# FpML 4.2 Trial Recommendation

## 10 September 2021

## Credit Derivative Component Definitions

### Version: 4.2

### This Version:

> http://www.fpml.org/spec/fpml-4-2-13-tr-6

### Latest Version:

> http://www.fpml.org/spec/fpml-4-2-13-tr-6

### Previous Version:

> https://www.fpml.org/spec/fpml-4-2-12-rec-2/

### Errata for this Version:

> http://www.fpml.org/spec/errata/fpml-4-2-13-tr-6-errata.html

Document built: Thu 09/09/2021 16:55:52.64

Copyright (c) 1999 - 2006 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.
Financial Products Markup Language is subject to the FpML public license
A copy of this license is available at http://www.fpml.org/documents/license.html

The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.

# Contents

  Global Simple Types
  Global Complex Types
    AdditionalTerm
    AdjustedPaymentDates
    BasketReferenceInformation
    CashSettlementTerms
    CreditDefaultSwap
    CreditEventNotice
    CreditEvents
    DeliverableObligations
    EntityType
    FailureToPay
    FeeLeg
    FixedAmountCalculation
    GeneralTerms
    GracePeriodExtension
    IndexAnnexSource
    IndexId
    IndexName
    IndexReferenceInformation
    InitialPayment
    LoanParticipation
    MatrixSource
    MultipleValuationDates
    NotDomesticCurrency
    NotifyingParty
    Obligations
    PCDeliverableObligationCharac
    PeriodicPayment
    PhysicalSettlementPeriod
    PhysicalSettlementTerms
    ProtectionTerms
    ProtectionTermsReference
    PubliclyAvailableInformation
    ReferenceInformation
    ReferenceObligation
    ReferencePair
    ReferencePool
    ReferencePoolItem
    Restructuring
    RestructuringType
    ScheduledTerminationDate
    SettledEntityMatrix
    SettlementTerms
    SettlementTermsReference
    SinglePayment
    SingleValuationDate
    SpecifiedCurrency
    Tranche
    ValuationDate
  Global Elements
    creditDefaultSwap
  Groups
  Schema Listing

# Global Simple Types

The schema does not contain any global simple types.

# Global Complex Types

## AdditionalTerm

### Description:

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: additionalTermScheme (xsd:anyURI)

### Used by:

- GeneralTerms/additionalTerm

### Schema Fragment:

    <xsd:complexType name="AdditionalTerm">
      <xsd:simpleContent>
        <xsd:extension base="xsd:normalizedString">
          <xsd:attribute name="additionalTermScheme" type="xsd:anyURI"/>
        </xsd:extension>
      </xsd:simpleContent>
    </xsd:complexType>

## AdjustedPaymentDates

### Description:

### Figure:

### Contents:

adjustedPaymentDate (exactly one occurrence; of the type xsd:date)

- The adjusted payment date. This date should already be adjusted for any applicable business day convention. This component is not intended for use in trade confirmation but my be specified to allow the fee structure to also serve as a cashflow type component (all dates the the Cashflows type are adjusted payment dates).

paymentAmount (exactly one occurrence; of the type Money)

- The currency amount of the payment.

### Used by:

- PeriodicPayment/adjustedPaymentDates

### Schema Fragment:

    <xsd:complexType name="AdjustedPaymentDates">
      <xsd:sequence>
        <xsd:element name="adjustedPaymentDate" type="xsd:date">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The adjusted payment date. This date should already be
              adjusted for any applicable business day convention. This
              component is not intended for use in trade confirmation but
              my be specified to allow the fee structure to also serve as a
              cashflow type component (all dates the the Cashflows type are
              adjusted payment dates).
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="paymentAmount" type="Money">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The currency amount of the payment.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## BasketReferenceInformation

### Description:

CDS Basket Reference Information

### Figure:

### Contents:

There can be one occurance of the following structure;

referencePool (exactly one occurrence; of the type ReferencePool)

- This element contains all the reference pool items to define the reference entity and reference obligation(s) in the basket

There can be zero or one occurance of the following structure; Choice of either

tranche (exactly one occurrence; of the type Tranche)

- This element contains CDS tranche terms.

