Schema "fpml-repo-5-11.xsd" | XML Schema Documentation

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

<xsd:complexType name="AdjustableOffset">

<xsd:annotation>

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

An adjustable offset can be used to specify a number of days, business or calendar, for example in a notice period.

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:extension base="Offset">

<xsd:sequence>

<xsd:group minOccurs="0" ref="BusinessCentersOrReference.model"/>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="CollateralProfile">

<xsd:simpleContent>

<xsd:extension base="Scheme">

<xsd:attribute name="collateralProfileScheme" type="NonEmptyURI"/>

</xsd:extension>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="CollateralType">

<xsd:simpleContent>

<xsd:extension base="Scheme">

<xsd:attribute name="collateralTypeScheme" type="NonEmptyURI"/>

</xsd:extension>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="CollateralValuation">

<xsd:annotation>

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

This type is used in Repo trades, to specify the valuation of a specific piece of collateral in the transaction.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

<xsd:choice>

<xsd:group ref="BondCollateral.model">

<xsd:annotation>

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

When the instrument being used in a transaction is a bond, the group above should be used to properly value the instrument, in terms of price, accruals and notional.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

<xsd:group ref="UnitContract.model">

<xsd:annotation>

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

When the instrument being used in a transaction is an equity, or any contract traded in units, this group should be used to define the quantity, price and valuation of the instrument.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

</xsd:choice>

<xsd:element name="assetReference" type="AssetReference">

<xsd:annotation>

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

A reference to explicitly identify which asset is being valued.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:complexType>

<xsd:complexType name="DeliveryMethod">

<xsd:annotation>

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

Specifies delivery methods for securities transactions. This coding-scheme defines the possible delivery methods for securities.

</xsd:documentation>

</xsd:annotation>

<xsd:simpleContent>

<xsd:extension base="Scheme">

<xsd:attribute default="http://www.fpml.org/coding-scheme/delivery-method" name="deliveryMethodScheme" type="NonEmptyURI"/>

</xsd:extension>

</xsd:simpleContent>

</xsd:complexType>

<xsd:complexType name="InitialMargin">

<xsd:annotation>

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

Defines initial margin applied to a repo or SBL transaction. Initial margin is an agreed premium to the Purchase Price of a repo or the Leding Price of the SBL to determine the required Market Value of the collateral to be delivered on the Purchase or Delivery Date respectfully. It reflects quality of the collateral. Its aim is to calculate the risk-adjusted or liquidation value of collateral.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

<xsd:element name="marginType" type="MarginTypeEnum">

<xsd:annotation>

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

An element defining the type of assets (cash or securities) specified to apply as margin to the repo transaction. See GMRA 2011 paragraph 2(h) for "Cash Margin" and GMRA 2011 paragraph 2(cc) for "Margin Securities".

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element maxOccurs="unbounded" name="margin" type="InitialMarginCalculation">

<xsd:annotation>

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

Initial margin calculation for a collateral asset. Initial margin requirements may be specified for multiple pieces of collateral.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="marginThreshold" type="NonNegativeMoney">

<xsd:annotation>

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

An element defining a margin threshold which is the Net Exposure of a trade below which parties agree they will not call a margin from each other.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="minimumTransferAmount" type="NonNegativeMoney">

<xsd:annotation>

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

An element defining a minimum transfer amount which is the minimum margin call parties will make once the margin threshold (or margin ratio threshold / haircut threshold) has been exceeded.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:complexType>

<xsd:complexType name="InitialMarginCalculation">

<xsd:annotation>

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

Defines the initial margin calculation applicable to a single piece of collateral.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

<xsd:choice>

<xsd:annotation>

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

A choice between initial 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:element maxOccurs="2" minOccurs="0" name="marginRatioThreshold" type="xsd:decimal">

<xsd:annotation>

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

An element defining a margin ratio threshold which is the value above (when it's lower than initial margin ratio) or below (when it's higher than initial margin ratio) which parties agree they will not call a margin from each other.

