All Element Summary |
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Lower bound percentage of the loss that the Tranche can endure, expressed as a decimal.
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effectiveDate (in dates) |
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exchangeRate (in priceTerms) |
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For options, whether the option is a put or call option.
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Upper bound percentage of the loss that the Tranche can endure, expressed as a decimal.
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feature (in optionDetails) |
Special features that the option may have, such as Asian averaging, Barriers, Digital payout, etc.
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fixedRate (in priceTerms) |
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A CDS index series version identifier, e.g. 1, 2, 3 etc.
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DEPRECATED.
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A CDS index series identifier, e.g. 1, 2, 3 etc.
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notionalSchedule (in sizes) |
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optionType (in optionDetails) |
For options, what type of option it is (e.g. butterfly).
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paymentType (in otherPayment) |
A classification of the type of fee or additional payment, e.g. brokerage, upfront fee etc.
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quantityFrequency (in sizes) |
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Product data fields required by regulators in satisfaction of non-public (recordkeeping) regulatory reporting regulations.
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DEPRECATED.
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spread (in priceTerms) |
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strikePrice (in priceTerms) |
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underlyer (in underlyers) |
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Complex Type Summary |
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Simple product representation providing key information about trade economics of any type of trade for regulatory reporting purposes.
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This defines data elements not defined in CDE that describe option characteristics.
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Commodity product data fields not called out in CPMI-IOSCO CDE.
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Simple product representation providing key information about trade economics of any type of trade for regulatory reporting purposes.
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Calculation terms.
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Credit related fields.
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Date related fields.
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FX-related data elements not called out in CPMI-IOSCO CDE.
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All price term information is defined by CPMI-IOSCO CDE.
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At the moment all of the underlyer information is non-CDE, as CPMI-IOSCO CDE doesn not define underlier information.
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Element Group Summary |
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Data fields related to parties participating in the trade economics that are not specifically called out in the CPMI-IOSCO Critical Data ELements.
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Product settlement calcuation terms not defined by CPMI-IOSCO CDE.
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Fields related to product size that are not specifically called out in CPMI-IOSCO CDE.
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<?xml version="1.0" encoding="utf-8"?>
<!--
== Copyright (c) 2018-2020 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="" ecore:package="org.fpml.recordkeeping" elementFormDefault="qualified" targetNamespace="http://www.fpml.org/FpML-5/recordkeeping" version="$Revision: 13452 $" xmlns="http://www.fpml.org/FpML-5/recordkeeping" 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">
<xsd:annotation>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Regulatory Reporting Product Info - for use in regulatory reporting to define the economic data fields about a transaction for regulatory reporting purposes. This can be used in place of a full FpML product representaiton.
</xsd:documentation>
<xsd:annotation>
</xsd:complexType>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Simple product representation providing key information about trade economics of any type of trade for regulatory reporting purposes.
</xsd:documentation>
<xsd:complexContent>
<xsd:extension base="NonNegativePayment">
</xsd:complexContent>
<xsd:sequence>
</xsd:extension>
<xsd:element minOccurs="0" name="paymentType" type="PaymentType">
</xsd:sequence>
<xsd:annotation>
</xsd:element>
<xsd:documentation xml:lang="en">
</xsd:annotation>
A classification of the type of fee or additional payment, e.g. brokerage, upfront fee etc. FpML does not define domain values for this element.
</xsd:documentation>
<xsd:annotation>
</xsd:complexType>
<xsd:documentation xml:lang="en">
</xsd:annotation>
This defines data elements not defined in CDE that describe option characteristics.
</xsd:documentation>
<xsd:sequence>
<xsd:element minOccurs="0" name="optionType" type="OptionTypeEnum">
</xsd:sequence>
<xsd:annotation>
</xsd:element>
<xsd:documentation xml:lang="en">
</xsd:annotation>
For options, what type of option it is (e.g. butterfly).
</xsd:documentation>
<xsd:annotation>
</xsd:element>
<xsd:documentation xml:lang="en">
</xsd:annotation>
For options, whether the option is a put or call option.
</xsd:documentation>
<xsd:annotation>
</xsd:element>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Special features that the option may have, such as Asian averaging, Barriers, Digital payout, etc.
</xsd:documentation>
<xsd:annotation>
</xsd:complexType>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Commodity product data fields not called out in CPMI-IOSCO CDE.
</xsd:documentation>
<xsd:sequence>
</xsd:sequence>
<xsd:annotation>
</xsd:complexType>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Simple product representation providing key information about trade economics of any type of trade for regulatory reporting purposes.
</xsd:documentation>
<xsd:complexContent>
<xsd:extension base="Product">
</xsd:complexContent>
<xsd:sequence>
</xsd:extension>
<xsd:element minOccurs="0" name="parties" type="RegulatoryReportingProductParties"/>
</xsd:sequence>
<xsd:element minOccurs="0" name="otherCalculationTerms" type="RegulatoryReportingProductCalculationTerms"/>
<xsd:element minOccurs="0" name="settlementDetails" type="RegulatoryReportingProductSettlementDetails"/>
<xsd:element minOccurs="0" name="commodityDetails" type="RegulatoryReportingNonCDEProductCommodityDetails"/>
<xsd:annotation>
</xsd:annotation>
</xsd:complexType>
<xsd:sequence>
</xsd:sequence>
<xsd:annotation>
</xsd:annotation>
</xsd:complexType>
<xsd:sequence>
<xsd:element minOccurs="0" name="attachmentPoint" type="xsd:decimal">
</xsd:sequence>
<xsd:annotation>
</xsd:element>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Lower bound percentage of the loss that the Tranche can endure, expressed as a decimal. An attachment point of 5% would be represented as 0.05. The difference between Attachment and Exhaustion points is call the width of the Tranche. A schema facet to constraint the value between 0 to 1 will be introduced in FpML 4.3.