### Used by:

- GeneralTerms/basketReferenceInformation

### Schema Fragment:

    <xsd:complexType name="BasketReferenceInformation">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          CDS Basket Reference Information
        </xsd:documentation>
      </xsd:annotation>
      <xsd:sequence>
        <xsd:group ref="BasketIdentifier.model" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Reuses the group that specifies a name and an identifier for
              a given basket.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:group>
        <xsd:element name="referencePool" type="ReferencePool">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              This element contains all the reference pool items to define
              the reference entity and reference obligation(s) in the
              basket
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:choice minOccurs="0">
          <xsd:sequence>
            <xsd:element name="nthToDefault" type="xsd:positiveInteger">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  N th reference obligation to default triggers payout.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="mthToDefault" type="xsd:positiveInteger" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  M th reference obligation to default to allow
                  representation of N th to M th defaults.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:sequence>
          <xsd:element name="tranche" type="Tranche">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                This element contains CDS tranche terms.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
      </xsd:sequence>
    </xsd:complexType>

## CashSettlementTerms

### Description:

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type SettlementTerms)

valuationDate (zero or one occurrence; of the type ValuationDate)

- The number of business days after conditions to settlement have been satisfied when the calculation agent obtains a price quotation on the Reference Obligation for purposes of cash settlement. There may be one or more valuation dates. This is typically specified if the cash settlement amount is not a fixed amount. ISDA 2003 Term: Valuation Date

valuationTime (zero or one occurrence; of the type BusinessCenterTime)

- The time of day in the specified business center when the calculation agent seeks quotations for an amount of the reference obligation for purposes of cash settlement. ISDA 2003 Term: Valuation Time

quotationMethod (zero or one occurrence; of the type QuotationRateTypeEnum)

- The type of price quotations to be requested from dealers when determining the market value of the reference obligation for purposes of cash settlement. For example, Bid, Offer or Mid-market. ISDA 2003 Term: Quotation Method

quotationAmount (zero or one occurrence; of the type Money)

- In the determination of a cash settlement amount, if weighted average quotations are to be obtained, the quotation amount specifies an upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount equal to the floating rate payer calculation amount. ISDA 2003 Term: Quotation Amount

minimumQuotationAmount (zero or one occurrence; of the type Money)

- In the determination of a cash settlement amount, if weighted average quotations are to be obtained, the minimum quotation amount specifies a minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD 1,000,000 (or its equivalent in the relevant obligation currency) or the quotation amount. ISDA 2003 Term: Minimum Quotation Amount

dealer (zero or more occurrences; of the type xsd:string)

- A dealer from whom quotations are obtained by the calculation agent on the reference obligation for purposes of cash settlement. ISDA 2003 Term: Dealer

cashSettlementBusinessDays (zero or one occurrence; of the type xsd:nonNegativeInteger)

- The number of business days used in the determination of the cash settlement payment date. If a cash settlement amount is specified, the cash settlement payment date will be this number of business days following the calculation of the final price. If a cash settlement amount is not specified, the cash settlement payment date will be this number of business days after all conditions to settlement are satisfied. ISDA 2003 Term: Cash Settlement Date

cashSettlementAmount (zero or one occurrence; of the type Money)

- The amount paid by the seller to the buyer for cash settlement on the cash settlement date. If not otherwise specified, would typically be calculated as 100 (or the Reference Price) minus the price of the Reference Obligation (all expressed as a percentage) times Floating Rate Payer Calculation Amount. ISDA 2003 Term: Cash Settlement Amount

accruedInterest (zero or one occurrence; of the type xsd:boolean)

- Indicates whether accrued interest is included (true) or not (false). For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest. For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest. ISDA 2003 Term: Include/Exclude Accrued Interest

valuationMethod (zero or one occurrence; of the type ValuationMethodEnum)

- The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement. (ISDA 2003 Term: Valuation Method). For example, Market, Highest etc.

