||||||||
| deliveringPartyReference (defined in DeliverReturn.model group) |
|
|||||||||
| deliveringPartyReference (defined in InterestAccrued complexType) | The party delivering the accrued interest.
|
|||||||||
| deliveringPartyReference (defined in ProposedCollateralDeliveryReturn complexType) |
|
|||||||||
| description (defined in CollateralRetractionReason complexType) |
|
|||||||||
| description (defined in CollateralRetractionReason complexType) | free form description of the reason
|
|||||||||
| description (defined in SubstitutionConfirmation complexType) |
|
|||||||||
| description (in collateralResponseReason) |
|
|||||||||
| description (in collateralResponseReason) | free form description of the reason
|
|||||||||
| description (in disputeResolutionMethod) |
|
|||||||||
| description (in disputeResolutionMethod) | free form description of the reason
|
|||||||||
| description (in interestResponseReason) |
|
|||||||||
| description (in interestResponseReason) | free form description of the reason
|
|||||||||
| description (in letterOfCreditType) |
|
|||||||||
| description (in marginCallResponseReason) |
|
|||||||||
| description (in marginCallResponseReason) | free form description of the reason
|
|||||||||
| description (in securityType) |
|
|||||||||
| description (in substitutionResponseReason) |
|
|||||||||
| description (in substitutionResponseReason) | free form description of the reason
|
|||||||||
| direction |
|
|||||||||
| dirtyPrice | Bond dirty price, expressed in percentage points, 100 is the initial value of the bond.
|
|||||||||
| disputeAcknowledgement |
|
|||||||||
| disputedAmount | This is confirmation of the amount being disputed this would be the difference between the undisputed amount and the call amount from the requestMargin message.
|
|||||||||
| disputeDate | This is the date from which the Dispute is deemed by the sending party to have occurred on.
|
|||||||||
| disputeException |
|
|||||||||
| disputeNotification |
|
|||||||||
| disputeResolutionMethod | The disputeResolutionMethod can consist of either a resolutionCode and description, a resolution code only or a description only.
|
|||||||||
| disputeRetracted |
|
|||||||||
| effectivePrincipalAmount |
|
|||||||||
| effectiveRate |
|
|||||||||
| expectedCollateral (defined in ProposedCollateralResponse complexType) |
|
|||||||||
| expectedCollateral (in requestMargin) | Structure that allows for the definition of collateral that the party making the margin call would prefer to receive or have returned.
|
|||||||||
| exposedPartyReference | The party that is exposed.
|
|||||||||
| exposure (in markToMarket) |
|
|||||||||
| exposureAmount |
|
|||||||||
| giverPartyReference |
|
|||||||||
| grossTreatment |
|
|||||||||
| haircut (in cash defined in ProposedCollateralDeliveryReturn complexType) | The amount to which the collaterals market value will be discounted to take into account the ability to realize the value of that collateral.
|
|||||||||
| haircut (in letterOfCredit) |
|
|||||||||
| haircut (in security) |
|
|||||||||
| heldCollateral (defined in MarginCollateral complexType) |
|
|||||||||
| heldCollateral (defined in MarginCollateral complexType) | held collateral
|
|||||||||
| holdingPartyReference | The party holding the collateral.
|
|||||||||
| identifier (in letterOfCredit) |
|
|||||||||
| independentAmount (defined in MarginDetails.model group) |
|
|||||||||
| index (in interestCalculationTerms) |
|
|||||||||
| interest (defined in InterestAccrued complexType) |
|
|||||||||
| interestAccrued (in bothDirections defined in InterestDirection complexType) |
|
|||||||||
| interestAccrued (in bothDirections defined in InterestStatementDirection complexType) |
|
|||||||||
| interestAccrued (in singleDirection defined in InterestDirection complexType) |
|
|||||||||
| interestAccrued (in singleDirection defined in InterestStatementDirection complexType) |
|
|||||||||
| interestApproved |
|
|||||||||
| interestCalculationDetails | Details optional calculations for each day of the interest period.
|
|||||||||
| interestCalculationTerms | Specifies the terms of the interest calculations.
|
|||||||||
| interestPeriod (in interestRequirement in interestStatement) |
|
|||||||||
| interestPeriod (in interestRequirement in requestInterest) |
|
|||||||||
| interestRequirement (in interestStatement) |
|
|||||||||
| interestRequirement (in requestInterest) |
|
|||||||||
| interestResponseReason |
|
|||||||||
| interestStatement |
|
|||||||||
| interestStatus |
|
|||||||||
| interestStatusRetracted |
|
|||||||||
| issuerPartyReference (in interestStatement) | The party issuing the interest statement.
|
|||||||||
| issuerPartyReference (in interestStatus) | The party issuing the interest notification.
|
|||||||||
| issuerPartyReference (in interestStatusRetracted) | The party issuing the interest notification.
|
|||||||||
| issuerPartyReference (in requestInterest) | The party issuing the interest notification.
|
|||||||||
| issuerPartyReference (in requestInterestRetracted) | The party issuing the interest notification.
|
|||||||||
| jurisdiction (in withholdingTaxTerms) |
|
|||||||||
| letterOfCredit |
|
|||||||||
| letterOfCreditType | Specifies a letter of credit as type of expected collateral.