</xsd:documentation>
<xsd:annotation>
</xsd:element>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Upper bound percentage of the loss that the Tranche can endure, expressed as a decimal. An exhaustion point of 5% would be represented as 0.05. The difference between Attachment and Exhaustion points is call the width of the Tranche. A schema facet to constraint the value between 0 to 1 will be introduced in FpML 4.3.
</xsd:documentation>
<xsd:annotation>
</xsd:annotation>
</xsd:complexType>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="effectiveDate" type="xsd:date"/>
</xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="finalContractualSettlementDate" type="xsd:date"/>
<xsd:annotation>
</xsd:complexType>
<xsd:documentation xml:lang="en">
</xsd:annotation>
FX-related data elements not called out in CPMI-IOSCO CDE.
</xsd:documentation>
<xsd:sequence>
</xsd:sequence>
<xsd:annotation>
</xsd:annotation>
</xsd:complexType>
<xsd:sequence>
<xsd:group ref="RegulatoryBuyerAndSeller.model">
</xsd:sequence>
<xsd:annotation>
</xsd:group>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Buyer is defined as follows: For options on underlying assets or underlyings swaps, the option holder. For products with bought and sold options (e.g. collars), the buyer of the underlying asset, if any. Otherwise, seek regulatory guidance. For swaps with a fixed payment stream, the payer of the fixed stream (even if the swap has an embedded option). For swaps with multiple floating payment stream, the payer of the most "base" floating index, e.g. libor (vs. a basis index like Prime) or crude oil (vs. heating oil). Where this is undefined, seek regulatory guidance.
</xsd:documentation>
<xsd:annotation>
</xsd:complexType>
<xsd:documentation xml:lang="en">
</xsd:annotation>
All price term information is defined by CPMI-IOSCO CDE.
</xsd:documentation>
<xsd:sequence>
</xsd:sequence>
<xsd:annotation>
</xsd:annotation>
</xsd:complexType>
<xsd:sequence>
</xsd:sequence>
<xsd:annotation>
</xsd:annotation>
</xsd:complexType>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="notional" type="NonNegativeMoney"/>
</xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="notionalSchedule" type="NonNegativeAmountSchedule"/>
<xsd:annotation>
</xsd:complexType>
<xsd:documentation xml:lang="en">
</xsd:annotation>
At the moment all of the underlyer information is non-CDE, as CPMI-IOSCO CDE doesn not define underlier information. Instead, it relies on the UPI to convey this information.
</xsd:documentation>
<xsd:sequence>
</xsd:sequence>
<xsd:annotation>
</xsd:group>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Data fields related to parties participating in the trade economics that are not specifically called out in the CPMI-IOSCO Critical Data ELements.
</xsd:documentation>
<xsd:sequence>
</xsd:sequence>
<xsd:annotation>
</xsd:group>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Product settlement calcuation terms not defined by CPMI-IOSCO CDE.
</xsd:documentation>
<xsd:sequence>
</xsd:sequence>
<xsd:sequence>
</xsd:group>
<xsd:element fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Use instead the field within credit products: indexReferenceInformation/seniority" minOccurs="0" name="seniority" type="CreditSeniority">
</xsd:sequence>
<xsd:annotation>
</xsd:element>
<xsd:documentation xml:lang="en">
</xsd:annotation>
DEPRECATED. Use instead the field within credit products: indexReferenceInformation/seniority (RPTWG decision 2017-09)
</xsd:documentation>
<xsd:element fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Use instead the field within credit products: indexReferenceInformation/indexFactor" minOccurs="0" name="indexFactor" type="xsd:decimal">
<xsd:annotation>
</xsd:element>
<xsd:documentation xml:lang="en">
</xsd:annotation>
DEPRECATED. Use instead the field within credit products: indexReferenceInformation/indexFactor (RPTWG decision 2017-09)
</xsd:documentation>
<xsd:annotation>
</xsd:element>
<xsd:documentation xml:lang="en">A CDS index series identifier, e.g. 1, 2, 3 etc.</xsd:documentation>
</xsd:annotation>
<xsd:annotation>
</xsd:element>
<xsd:documentation xml:lang="en">
</xsd:annotation>
A CDS index series version identifier, e.g. 1, 2, 3 etc.
</xsd:documentation>
<xsd:annotation>
</xsd:group>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Fields related to product size that are not specifically called out in CPMI-IOSCO CDE.
</xsd:documentation>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="quantity" type="NonNegativeDecimal"/>
</xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="quantityFrequency" type="NonNegativeDecimal"/>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="totalNotionalQuantity" type="NonNegativeDecimal"/>
<xsd:element name="regulatoryProductInfo" substitutionGroup="product" type="RegulatoryReportingProduct">
<xsd:annotation>
</xsd:element>
<xsd:documentation xml:lang="en">
</xsd:annotation>
Product data fields required by regulators in satisfaction of non-public (recordkeeping) regulatory reporting regulations. These are identified where possible using CPMI-IOSCO Common Data Element lexicon and terminology, but include additional fields required by other regulations. This product is not intended to provide the full trade economics required for confirmation or valuation purposes. This product allows a simpler representation of OTC derivative products that have full standardized representations in FpML.
</xsd:documentation>
</xsd:schema>
|
XML schema documentation generated with DocFlex/XML 1.10b5 using DocFlex/XML XSDDoc 2.8.1 template set. All content model diagrams generated by Altova XMLSpy via DocFlex/XML XMLSpy Integration.
|