### Used by:

- CreditDefaultSwap/cashSettlementTerms

### Extension of:

- SettlementTerms

### Schema Fragment:

    <xsd:complexType name="CashSettlementTerms">
      <xsd:complexContent>
        <xsd:extension base="SettlementTerms">
          <xsd:sequence>
            <xsd:element name="valuationDate" type="ValuationDate" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The number of business days after conditions to
                  settlement have been satisfied when the calculation agent
                  obtains a price quotation on the Reference Obligation for
                  purposes of cash settlement. There may be one or more
                  valuation dates. This is typically specified if the cash
                  settlement amount is not a fixed amount. ISDA 2003 Term:
                  Valuation Date
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="valuationTime" type="BusinessCenterTime" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The time of day in the specified business center when the
                  calculation agent seeks quotations for an amount of the
                  reference obligation for purposes of cash settlement.
                  ISDA 2003 Term: Valuation Time
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="quotationMethod" type="QuotationRateTypeEnum" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The type of price quotations to be requested from dealers
                  when determining the market value of the reference
                  obligation for purposes of cash settlement. For example,
                  Bid, Offer or Mid-market. ISDA 2003 Term: Quotation
                  Method
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="quotationAmount" type="Money" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  In the determination of a cash settlement amount, if
                  weighted average quotations are to be obtained, the
                  quotation amount specifies an upper limit to the
                  outstanding principal balance of the reference obligation
                  for which the quote should be obtained. If not specified,
                  the ISDA definitions provide for a fallback amount equal
                  to the floating rate payer calculation amount. ISDA 2003
                  Term: Quotation Amount
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="minimumQuotationAmount" type="Money" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  In the determination of a cash settlement amount, if
                  weighted average quotations are to be obtained, the
                  minimum quotation amount specifies a minimum intended
                  threshold amount of outstanding principal balance of the
                  reference obligation for which the quote should be
                  obtained. If not specified, the ISDA definitions provide
                  for a fallback amount of the lower of either USD
                  1,000,000 (or its equivalent in the relevant obligation
                  currency) or the quotation amount. ISDA 2003 Term:
                  Minimum Quotation Amount
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="dealer" type="xsd:string" minOccurs="0" maxOccurs="unbounded">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  A dealer from whom quotations are obtained by the
                  calculation agent on the reference obligation for
                  purposes of cash settlement. ISDA 2003 Term: Dealer
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="cashSettlementBusinessDays" type="xsd:nonNegativeInteger" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The number of business days used in the determination of
                  the cash settlement payment date. If a cash settlement
                  amount is specified, the cash settlement payment date
                  will be this number of business days following the
                  calculation of the final price. If a cash settlement
                  amount is not specified, the cash settlement payment date
                  will be this number of business days after all conditions
                  to settlement are satisfied. ISDA 2003 Term: Cash
                  Settlement Date
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="cashSettlementAmount" type="Money" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The amount paid by the seller to the buyer for cash
                  settlement on the cash settlement date. If not otherwise
                  specified, would typically be calculated as 100 (or the
                  Reference Price) minus the price of the Reference
                  Obligation (all expressed as a percentage) times Floating
                  Rate Payer Calculation Amount. ISDA 2003 Term: Cash
                  Settlement Amount
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="accruedInterest" type="xsd:boolean" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  Indicates whether accrued interest is included (true) or
                  not (false). For cash settlement this specifies whether
                  quotations should be obtained inclusive or not of accrued
                  interest. For physical settlement this specifies whether
                  the buyer should deliver the obligation with an
                  outstanding principal balance that includes or excludes
                  accrued interest. ISDA 2003 Term: Include/Exclude Accrued
                  Interest
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="valuationMethod" type="ValuationMethodEnum" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The ISDA defined methodology for determining the final
                  price of the reference obligation for purposes of cash
                  settlement. (ISDA 2003 Term: Valuation Method). For
                  example, Market, Highest etc.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:sequence>
        </xsd:extension>
      </xsd:complexContent>
    </xsd:complexType>

## CreditDefaultSwap

### Description:

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type Product)

- The base type which all FpML products extend.

generalTerms (exactly one occurrence; of the type GeneralTerms)

- This element contains all the data that appears in the section entitled "1. General Terms" in the 2003 ISDA Credit Derivatives Confirmation.

feeLeg (exactly one occurrence; of the type FeeLeg)

- This element contains all the terms relevant to defining the fixed amounts/payments per the applicable ISDA definitions.

protectionTerms (one or more occurrences; of the type ProtectionTerms)

- This element contains all the terms relevant to defining the applicable floating rate payer calculation amount, credit events and associated conditions to settlement, and reference obligations.

There can be zero or any number of occurrences of the following structure; Choice of either

cashSettlementTerms (exactly one occurrence; of the type CashSettlementTerms)

- This element contains all the ISDA terms relevant to cash settlement for when cash settlement is applicable. ISDA 2003 Term: Cash Settlement

Or

physicalSettlementTerms (exactly one occurrence; of the type PhysicalSettlementTerms)

- This element contains all the ISDA terms relevant to physical settlement for when physical settlement is applicable. ISDA 2003 Term: Physical Settlement