|
|||||||||
| marginAcknowledgement |
|
|||||||||
| marginCallAmount |
|
|||||||||
| marginCallIssuerPartyReference (in collateralProposalStatus) | The party issuing the margin call.
|
|||||||||
| marginCallIssuerPartyReference (in disputeNotification) | The party receiving the margin call.
|
|||||||||
| marginCallIssuerPartyReference (in disputeRetracted) | The party issuing the margin call.
|
|||||||||
| marginCallIssuerPartyReference (in marginCallStatus) | The party issuing the margin call.
|
|||||||||
| marginCallIssuerPartyReference (in marginCallStatusRetracted) | The party issuing the margin call.
|
|||||||||
| marginCallIssuerPartyReference (in requestCollateralAcceptance) | The party issuing the margin call.
|
|||||||||
| marginCallIssuerPartyReference (in requestMargin) | The party issuing the margin call.
|
|||||||||
| marginCallIssuerPartyReference (in requestMarginRetracted) | The party issuing the margin call.
|
|||||||||
| marginCallReceiverPartyReference (in collateralProposalStatus) | The party receiving the margin call.
|
|||||||||
| marginCallReceiverPartyReference (in disputeNotification) | The party receiving the margin call.
|
|||||||||
| marginCallReceiverPartyReference (in disputeRetracted) | The party receiving the margin call.
|
|||||||||
| marginCallReceiverPartyReference (in marginCallStatus) | The party receiving the margin call.
|
|||||||||
| marginCallReceiverPartyReference (in marginCallStatusRetracted) | The party receiving the margin call.
|
|||||||||
| marginCallReceiverPartyReference (in requestCollateralAcceptance) | The party receiving the margin call.
|
|||||||||
| marginCallReceiverPartyReference (in requestMargin) | The party receiving the margin call.
|
|||||||||
| marginCallReceiverPartyReference (in requestMarginRetracted) | The party receiving the margin call.
|
|||||||||
| marginCallResponseReason | Defines a list of collateral response reason codes.
|
|||||||||
| marginCallResult |
|
|||||||||
| marginCallStatus |
|
|||||||||
| marginCallStatusRetracted |
|
|||||||||
| marginException |
|
|||||||||
| marginRequirement |
|
|||||||||
| marginTerm |
|
|||||||||
| marketValue (in cash defined in ProposedCollateralDeliveryReturn complexType) | The value of the proposed collateral movement prior to the application of any haircut amount.
|
|||||||||
| marketValue (in letterOfCredit) |
|
|||||||||
| marketValue (in security) |
|
|||||||||
| markToMarket |
|
|||||||||
| method (defined in InterestPaymentDetails complexType) |
|
|||||||||
| minimumTransferAmount |
|
|||||||||
| netOpenPosition | A portfolio level Independent Amounts related to a Parties Net Open Position (NOP).
|
|||||||||
| netTreatment |
|
|||||||||
| nominalAmount (in cash defined in ProposedCollateralDeliveryReturn complexType) | The amount of cash to be moved.
|
|||||||||
| nominalAmount (in security) | nominal amount of the collateral to be moved.
|
|||||||||
| numberOfUnits (in security) | The number of units (index or securities).
|
|||||||||
| obligatedPartyReference | The party that is obligated..
|
|||||||||
| observedRate (in dailyInterestCalculation) |
|
|||||||||
| openingPrincipalAmount |
|
|||||||||
| paymentAmount (defined in HeldCollateral complexType) |
|
|||||||||
| paymentAmount (defined in IndependentAmountType complexType) |
|
|||||||||
| paymentAmount (in pendingCollateral) |
|
|||||||||
| paymentDetails (in grossTreatment) |
|
|||||||||
| paymentDetails (in netTreatment) |
|
|||||||||
| paymentDetails (in singleTreatment) |
|
|||||||||
| pendingCollateral | pending collateral
|
|||||||||
| postingPartyReference | The party posting the collateral.
|
|||||||||
| principalMovement |
|
|||||||||
| proposalApproved |
|
|||||||||
| rate (in withholdingTaxTerms) |
|
|||||||||
| reasonCode (defined in CollateralRetractionReason complexType) | reason codes that specify the reason for retraction
|
|||||||||
| reasonCode (in collateralResponseReason) | standard reason codes used for the collateral response message
|
|||||||||
| reasonCode (in interestResponseReason) | standard reason codes used for the response to the interest notification.
|
|||||||||
| reasonCode (in marginCallResponseReason) | reason codes used in the margin call response
|
|||||||||
| reasonCode (in substitutionResponseReason) | standard reason codes used for the substitution response message
|
|||||||||
| receiverPartyReference (in interestStatement) | The party receiving the interest statement.
|
|||||||||
| receiverPartyReference (in interestStatus) | The party receiving the interest notification.
|
|||||||||
| receiverPartyReference (in interestStatusRetracted) | The party receiving the interest notification.
|
|||||||||
| receiverPartyReference (in requestInterest) | The party receiving the interest notification.
|
|||||||||
| receiverPartyReference (in requestInterestRetracted) | The party receiving the interest notification.
|
|||||||||
| receivingPartyReference (defined in DeliverReturn.model group) |
|
|||||||||
| receivingPartyReference (defined in InterestAccrued complexType) | The party delivering the accrued interest.