</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:element maxOccurs="2" minOccurs="0" name="haircutThreshold" type="xsd:decimal">

<xsd:annotation>

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

An element defining a haircut percentage threshold which is the value above (when it's lower than initial haircut) or below (when it's higher than initial haircut) which parties agree they will not call a margin from each other.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:choice>

<xsd:element minOccurs="0" name="assetReference" type="AssetReference">

<xsd:annotation>

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

A reference to the collateral asset to which the margin requirement applies. This element should be produced in the case where margin requirements are specified for multiple pieces of collateral, and may be omitted otherwise.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:complexType>

<xsd:complexType name="PartyNoticePeriod">

<xsd:annotation>

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

A type to represent agreed period of notice to be given in advance before exercise of the open repo trade by a party requesting such exercise and reference to that party.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

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

<xsd:annotation>

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

A reference to a party who has the right to request exercise of the open repo trade and for whom noticePeriod is defined.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<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:sequence>

</xsd:complexType>

<xsd:complexType name="RelativePrice">

<xsd:annotation>

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

A type which represents Pricing relative to a Benchmark.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

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

<xsd:annotation>

<xsd:documentation xml:lang="en">Basis Point spread over a Benchmark.</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:group maxOccurs="unbounded" ref="BondEquity.model">

<xsd:annotation>

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

The benchmark being referred to; either a bond or equity product.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

</xsd:sequence>

</xsd:complexType>

<xsd:complexType name="Repo">

<xsd:annotation>

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

A Repo, modeled as an FpML:Product. Note: this Repo model is a candidate model for further industry input.

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:extension base="Product">

<xsd:sequence>

<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:annotation>

</xsd:element>

<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:annotation>

</xsd:element>

</xsd:choice>

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

<xsd:annotation>

<xsd:documentation xml:lang="en">The day count fraction.</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:choice>

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

<xsd:annotation>

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

A duration code for the repo transaction. This defines a type of a repo transaction with fixed duration.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:sequence>

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

<xsd:annotation>

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

A party to the open repo transaction that has a right to demand for exercise of far leg of the open repo 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">

</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:element minOccurs="0" name="initialMargin" type="InitialMargin">

<xsd:annotation>

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

Defines initial margin applied to a repo transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element name="nearLeg" type="RepoNearLeg">

<xsd:annotation>

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

A repo contract is modeled as two purchase/repurchase transactions which are called legs. This is the near leg, i.e. the transaction that will be executed on the near settlement date of the contract.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="farLeg" type="RepoFarLeg">

<xsd:annotation>

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

The far leg of the repo contract, i.e. the repurchase transaction. The BuyerSeller model in the far leg must be the exact opposite of the one found in the near leg.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:choice>

<xsd:group maxOccurs="unbounded" ref="BondEquity.model">

<xsd:annotation>

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

A list of the financial instruments that the repo contract may reference.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

<xsd:element name="triParty" type="TriParty"/>

</xsd:choice>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="RepoFarLeg">

<xsd:annotation>

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

A transaction leg for a repo is equivalent to a single cash transaction. It is augmented here to carry some values that are of interest for the repo. Also note that the BuyerSeller model in this transaction must be the exact opposite of the one found in the near leg.

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:extension base="RepoLegBase">

<xsd:sequence>

<xsd:group ref="SettlementAmountOrCurrency.model">

<xsd:annotation>

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

Settlement amount of the securities transaction. When the exact financial amount to the transaction is not known (for instance in far leg of a floating rate repo), this structure allows participants to state the currency of the transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

<xsd:element minOccurs="0" name="fxRate" type="FxRate">

<xsd:annotation>

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

Indicates the rate of a currency conversion that is used to compute settlement amount for cross-currency transactions.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:sequence minOccurs="0">

<xsd:element name="deliveryMethod" type="DeliveryMethod">

<xsd:annotation>

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

Specifies a delivery method for the security transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

<xsd:annotation>

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

Delivery Date for the transaction. Delivery Date can be populated when it is not equal to the Settlement Date.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element maxOccurs="unbounded" name="collateral" type="CollateralValuation">

<xsd:annotation>

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

Collateral element is used to carry the quantity and price details that are required to ensure that a repo contract is executed at fair value, with the value of the collateral matching the cash amount of the repo. Collateral is declared as optional here, with multiple cardinalities, since there can be a repo "Multi", with multiple instruments specified, or a "Cash Borrow/Loan" and “TriPartyRepo” with no collateral. In general cases, however it should be specified. This element can be omitted in farLeg.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