### Used by:

### Extension of:

- Product

### Schema Fragment:

    <xsd:complexType name="CreditDefaultSwap">
      <xsd:complexContent>
        <xsd:extension base="Product">
          <xsd:sequence>
            <xsd:element name="generalTerms" type="GeneralTerms">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  This element contains all the data that appears in the
                  section entitled "1. General Terms" in the 2003 ISDA
                  Credit Derivatives Confirmation.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="feeLeg" type="FeeLeg">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  This element contains all the terms relevant to defining
                  the fixed amounts/payments per the applicable ISDA
                  definitions.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="protectionTerms" type="ProtectionTerms" maxOccurs="unbounded">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  This element contains all the terms relevant to defining
                  the applicable floating rate payer calculation amount,
                  credit events and associated conditions to settlement,
                  and reference obligations.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:choice minOccurs="0" maxOccurs="unbounded">
              <xsd:element name="cashSettlementTerms" type="CashSettlementTerms">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    This element contains all the ISDA terms relevant to
                    cash settlement for when cash settlement is applicable.
                    ISDA 2003 Term: Cash Settlement
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="physicalSettlementTerms" type="PhysicalSettlementTerms">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    This element contains all the ISDA terms relevant to
                    physical settlement for when physical settlement is
                    applicable. ISDA 2003 Term: Physical Settlement
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
            </xsd:choice>
          </xsd:sequence>
        </xsd:extension>
      </xsd:complexContent>
    </xsd:complexType>

## CreditEventNotice

### Description:

### Figure:

### Contents:

notifyingParty (exactly one occurrence; of the type NotifyingParty)

- Pointer style references to a party identifier defined elsewhere in the document. The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring. ISDA 2003 Term: Notifying Party

businessCenter (zero or one occurrence; of the type BusinessCenter)

- Inclusion of this business center element implies that Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions is replaced by the local time of the city indicated by the businessCenter element value.

publiclyAvailableInformation (zero or one occurrence; of the type PubliclyAvailableInformation)

- A specified condition to settlement. Publicly available information means information that reasonably confirms any of the facts relevant to determining that a credit event or potential repudiation/moratorium, as applicable, has occurred. The ISDA defined list (2003) is the market standard and is considered comprehensive, and a minimum of two differing public sources must have published the relevant information, to declare a Credit Event. ISDA 2003 Term: Notice of Publicly Available Information Applicable

### Used by:

- CreditEvents/creditEventNotice

### Schema Fragment:

    <xsd:complexType name="CreditEventNotice">
      <xsd:sequence>
        <xsd:element name="notifyingParty" type="NotifyingParty">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Pointer style references to a party identifier defined
              elsewhere in the document. The notifying party is the party
              that notifies the other party when a credit event has
              occurred by means of a credit event notice. If more than one
              party is referenced as being the notifying party then either
              party may notify the other of a credit event occurring. ISDA
              2003 Term: Notifying Party
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="businessCenter" type="BusinessCenter" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Inclusion of this business center element implies that
              Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit
              Derivatives Definitions is replaced by the local time of the
              city indicated by the businessCenter element value.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="publiclyAvailableInformation" type="PubliclyAvailableInformation" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A specified condition to settlement. Publicly available
              information means information that reasonably confirms any of
              the facts relevant to determining that a credit event or
              potential repudiation/moratorium, as applicable, has
              occurred. The ISDA defined list (2003) is the market standard
              and is considered comprehensive, and a minimum of two
              differing public sources must have published the relevant
              information, to declare a Credit Event. ISDA 2003 Term:
              Notice of Publicly Available Information Applicable
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## CreditEvents

### Description:

### Figure:

### Contents:

bankruptcy (zero or one occurrence; of the type Empty)

- A credit event. The reference entity has been dissolved or has become insolvent. It also covers events that may be a precursor to insolvency such as instigation of bankruptcy or insolvency proceedings. Sovereign trades are not subject to Bankruptcy as "technically" a Sovereign cannot become bankrupt. ISDA 2003 Term: Bankruptcy

failureToPay (zero or one occurrence; of the type FailureToPay)

- A credit event. This credit event triggers, after the expiration of any applicable grace period, if the reference entity fails to make due payments in an aggregrate amount of not less than the payment requirement on one or more obligations (e.g. a missed coupon payment). ISDA 2003 Term: Failure to Pay

obligationDefault (zero or one occurrence; of the type Empty)

- A credit event. One or more of the obligations have become capable of being declared due and payable before they would otherwise have been due and payable as a result of, or on the basis of, the occurrence of a default, event of default or other similar condition or event other than failure to pay. ISDA 2003 Term: Obligation Default

obligationAcceleration (zero or one occurrence; of the type Empty)