|
|||||||||
| receivingPartyReference (defined in ProposedCollateralDeliveryReturn complexType) |
|
|||||||||
| released |
|
|||||||||
| requestCollateralAcceptance |
|
|||||||||
| requestInterest |
|
|||||||||
| requestInterestRetracted |
|
|||||||||
| requestMargin |
|
|||||||||
| requestMarginRetracted |
|
|||||||||
| requestSubstitution |
|
|||||||||
| requestSubstitutionRetracted |
|
|||||||||
| resolutionCode | reason codes that specify the reason for the dispute
|
|||||||||
| return (defined in ExpectedCollateralDeliveryReturn complexType) |
|
|||||||||
| return (defined in ProposedCollateral complexType) |
|
|||||||||
| return (defined in ProposedCollateral complexType) | proposed collateral to be returned
|
|||||||||
| return (defined in SubstituteCollateral complexType) | return details for substitute collateral
|
|||||||||
| return (defined in VariationRequirement complexType) |
|
|||||||||
| return (defined in VariationRequirement complexType) | variation margin to be returned
|
|||||||||
| returnConfirmationStatus |
|
|||||||||
| security |
|
|||||||||
| securityType | Specifies a security as type of expected collateral.
|
|||||||||
| segregatedIndependentAmount (defined in AgreedAmount complexType) |
|
|||||||||
| segregatedIndependentAmount (defined in AgreedAmount complexType) | segregated independent amount part of the agreed amount.
|
|||||||||
| segregatedIndependentAmount (defined in SubstitutionConfirmationDetails.model group) |
|
|||||||||
| segregatedIndependentAmount (defined in SubstitutionConfirmationDetails.model group) | segregated independent amount details for substitute collateral
|
|||||||||
| segregatedIndependentAmount (in collateral defined in MarginDetails.model group) |
|
|||||||||
| segregatedIndependentAmount (in collateral defined in MarginDetails.model group) | segregated independent amount part of the collateral balance.
|
|||||||||
| segregatedIndependentAmount (in collateralProposalStatus) |
|
|||||||||
| segregatedIndependentAmount (in collateralProposalStatus) | segregated independent amount details for proposed collateral response
|
|||||||||
| segregatedIndependentAmount (in disputeNotification) |
|
|||||||||
| segregatedIndependentAmount (in disputeNotification) | segregated independent amount details
|
|||||||||
| segregatedIndependentAmount (in expectedCollateral in requestMargin) |
|
|||||||||
| segregatedIndependentAmount (in expectedCollateral in requestMargin) | segregated independent amount part of the expected collateral.
|
|||||||||
| segregatedIndependentAmount (in interestRequirement in interestStatement) |
|
|||||||||
| segregatedIndependentAmount (in interestRequirement in interestStatement) | segregated independent amount details for the interest statement
|
|||||||||
| segregatedIndependentAmount (in interestRequirement in requestInterest) |
|
|||||||||
| segregatedIndependentAmount (in interestRequirement in requestInterest) | segregated independent amount details for the interest direction
|
|||||||||
| segregatedIndependentAmount (in interestStatus) |
|
|||||||||
| segregatedIndependentAmount (in interestStatus) | segregated independent amount details for the interest reponse
|
|||||||||
| segregatedIndependentAmount (in marginCallResult) |
|
|||||||||
| segregatedIndependentAmount (in marginCallResult) | summary of the segregated independent amount.
|
|||||||||
| segregatedIndependentAmount (in marginRequirement) |
|
|||||||||
| segregatedIndependentAmount (in marginRequirement) | segregated independent amount requirement
|
|||||||||
| segregatedIndependentAmount (in marginTerm) |
|
|||||||||
| segregatedIndependentAmount (in marginTerm) | segregated independent amount terms
|
|||||||||
| segregatedIndependentAmount (in requestCollateralAcceptance) |
|
|||||||||
| segregatedIndependentAmount (in requestCollateralAcceptance) | segregated independent amount details for proposed collateral
|
|||||||||
| segregatedIndependentAmount (in requestSubstitution) |
|
|||||||||
| segregatedIndependentAmount (in requestSubstitution) | segregated independent amount details for substitute collateral
|
|||||||||
| segregatedIndependentAmount (in substitutionStatus) |
|
|||||||||
| segregatedIndependentAmount (in substitutionStatus) | segregated independent amount details for substitute collateral
|
|||||||||
| singleDirection (defined in InterestDirection complexType) |
|
|||||||||
| singleDirection (defined in InterestStatementDirection complexType) |
|
|||||||||
| singleTreatment |
|
|||||||||
| spread (in dailyInterestCalculation) |
|
|||||||||
| spread (in interestCalculationTerms) |
|
|||||||||
| substituteConfirmationStatus |
|
|||||||||
| substitutionAmount |
|
|||||||||
| substitutionApproved |
|
|||||||||
| substitutionIssuerPartyReference (defined in SubstituteReturnConfirmationStatus complexType) | The party issuing the substitution request.
|
|||||||||
| substitutionIssuerPartyReference (in requestSubstitution) | The party issuing the substitution request.
|
|||||||||
| substitutionIssuerPartyReference (in requestSubstitutionRetracted) | The party issuing the substitution request.
|
|||||||||
| substitutionIssuerPartyReference (in substitutionStatus) | The party issuing the substitution request.
|
|||||||||
| substitutionIssuerPartyReference (in substitutionStatusRetracted) | The party issuing the substitution request.