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

<xsd:annotation>

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

The repo interest is basically the difference between the settlement amounts at spot and forward date. It is a fully figured amount, but it does not have to be specified in the message. It is not a 'Money' amount as it is implicitly expressed in the settlement currency.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="RepoLegBase">

<xsd:annotation>

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

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:extension base="Leg">

<xsd:sequence>

<xsd:group ref="BuyerSeller.model">

<xsd:annotation>

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

References to the buyer and the seller of this leg of the repo contract.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

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

<xsd:annotation>

<xsd:documentation xml:lang="en">Settlement or Payment Date for the transaction.</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="SBLLegBase">

<xsd:annotation>

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

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:extension base="Leg">

<xsd:sequence>

<xsd:group ref="DelivererReceiver.model">

<xsd:annotation>

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

References to the buyer and the seller of this leg of the repo contract.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

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

<xsd:annotation>

<xsd:documentation xml:lang="en">Settlement or Payment Date for the transaction.</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="RepoNearLeg">

<xsd:annotation>

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

A transaction leg for a repo is equivalent to a single cash transaction.

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:extension base="RepoLegBase">

<xsd:sequence>

<xsd:element name="settlementAmount" type="Money">

<xsd:annotation>

<xsd:documentation xml:lang="en">Settlement Amount</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="fxRate" type="FxRate">

<xsd:annotation>

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

Indicates the rate of a currency conversion that is used to compute settlement amount for cross-currency transactions.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:sequence minOccurs="0">

<xsd:element name="deliveryMethod" type="DeliveryMethod">

<xsd:annotation>

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

Specifies a delivery method for the security transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

<xsd:annotation>

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

Delivery Date for the transaction. Delivery Date can be populated when it is not equal to the Settlement Date.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element maxOccurs="unbounded" name="collateral" type="CollateralValuation">

<xsd:annotation>

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

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="SBLFarLeg">

<xsd:annotation>

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

Defines the far leg of a Securities Lending Borrowing (SBL) transaction.

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:extension base="SBLLegBase">

<xsd:sequence>

<xsd:group ref="SettlementAmountOrCurrency.model">

<xsd:annotation>

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

Settlement amount of the securities transaction. When the exact financial amount to the transaction is not known (for instance in far leg of a floating rate SBL), this structure allows participants to state the currency of the transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

<xsd:element minOccurs="0" name="fxRate" type="FxRate">

<xsd:annotation>

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

Indicates the rate of a currency conversion that is used to compute settlement amount for cross-currency transactions.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element name="security" type="CollateralValuation">

<xsd:annotation>

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

References to the Deliverer and Receiver of the Security Lending transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:group minOccurs="0" ref="CollateralAndDelivery.model">

<xsd:annotation>

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

Specifies collateral,a delivery method and date for the security transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

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

<xsd:annotation>

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

The security lending rebate is basically the difference between the settlement amounts at spot and forward date. It is a fully figured amount, but it does not have to be specified in the message. It is not a 'Money' amount as it is implicitly expressed in the settlement currency.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="SBLNearLeg">

<xsd:annotation>

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

Defines one leg of a Securities Lending Borrowing (SBL)transaction.

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:extension base="SBLLegBase">

<xsd:sequence>

<xsd:element name="settlementAmount" type="Money">

<xsd:annotation>

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

The monetary amount specified for the settlement of this transaction, where the settlement amount and currency are explicitly expressed.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="fxRate" type="FxRate">

<xsd:annotation>

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

Indicates the rate of a currency conversion that is used to compute settlement amount for cross-currency transactions.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element name="security" type="CollateralValuation">

<xsd:annotation>

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

References to the Deliverer and Receiver of the Security Lending transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:group minOccurs="0" ref="CollateralAndDelivery.model">

<xsd:annotation>

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

Specifies collateral, a delivery method and date for the security transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="SecurityLending">

<xsd:annotation>

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

A Security Lending, modeled as an FpML:Product. The owner of the securities lends the securities for collateral, which may be cash or non-cash collateral at: an agreed date, specific time frame and price. The stock borrower supplies the collateral: The stock borrower pays a fee on the stock being lent. If cash collateral, the cash borrower pays a rate of interest known as a rebate. Note: this Security Lending model is a candidate model for further industry input.