- A credit event. One or more of the obligations have been declared due and payable before they would otherwise have been due and payable as a result of, or on the basis of, the occurrence of a default, event of default or other similar condition or event other than failure to pay (preferred by the market over Obligation Default, because more definitive and encompasses the definition of Obligation Default - this is more favorable to the Seller). Subject to the default requirement amount. ISDA 2003 Term: Obligation Acceleration

repudiationMoratorium (zero or one occurrence; of the type Empty)

- A credit event. The reference entity, or a governmental authority, either refuses to recognise or challenges the validity of one or more obligations of the reference entity, or imposes a moratorium thereby postponing payments on one or more of the obligations of the reference entity. Subject to the default requirement amount. ISDA 2003 Term: Repudiation/Moratorium

restructuring (zero or one occurrence; of the type Restructuring)

- A credit event. A restructuring is an event that materially impacts the reference entity's obligations, such as an interest rate reduction, principal reduction, deferral of interest or principal, change in priority ranking, or change in currency or composition of payment. ISDA 2003 Term: Restructuring

defaultRequirement (zero or one occurrence; of the type Money)

- In relation to certain credit events, serves as a threshold for Obligation Acceleration, Obligation Default, Repudiation/Moratorium and Restructuring. Market standard is USD 10,000,000 (JPY 1,000,000,000 for all Japanese Yen trades). This is applied on an aggregate or total basis across all Obligations of the Reference Entity. Used to prevent technical/operational errors from triggering credit events. ISDA 2003 Term: Default Requirement

creditEventNotice (zero or one occurrence; of the type CreditEventNotice)

- A specified condition to settlement. An irrevocable written or verbal notice that describes a credit event that has occurred. The notice is sent from the notifying party (either the buyer or the seller) to the counterparty. It provides information relevant to determining that a credit event has occurred. This is typically accompanied by Publicly Available Information. ISDA 2003 Term: Credit Event Notice

### Used by:

- ProtectionTerms/creditEvents

### Schema Fragment:

    <xsd:complexType name="CreditEvents">
      <xsd:sequence>
        <xsd:element name="bankruptcy" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A credit event. The reference entity has been dissolved or
              has become insolvent. It also covers events that may be a
              precursor to insolvency such as instigation of bankruptcy or
              insolvency proceedings. Sovereign trades are not subject to
              Bankruptcy as "technically" a Sovereign cannot become
              bankrupt. ISDA 2003 Term: Bankruptcy
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="failureToPay" type="FailureToPay" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A credit event. This credit event triggers, after the
              expiration of any applicable grace period, if the reference
              entity fails to make due payments in an aggregrate amount of
              not less than the payment requirement on one or more
              obligations (e.g. a missed coupon payment). ISDA 2003 Term:
              Failure to Pay
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="obligationDefault" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A credit event. One or more of the obligations have become
              capable of being declared due and payable before they would
              otherwise have been due and payable as a result of, or on the
              basis of, the occurrence of a default, event of default or
              other similar condition or event other than failure to pay.
              ISDA 2003 Term: Obligation Default
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="obligationAcceleration" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A credit event. One or more of the obligations have been
              declared due and payable before they would otherwise have
              been due and payable as a result of, or on the basis of, the
              occurrence of a default, event of default or other similar
              condition or event other than failure to pay (preferred by
              the market over Obligation Default, because more definitive
              and encompasses the definition of Obligation Default - this
              is more favorable to the Seller). Subject to the default
              requirement amount. ISDA 2003 Term: Obligation Acceleration
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="repudiationMoratorium" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A credit event. The reference entity, or a governmental
              authority, either refuses to recognise or challenges the
              validity of one or more obligations of the reference entity,
              or imposes a moratorium thereby postponing payments on one or
              more of the obligations of the reference entity. Subject to
              the default requirement amount. ISDA 2003 Term:
              Repudiation/Moratorium
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="restructuring" type="Restructuring" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A credit event. A restructuring is an event that materially
              impacts the reference entity's obligations, such as an
              interest rate reduction, principal reduction, deferral of
              interest or principal, change in priority ranking, or change
              in currency or composition of payment. ISDA 2003 Term:
              Restructuring
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="defaultRequirement" type="Money" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              In relation to certain credit events, serves as a threshold
              for Obligation Acceleration, Obligation Default,
              Repudiation/Moratorium and Restructuring. Market standard is
              USD 10,000,000 (JPY 1,000,000,000 for all Japanese Yen
              trades). This is applied on an aggregate or total basis
              across all Obligations of the Reference Entity. Used to
              prevent technical/operational errors from triggering credit
              events. ISDA 2003 Term: Default Requirement
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="creditEventNotice" type="CreditEventNotice" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A specified condition to settlement. An irrevocable written
              or verbal notice that describes a credit event that has
              occurred. The notice is sent from the notifying party (either
              the buyer or the seller) to the counterparty. It provides
              information relevant to determining that a credit event has
              occurred. This is typically accompanied by Publicly Available
              Information. ISDA 2003 Term: Credit Event Notice
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## DeliverableObligations