|
|||||||||
| substitutionReceiverPartyReference (defined in SubstituteReturnConfirmationStatus complexType) | The party receiving the substitution request.
|
|||||||||
| substitutionReceiverPartyReference (in requestSubstitution) | The party receiving the substitution request.
|
|||||||||
| substitutionReceiverPartyReference (in requestSubstitutionRetracted) | The party receiving the substitution request.
|
|||||||||
| substitutionReceiverPartyReference (in substitutionStatus) | The party receiving the substitution request.
|
|||||||||
| substitutionReceiverPartyReference (in substitutionStatusRetracted) | The party receiving the substitution request.
|
|||||||||
| substitutionResponseReason |
|
|||||||||
| substitutionStatus |
|
|||||||||
| substitutionStatusRetracted |
|
|||||||||
| takerPartyReference |
|
|||||||||
| threshold |
|
|||||||||
| trade (in independentAmount defined in MarginDetails.model group) | This is the total Independent Amount defined in the confirmations of individual trades.
|
|||||||||
| transferRounding |
|
|||||||||
| type (in threshold) |
|
|||||||||
| unitPrice | The price of each unit.
|
|||||||||
| valuationDate (in disputeNotification) | Close of business date the local counterparty is valuing and issuing the margin call.
|
|||||||||
| valuationDate (in marginCallStatus) | Close of business date the local counterparty is valuing and issuing the margin call.
|
|||||||||
| valuationDate (in requestMargin) | Close of business date the local counterparty is valuing and issuing the margin call.
|
|||||||||
| valueAtRisk | A portfolio level Independent Amount that reflects portfolio change over a short time period using statistical techniques such as volatility and risk factor correlations.
|
|||||||||
| valueDate (in cash defined in ProposedCollateralDeliveryReturn complexType) | The date on which the proposed collateral will be settled .
|
|||||||||
| valueDate (in letterOfCredit) |
|
|||||||||
| valueDate (in security) |
|
|||||||||
| variationMargin (defined in AgreedAmount complexType) | variation margin part of the agreed amount.
|
|||||||||
| variationMargin (defined in SubstitutionConfirmationDetails.model group) | variation margin details for substitute collateral
|
|||||||||
| variationMargin (in collateral defined in MarginDetails.model group) | variation margin part of the collateral balance.
|
|||||||||
| variationMargin (in collateralProposalStatus) | variation margin details for proposed collateral response
|
|||||||||
| variationMargin (in disputeNotification) | variation margin details
|
|||||||||
| variationMargin (in expectedCollateral in requestMargin) | variation margin part of the expected collateral.
|
|||||||||
| variationMargin (in interestRequirement in interestStatement) | variation margin details for the interest statement
|
|||||||||
| variationMargin (in interestRequirement in requestInterest) | variation margin details for the interest direction
|
|||||||||
| variationMargin (in interestStatus) | variation margin details for the interest reponse
|
|||||||||
| variationMargin (in marginCallResult) | summary of the variation margin.
|
|||||||||
| variationMargin (in marginRequirement) | variation margin requirement
|
|||||||||
| variationMargin (in marginTerm) | variation margin terms
|
|||||||||
| variationMargin (in requestCollateralAcceptance) | variation margin details for proposed collateral
|
|||||||||
| variationMargin (in requestSubstitution) | variation margin details for substitute collateral
|
|||||||||
| variationMargin (in substitutionStatus) | variation margin details for substitute collateral
|
|||||||||
| withholdingTax | Specifies the amount of tax withheld.
|
|||||||||
| withholdingTaxTerms | Specifies the terms of the tax withholding.
|
|||||||||
| Complex Type Summary | ||||||||||
|
||||||||||
|
||||||||||
|
||||||||||
|
||||||||||
|
||||||||||
|
||||||||||
Specifies cash currency as type of expected collateral.
|
||||||||||
|
||||||||||
|
||||||||||
|
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Expected Collateral allows for the definition of collateral that the party making the margin call would prefer to receive or have returned.
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Consists of two elements, the first MarkToMarkExposureParty supports the definition of which party is the exposed party and which is the obligated party.
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A basic set of fields to identify an LC.
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Defines a letter of credit.
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Specifies a letter of credit as type of expected collateral.
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This composite type is an aggregation of the data supplied in the Margin Requirement composite type.
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Margin Terms can be defined as they apply to Variation Margin and/or Segregated Independent Amount.
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The net market value of the portfolio in base currency
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Specifies security as type of expected collateral.
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| Element Group Summary | ||||||||||
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Specifies which party is the exposed party and which is the obligated party.
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A group which has unit based trade elements (copied from FpML Extensions 2.2 - fpmlext-repo.xsd).