</xsd:documentation>

</xsd:annotation>

<xsd:complexContent>

<xsd:extension base="Product">

<xsd:sequence>

<xsd:choice>

<xsd:annotation>

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

Fee based on market value of securities. If cash is used as collateral, interest paid (rebate).

</xsd:documentation>

</xsd:annotation>

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

<xsd:annotation>

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

If cash collateral, the cash borrower pays a rate of interest known as a rebate.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

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

<xsd:annotation>

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

The stock borrower pays a fee on the stock being lent.

</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: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="allInRate" type="xsd:decimal">

<xsd:annotation>

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

Specifies the rate used to express the cost of borrowing as a percentage of dividend value and is useful when borrowing over dividend season.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<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:choice>

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

<xsd:annotation>

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

A duration code for the security lending transaction. This defines a type of a security lending transaction with fixed duration. The fixed duration can only by Term for a security lending transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:group ref="OpenEndedOrCallable.model">

<xsd:annotation>

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

Defines the terms of an open ended security lending transaction; this means that the end date is unspecified, and will be agreed by the two parties at a later date. Business rule: When the security lending transaction is Open, the forward transaction leg must not be present.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

</xsd:choice>

<xsd:element minOccurs="0" name="initialMargin" type="InitialMargin">

<xsd:annotation>

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

Defines initial margin applied to a SBL transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element name="nearLeg" type="SBLNearLeg">

<xsd:annotation>

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

A Security Lending and Borrowing (SBL) agreement is modeled as two Deliverer/Receiver transactions which are called legs. This is the spot leg, i.e. the transaction that will be executed on the near settlement date of the contract.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="farLeg" type="SBLFarLeg">

<xsd:annotation>

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

The far leg of the Security Lending and Borrowing (SBL) agreement. The Deliverer/Reciver model in the far leg must be the exact opposite of the one found in the near leg.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:group ref="CollateralOrTriParty.model">

<xsd:annotation>

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

</xsd:annotation>

</xsd:group>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

<xsd:complexType name="TriParty">

<xsd:annotation>

<xsd:documentation xml:lang="en">The tri-party terms.</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

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

<xsd:annotation>

<xsd:documentation xml:lang="en">The reference to the tri-party agent.</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element name="collateralProfile" type="CollateralProfile">

<xsd:annotation>

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

The collateral profile specified at the tri-party agent.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element minOccurs="0" name="collateralType" type="CollateralType">

<xsd:annotation>

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

The collateral type, which is a restriction of the collateral deemed acceptable for the purpose of the transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:complexType>

<xsd:element name="repo" substitutionGroup="product" type="Repo">

<xsd:annotation>

<xsd:documentation xml:lang="en">Global element representing a Repo.</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

<xsd:annotation>

<xsd:documentation xml:lang="en">Global element representing a Security Lending.</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

<xsd:annotation>

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

</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:choice>

</xsd:group>

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

<xsd:annotation>

<xsd:documentation xml:lang="en">A group which has Collateral elements.</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

<xsd:element name="nominalAmount" type="Money">

<xsd:annotation>

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

Total nominal amount of the given bonds used as collateral.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:group minOccurs="0" ref="BondPriceAndYield.model">

<xsd:annotation>

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

A model describing price of the given bonds used as collateral.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

<xsd:element minOccurs="0" name="accrualsAmount" type="Money">

<xsd:annotation>

<xsd:documentation xml:lang="en">Accruals expressed as amount.</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:group>

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

<xsd:annotation>

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

A model group that allows us to specify that a repo contract can reference bond or equity instruments.

</xsd:documentation>

</xsd:annotation>

<xsd:choice>

<xsd:annotation>

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

Most repos are done using Bonds and Bond subclasses as collateral. However in some jurisdictions repos on equities are widely used. It is technically possible to execute a repo on an equity, as long as the mark to market is correctly done during the lifetime of the repo.

