XML Schema Documentation

'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.'

'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.'

'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:'

'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.'

'Applicable to CDS on MBS to specify whether payment delays are applicable to the fixed Amount. RMBS typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap. CMBS do not, on the other hand, with both payment dates being on the 25th of each month.'

'An optional element that contains the up-front points expressed as a percentage of the notional. An initialPoints value of 5% would be represented as 0.05. The initialPoints element is an alternative to marketFixedRate in quoting the traded level of a trade. The initialPoints is one of the items that are factored into the initialPayment calculation and is payable by the Buyer to the Seller. Note that initialPoints and marketFixedRate may both be present in the same document when both implied values are desired.'

'The type of quotation that was used between the trading desks. The purpose of this element is to indicate the actual quotation style that was used to quote this trade which may not be apparent when both marketFixedRate and initialPoints are included in the document. When quotationStyle is ‘PointsUpFront’, the initialPoints element should be populated. When quotationStyle is ‘TradedSpread’, the marketFixedRate element should be populated.'