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| <?xml version="1.0" encoding="utf-8"?> <!-- == Copyright (c) 2002-2012 All rights reserved. == Financial Products Markup Language is subject to the FpML public license. == A copy of this license is available at http://www.fpml.org/license/license.html --> <xsd:schema attributeFormDefault="unqualified" ecore:documentRoot="FpML" ecore:nsPrefix="rpt" ecore:package="org.fpml.reporting" elementFormDefault="qualified" targetNamespace="http://www.fpml.org/FpML-5/reporting" version="$Revision: 9008 $" xmlns="http://www.fpml.org/FpML-5/reporting" xmlns:dsig="http://www.w3.org/2000/09/xmldsig#" xmlns:ecore="http://www.eclipse.org/emf/2002/Ecore" xmlns:fpml-annotation="http://www.fpml.org/annotation" xmlns:xsd="http://www.w3.org/2001/XMLSchema"> <!-- **********************--> <!-- Margin Call Process --> <!-- **********************--> <!-- MC1 Margin Call Message Definition --> <xsd:complexContent> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> Close of business date the local counterparty is valuing and issuing the margin call. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> Denomination currency as specified in the margin agreement. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> Structure that allows for the definition of collateral that the party making the margin call would prefer to receive or have returned. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation>The list of assets to be moved.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- MC2 Rescind Margin Call Message Definition --> <xsd:complexContent> <xsd:sequence minOccurs="0"> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element maxOccurs="unbounded" minOccurs="0" name="collateralRetractionReason" type="CollateralRetractionReason"> <xsd:annotation> <xsd:documentation xml:lang="en"> Defines a list of collateral retraction reason codes. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- Margin Call Response (full agreement: MC3b / full dispute: MC5 / partial dispute: MC6) Message Definition --> <xsd:complexContent> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> Close of business date the local counterparty is valuing and issuing the margin call. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> Denomination currency as specified in the margin agreement. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The agreedAmount block allows the responder to detail the undisputed amount for any Variation Margin requirement and/or Segregated Independent Amount requirement they may have received in the corresponding requestMargin message. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element maxOccurs="unbounded" minOccurs="0" name="marginCallResponseReason" type="MarginCallResponseReason"> <xsd:annotation> <xsd:documentation xml:lang="en"> Defines a list of collateral response reason codes. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- MC3c Propose Collateral Message Definition --> <xsd:complexContent> <xsd:sequence> <xsd:annotation> <xsd:documentation>The party issuing the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation>The party receiving the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The agreedAmount block allows the responder to detail the undisputed amount for any Variation Margin requirement and/or Segregated Independent Amount requirement they may have received in the corresponding requestMargin message. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation>The list of assets to be moved.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- MC4 Rescind Margin Call Response Definition --> <xsd:complexContent> <xsd:sequence minOccurs="0"> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element maxOccurs="unbounded" minOccurs="0" name="collateralRetractionReason" type="CollateralRetractionReason"/> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- accept (MC7) and reject (MC8) proposed collateral: combined Response Message Definition --> <xsd:complexContent> <xsd:sequence> <xsd:annotation> <xsd:documentation>The party issuing the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation>The party receiving the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation>The list of assets to be moved.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- MC11 Acknowledge Dispute Message Definition --> <xsd:complexContent> <xsd:sequence> <xsd:annotation> <xsd:documentation>The party receiving the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation>The party receiving the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation>References the legal agreement.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> Close of business date the local counterparty is valuing and issuing the margin call. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> Denomination currency as specified in the margin agreement. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <xsd:complexContent> <xsd:sequence minOccurs="0"> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the margin call.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element maxOccurs="unbounded" minOccurs="0" name="collateralRetractionReason" type="CollateralRetractionReason"/> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- ***********************--> <!-- Substitution Process --> <!-- ***********************--> <!-- CS1 Request Substitution Message Definition --> <xsd:complexContent> <xsd:sequence> <xsd:annotation> <xsd:documentation>The party issuing the substitution request.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation>The party receiving the substitution request.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The list of assets being moved.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- Rescind Request Substitution Message Definition --> <xsd:complexContent> <xsd:sequence minOccurs="0"> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the substitution request.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the substitution request.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element maxOccurs="unbounded" minOccurs="0" name="collateralRetractionReason" type="CollateralRetractionReason"> <xsd:annotation> <xsd:documentation xml:lang="en"> Defines a list of collateral retraction reason codes. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- CS2 Agree Collateral Substitution / CS5 Reject Collateral Substitution Message Definition --> <xsd:complexContent> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the substitution request.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the substitution request.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The list of assets being moved.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- Rescind Response to Request Substitution Message Definition --> <xsd:complexContent> <xsd:sequence minOccurs="0"> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the substitution request.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the substitution request.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element maxOccurs="unbounded" minOccurs="0" name="collateralRetractionReason" type="CollateralRetractionReason"> <xsd:annotation> <xsd:documentation xml:lang="en"> Defines a list of collateral retraction reason codes. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- CS3 Confirm Substitution Message Definition / CS4 Confirm Collateral Returned Message Definition --> <xsd:complexContent> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the substitution request.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the substitution request.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The list of assets being moved.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- ******************--> <!-- Interest Process --> <!-- ******************--> <!