</xsd:documentation>

</xsd:annotation>

<xsd:group ref="BondChoice.model">

<xsd:annotation>

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

A bond, or bond subtype referenced by a repo contract.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

<xsd:element ref="equity">

<xsd:annotation>

<xsd:documentation xml:lang="en">An equity referenced by a repo contract.</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:choice>

</xsd:group>

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

<xsd:annotation>

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

Specifies collateral,a delivery method and date for the security transaction.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

<xsd:element name="deliveryMethod" type="DeliveryMethod">

<xsd:annotation>

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

Specifies a delivery method for the security transaction.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

<xsd:annotation>

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

Delivery Date for the transaction. Delivery Date can be populated when it is not equal to the Settlement Date.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:element maxOccurs="unbounded" name="collateral" type="CollateralValuation">

<xsd:annotation>

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

Collateral element is used to carry the quantity and price details that are required to ensure that a SBL contract is executed at fair value, with the value of the collateral matching the cash amount of the SBL. Collateral is declared as optional here, with multiple cardinalities, since there can be a repo "Multi", with multiple instruments specified, or a "Cash Borrow/Loan" and “TriPartyRepo” with no collateral. In general cases, however it should be specified. This element can be omitted in farLeg.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:group>

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

<xsd:annotation>

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

Securities Sellers to a repo or Lenders to a SBL may transact directly with the Buyers to a repo or Borrower to SBL transaction respectively, or engage a Securities Lending Agent to arrange, manage, report, and invest cash collateral on their behalf.

</xsd:documentation>

</xsd:annotation>

<xsd:choice>

<xsd:group maxOccurs="unbounded" ref="BondEquity.model">

<xsd:annotation>

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

A list of the financial instruments that the repo or SBL transaction may reference.

</xsd:documentation>

</xsd:annotation>

</xsd:group>

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

<xsd:annotation>

<xsd:documentation xml:lang="en">The tri-party terms.</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:choice>

</xsd:group>

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

<xsd:annotation>

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

Used in Sec Lending to indicate who delivers the security / who receives.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

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

<xsd:annotation>

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

Reference to the party that delivers the security.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

<xsd:annotation>

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

Reference to the party that receives the security, bowrower .

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:group>

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

<xsd:annotation>

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

Defines the terms of an “open ended” or “callable” repo or security lending transaction; this means that the end date of the transaction is unspecified, and will be agreed by the two parties at a later date. Repo or Securities lending loan terms are typically left “open” until one of the two parties end the agreement, or made “callable” where the lender has the right to recall the security at any time before the agreed-upon loan term. Business rule: When the repo or security lending transaction is Open, the forward transaction leg must not be present.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

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

<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">

</xsd:documentation>

</xsd:annotation>

</xsd:element>

<xsd:choice minOccurs="0">

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

<xsd:annotation>

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

</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

<xsd:annotation>

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

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:choice>

</xsd:sequence>

</xsd:group>

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

<xsd:annotation>

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

A group which has either Bond Price or Yield elements.

</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

<xsd:annotation>

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

These elements express a price in terms of percentage of nominal amount.

</xsd:documentation>

</xsd:annotation>

<xsd:choice>

<xsd:annotation>

<xsd:documentation xml:lang="en">One of cleanPrice or dirtyPrice must exist.</xsd:documentation>

</xsd:annotation>

<xsd:sequence>

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

<xsd:annotation>

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

Bond clean price, expressed in percentage points, 100 is the initial value of the bond.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

<xsd:annotation>

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

Accruals, relationship is clean price and accruals equals dirty price, all prices are expressed in percentage points, 100 is the initial value of the bond.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

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

<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:choice>

<xsd:element minOccurs="0" name="relativePrice" type="RelativePrice">

<xsd:annotation>

<xsd:documentation xml:lang="en">Bond price relative to a Benchmark.</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

<xsd:annotation>

<xsd:documentation xml:lang="en">Yield to Maturity.</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

<xsd:annotation>

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

The inflation factor is specified for inflation-linked products which require some additional elements to calculate prices correctly.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

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

<xsd:annotation>

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

Bond all-in-price which is a price that includes all relevant price adjustments (i.e. accrued interest, haircut or margin ratio, inflation factor,etc.). It expresses a price in terms of percentage of nominal amount.

</xsd:documentation>

</xsd:annotation>

</xsd:element>

</xsd:sequence>

</xsd:group>