-- IN1 Interest Notification Message Definition --> <xsd:complexContent> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the interest notification.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the interest notification.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- Rescind Interest Notification Message Definition --> <xsd:complexContent> <xsd:sequence minOccurs="0"> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the interest notification.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the interest notification.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element maxOccurs="unbounded" minOccurs="0" name="collateralRetractionReason" type="CollateralRetractionReason"> <xsd:annotation> <xsd:documentation xml:lang="en"> Defines a list of collateral retraction reason codes. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- IN2 Matched Acceptance / IN3 Reject Value Date / IN5 Dispute Interest Messages Definition --> <xsd:complexContent> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the interest notification.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the interest notification.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- Rescind Response to Interest Notification Message Definition --> <xsd:complexContent> <xsd:sequence minOccurs="0"> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the interest notification.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the interest notification.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element maxOccurs="unbounded" minOccurs="0" name="collateralRetractionReason" type="CollateralRetractionReason"> <xsd:annotation> <xsd:documentation xml:lang="en"> Defines a list of collateral retraction reason codes. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- IN1 Interest Notification Message Definition --> <xsd:complexContent> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">The party issuing the interest statement.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party receiving the interest statement.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties. </xsd:documentation> </xsd:annotation> </xsd:element> <!-- the content model is essentially the same as for the interest notification (IN1) except that NO treatment is needed for the Interest Statement --> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <!-- GENERAL Type Definitions --> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>variation margin part of the agreed amount.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation> segregated independent amount part of the agreed amount. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:choice maxOccurs="unbounded"> <xsd:annotation> <xsd:documentation xml:lang="en"> This is the total Independent Amount defined in the confirmations of individual trades. This would relate to the same Independent Amount defined in other FpML messages aggregated for a specific agreement. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> A portfolio level Independent Amount that reflects portfolio change over a short time period using statistical techniques such as volatility and risk factor correlations. These amounts reflect the summation of independent Amounts due to Party A or Party B. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> A portfolio level Independent Amounts related to a Parties Net Open Position (NOP). Net Open Position means the total of the Net Long FX and the Net Options in respect of each currency where: Net Long FX for any currency shall be the net amount (if any) of that currency which the Party "A" is long as against Party "B" in respect of all FX transactions. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:choice minOccurs="0"> </xsd:choice> </xsd:sequence> </xsd:complexType> <xsd:sequence> <!-- no treatment for the interest statement --> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en"> Refers to the asset which specifies the currency of the cash being delivered or returned. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The amount of cash to be moved.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The date on which the proposed collateral will be settled . </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The value of the proposed collateral movement prior to the application of any haircut amount. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> The amount to which the collaterals market value will be discounted to take into account the ability to realize the value of that collateral. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> This is the value of the proposed collateral after the application of the haircut. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:complexType> <xsd:annotation> <xsd:documentation xml:lang="en"> Specifies cash currency as type of expected collateral. </xsd:documentation> </xsd:annotation> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>variation margin part of the collateral balance.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation> segregated independent amount part of the collateral balance. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:sequence> <xsd:sequence minOccurs="0"> <xsd:sequence minOccurs="0"> <xsd:sequence> </xsd:sequence> </xsd:sequence> </xsd:sequence> <xsd:sequence minOccurs="0"> <xsd:sequence minOccurs="0"> </xsd:sequence> </xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en"> This is confirmation of the amount being disputed this would be the difference between the undisputed amount and the call amount from the requestMargin message. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> This is the date from which the Dispute is deemed by the sending party to have occurred on. It can be used for dispute aging purposes. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element maxOccurs="unbounded" minOccurs="0" name="disputeResolutionMethod" type="DisputeResolutionMethod"> <xsd:annotation> <xsd:documentation xml:lang="en"> The disputeResolutionMethod can consist of either a resolutionCode and description, a resolution code only or a description only. The purpose of this element is to be able to provide details of how the dispute differences will be resolved. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:complexType> <xsd:annotation> <xsd:documentation xml:lang="en"> Expected Collateral allows for the definition of collateral that the party making the margin call would prefer to receive or have returned. This can be defined for the Variation Requirement and /or the Segregated Independent Amount Requirement. For deliveries only the type of cash i.e. USD or security type i.e. US Treasuries is expected to be defined. For the return the calling party will know what they posted and therefore can define the expected collateral down to the specific instrument identifier, currency and amount. </xsd:documentation> </xsd:annotation> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>variation margin part of the expected collateral.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element minOccurs="0" name="segregatedIndependentAmount" type="ExpectedCollateralDeliveryReturn"/> </xsd:sequence> <xsd:annotation> <xsd:documentation> segregated independent amount part of the expected collateral. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:sequence> <xsd:element maxOccurs="unbounded" minOccurs="0" name="return" type="ProposedCollateralDeliveryReturn"/> </xsd:sequence> </xsd:complexType> <xsd:choice maxOccurs="unbounded"> <xsd:annotation> <xsd:documentation xml:lang="en">Specifies cash as type of expected collateral.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> Specifies a security as type of expected collateral. </xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> Specifies a letter of credit as type of expected collateral. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:sequence> <!-- references FpML's bond or convertibleBond underlyer --> </xsd:sequence> </xsd:complexType> <xsd:annotation> <xsd:documentation xml:lang="en"> Consists of two elements, the first MarkToMarkExposureParty supports the definition of which party is the exposed party and which is the obligated party. Within FpML it is important to state both parties roll in the exposure details to avoid ambiguity. The parties referenced should be one of those defined in the Parties element. Therefore if Party A is the exposed party there Party Reference ID would be quoted and Party B would be the obligated party. The second element is the exposureAmount this is the amount to which the exposed party is exposed. This uses the Money type that can take but an amount and a currency. </xsd:documentation> </xsd:annotation> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">The party holding the collateral.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party posting the collateral.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">The party delivering the accrued interest.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party delivering the accrued interest.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:sequence minOccurs="0"> <xsd:annotation> <xsd:documentation xml:lang="en">Specifies the amount of tax withheld.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">Specifies the terms of the tax withholding.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">Specifies the terms of the interest calculations.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element maxOccurs="unbounded" minOccurs="0" name="interestCalculationDetails" type="InterestCalculationDetails"> <xsd:annotation> <xsd:documentation xml:lang="en"> Details optional calculations for each day of the interest period. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:element maxOccurs="unbounded" minOccurs="0" name="dailyInterestCalculation" type="DailyInterestCalculation"> <xsd:annotation> <xsd:documentation xml:lang="en"> Specifies the interest calculations for one day of the interest period. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:complexType> <xsd:sequence> <!-- reusing FpML Floating Rate Index Scheme floating-rate-index-2-2.xml--> </xsd:sequence> </xsd:complexType> <xsd:choice> </xsd:choice> </xsd:complexType> <xsd:complexContent> <xsd:sequence> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:choice minOccurs="0"> <xsd:sequence> <xsd:annotation> <xsd:documentation> variation margin details for the interest direction </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation> segregated independent amount details for the interest direction </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:element maxOccurs="unbounded" minOccurs="0" name="interestResponseReason" type="InterestResponseReason"/> </xsd:sequence> </xsd:complexType> <xsd:choice> </xsd:choice> </xsd:complexType> <!-- the content model is essentially the same as for the interestRequirement (used by IN1) except that NO treatment is needed for the Interest Statement --> <xsd:sequence> <xsd:choice minOccurs="0"> <xsd:sequence> <xsd:annotation> <xsd:documentation> variation margin details for the interest statement </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation> segregated independent amount details for the interest statement </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:sequence> </xsd:complexType> <!-- Type borrowed from FpML 4.7 Loan definitions (fpml-loan-4-7.xsd). Expected to be present/refactored in FpML 5.2 --> <xsd:annotation> <xsd:documentation xml:lang="en"> A basic set of fields to identify an LC. Please note that the partyReference within the contract identifier should refer to the Issuing Bank. </xsd:documentation> </xsd:annotation> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:annotation> <xsd:documentation xml:lang="en">Defines a letter of credit.</xsd:documentation> </xsd:annotation> <xsd:complexContent> <xsd:sequence> </xsd:sequence> </xsd:extension> </xsd:complexContent> </xsd:complexType> <xsd:annotation> <xsd:documentation xml:lang="en"> Specifies a letter of credit as type of expected collateral. </xsd:documentation> </xsd:annotation> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:annotation> <xsd:documentation xml:lang="en"> This composite type is an aggregation of the data supplied in the Margin Requirement composite type. It allows for the sum of the deliver and return requirements in to a single Margin Call Amount for Segregated Independent Amount and/or Variation Margin.. </xsd:documentation> </xsd:annotation> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>summary of the variation margin.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>summary of the segregated independent amount.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>pending collateral</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>held collateral</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>variation margin requirement</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>segregated independent amount requirement</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:annotation> <xsd:documentation xml:lang="en"> Margin Terms can be defined as they apply to Variation Margin and/or Segregated Independent Amount. For Variation Margin Terms a threshold, minimumTransferAmount and transferRounding are defined. For Segregated Independent Amount it is only necessary to provide a minimumTransferAmount and transferRounding. </xsd:documentation> </xsd:annotation> <xsd:sequence> <xsd:choice minOccurs="0"> <xsd:sequence> <xsd:annotation> <xsd:documentation>variation margin terms</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:element minOccurs="0" name="segregatedIndependentAmount" type="SegregatedIndependentAmountMarginTerm"/> </xsd:sequence> <xsd:annotation> <xsd:documentation>segregated independent amount terms</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:sequence> </xsd:complexType> <xsd:annotation> <xsd:documentation xml:lang="en"> The net market value of the portfolio in base currency </xsd:documentation> </xsd:annotation> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en"> Specifies whether the exposure should be treated on a net or gross basis. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>proposed collateral to be delivered</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>proposed collateral to be returned</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:sequence> <xsd:choice maxOccurs="unbounded" minOccurs="0"> </xsd:choice> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:element maxOccurs="unbounded" minOccurs="0" name="collateralResponseReason" type="CollateralResponseReason"/> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:choice minOccurs="0"> </xsd:choice> </xsd:sequence> </xsd:complexType> <xsd:annotation> <xsd:documentation xml:lang="en"> Specifies security as type of expected collateral. </xsd:documentation> </xsd:annotation> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> <!-- no treatment for the interest statement --> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:choice minOccurs="0"> <xsd:sequence> <xsd:annotation> <xsd:documentation>return details for substitute collateral</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>return details for substitute collateral</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:sequence> </xsd:complexType> <xsd:sequence> <xsd:element maxOccurs="unbounded" minOccurs="0" name="substitutionResponseReason" type="SubstitutionResponseReason"/> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:sequence> </xsd:sequence> </xsd:complexType> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>variation margin to be delivered</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>variation margin to be returned</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> </xsd:complexType> <xsd:sequence> <!-- referencing Country Code Scheme --> </xsd:sequence> </xsd:complexType> <!-- Reason Code Definitions --> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation> standard reason codes used for the collateral response message </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>free form description of the reason</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:simpleContent> <xsd:attribute default="http://www.fpml.org/coding-scheme/collateral-response-reason" name="collateralResponseReasonScheme" type="xsd:anyURI"/> </xsd:extension> </xsd:simpleContent> </xsd:complexType> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation> reason codes that specify the reason for retraction </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>free form description of the reason</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:simpleContent> <xsd:attribute default="http://www.fpml.org/coding-scheme/collateral-retraction-reason" name="collateralRetractionReasonScheme" type="xsd:anyURI"/> </xsd:extension> </xsd:simpleContent> </xsd:complexType> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation> reason codes that specify the reason for the dispute </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>free form description of the reason</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:simpleContent> <xsd:attribute default="http://www.fpml.org/coding-scheme/collateral-dispute-resolution-method-reason" name="collateralDisputeResolutionMethodReasonScheme" type="xsd:anyURI"/> </xsd:extension> </xsd:simpleContent> </xsd:complexType> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation> standard reason codes used for the response to the interest notification. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>free form description of the reason</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:simpleContent> <xsd:attribute default="http://www.fpml.org/coding-scheme/collateral-interest-response-reason" name="collateralInterestResponseReasonScheme" type="xsd:anyURI"/> </xsd:extension> </xsd:simpleContent> </xsd:complexType> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>reason codes used in the margin call response</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>free form description of the reason</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:simpleContent> <xsd:attribute default="http://www.fpml.org/coding-scheme/collateral-margin-call-response-reason" name="collateralMarginCallResponseReasonScheme" type="xsd:anyURI"/> </xsd:extension> </xsd:simpleContent> </xsd:complexType> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation> standard reason codes used for the substitution response message </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>free form description of the reason</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:complexType> <xsd:simpleContent> <xsd:attribute default="http://www.fpml.org/coding-scheme/collateral-substitution-response-reason" name="collateralSubstitutionResponseReasonScheme" type="xsd:anyURI"/> </xsd:extension> </xsd:simpleContent> </xsd:complexType> <!-- Enumerations are located in fpml-enum.xsd: IndependentAmountConventionEnum, MarkToMarketConventionEnum, ThresholdTypeEnum, InterestCalculationTypeEnum, InterestMethodEnum --> <!-- Model Groups --> <xsd:sequence> </xsd:sequence> </xsd:group> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>variation margin details</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation>segregated independent amount details</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:group> <xsd:sequence> </xsd:sequence> </xsd:group> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>variation margin details for the interest reponse</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation> segregated independent amount details for the interest reponse </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:group> <xsd:sequence> </xsd:sequence> </xsd:group> <xsd:sequence> <!-- collision with existing FpML IndependentAmount, temp renamed AggregatedIndependentAmount - request coord advice --> <!-- collision with existing FpML Collateral, temp renamed CollateralBalance - request coord advice --> </xsd:sequence> </xsd:group> <xsd:annotation> <xsd:documentation xml:lang="en"> Specifies which party is the exposed party and which is the obligated party. </xsd:documentation> </xsd:annotation> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">The party that is exposed.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The party that is obligated..</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:group> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">nominal amount of the collateral to be moved.</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en"> Bond dirty price, expressed in percentage points, 100 is the initial value of the bond. </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:group> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation>variation margin details for proposed collateral</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation> segregated independent amount details for proposed collateral </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:group> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation> variation margin details for proposed collateral response </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation> segregated independent amount details for proposed collateral response </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:group> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation> variation margin details for substitute collateral </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation> segregated independent amount details for substitute collateral </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:group> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation> variation margin details for substitute collateral </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation> segregated independent amount details for substitute collateral </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:group> <xsd:choice> <xsd:sequence> <xsd:annotation> <xsd:documentation> variation margin details for substitute collateral </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> <xsd:annotation> <xsd:documentation> segregated independent amount details for substitute collateral </xsd:documentation> </xsd:annotation> </xsd:element> </xsd:choice> </xsd:group> <xsd:sequence> </xsd:sequence> </xsd:group> <xsd:annotation> <xsd:documentation xml:lang="en"> A group which has unit based trade elements (copied from FpML Extensions 2.2 - fpmlext-repo.xsd). </xsd:documentation> </xsd:annotation> <xsd:sequence> <xsd:annotation> <xsd:documentation xml:lang="en">The number of units (index or securities).</xsd:documentation> </xsd:annotation> </xsd:element> <xsd:annotation> <xsd:documentation xml:lang="en">The price of each unit.</xsd:documentation> </xsd:annotation> </xsd:element> </xsd:sequence> </xsd:group> <!-- Collateral Messages --> <xsd:annotation> <xsd:documentation xml:lang="en">Collateral Messages</xsd:documentation> </xsd:annotation> <!-- Margin Call Process --> <!-- MC1 --> <!-- MC2 --> <!-- MC3b/5/6 --> <!-- MC4 --> <!-- MC3c --> <!-- MC7/MC8 --> <!-- MC11 --> <!-- Substitution Process --> <!-- CS1 --> <!-- CS2/CS5 --> <!-- CS3 --> <!-- CS4 --> <!-- Interest Process --> <!-- IN1 --> <!-- IN2 --> </xsd:schema> |
| XML schema documentation generated with DocFlex/XML 1.8.6b2 using DocFlex/XML XSDDoc 2.5.1 template set. All content model diagrams generated by Altova XMLSpy via DocFlex/XML XMLSpy Integration. |