### Description:

### Figure:

### Contents:

accruedInterest (zero or one occurrence; of the type xsd:boolean)

- Indicates whether accrued interest is included (true) or not (false). For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest. For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest. ISDA 2003 Term: Include/Exclude Accrued Interest

category (zero or one occurrence; of the type ObligationCategoryEnum)

- Used in both obligations and deliverable obligations to represent a class or type of securities which apply. ISDA 2003 Term: Obligation Category/Deliverable Obligation Category

notSubordinated (zero or one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. An obligation that ranks at least equal with the most senior Reference Obligation in priority of payment or, if no Reference Obligation is specified in the related Confirmation, the obligations of the Reference Entity that are senior. ISDA 2003 Term: Not Subordinated

specifiedCurrency (zero or one occurrence; of the type SpecifiedCurrency)

- An obligation and deliverable obligation characteristic. The currency or currencies in which an obligation or deliverable obligation must be payable. ISDA 2003 Term: Specified Currency

notSovereignLender (zero or one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Any obligation that is not primarily (majority) owed to a Sovereign or Supranational Organization. ISDA 2003 Term: Not Sovereign Lender

notDomesticCurrency (zero or one occurrence; of the type NotDomesticCurrency)

- An obligation and deliverable obligation characteristic. Any obligation that is payable in any currency other than the domestic currency. Domestic currency is either the currency so specified or, if no currency is specified, the currency of (a) the reference entity, if the reference entity is a sovereign, or (b) the jurisdiction in which the relevant reference entity is organised, if the reference entity is not a sovereign. ISDA 2003 Term: Not Domestic Currency

notDomesticLaw (zero or one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. If the reference entity is a Sovereign, this means any obligation that is not subject to the laws of the reference entity. If the reference entity is not a sovereign, this means any obligation that is not subject to the laws of the jurisdiction of the reference entity. ISDA 2003 Term: Not Domestic Law

listed (zero or one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Indicates whether or not the obligation is quoted, listed or ordinarily purchased and sold on an exchange. ISDA 2003 Term: Listed

notContingent (zero or one occurrence; of the type Empty)

- A deliverable obligation characteristic. In essence Not Contingent means the repayment of principal cannot be dependant on a formula/index, i.e. to prevent the risk of being delivered an instrument that may never pay any element of principal, and to ensure that the obligation is interest bearing (on a regular schedule). ISDA 2003 Term: Not Contingent

notDomesticIssuance (zero or one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Any obligation other than an obligation that was intended to be offered for sale primarily in the domestic market of the relevant Reference Entity. This specifies that the obligation must be an internationally recognized bond. ISDA 2003 Term: Not Domestic Issuance

assignableLoan (zero or one occurrence; of the type PCDeliverableObligationCharac)

- A deliverable obligation characteristic. A loan that is freely assignable to a bank or financial institution without the consent of the Reference Entity or the guarantor, if any, of the loan (or the consent of the applicable borrower if a Reference Entity is guaranteeing the loan) or any agent. ISDA 2003 Term: Assignable Loan

consentRequiredLoan (zero or one occurrence; of the type PCDeliverableObligationCharac)

- A deliverable obligation characteristic. A loan that is capable of being assigned with the consent of the Reference Entity or the guarantor, if any, of the loan or any agent. ISDA 2003 Term: Consent Required Loan

directLoanParticipation (zero or one occurrence; of the type LoanParticipation)

- A deliverable obligation characteristic. A loan with a participation agreement whereby the buyer is capable of creating, or procuring the creation of, a contractual right in favour of the seller that provides the seller with recourse to the participation seller for a specified share in any payments due under the relevant loan which are received by the participation seller. ISDA 2003 Term: Direct Loan Participation

transferable (zero or one occurrence; of the type Empty)

- A deliverable obligation characteristic. An obligation that is transferable to institutional investors without any contractual, statutory or regulatory restrictions. ISDA 2003 Term: Transferable

maximumMaturity (zero or one occurrence; of the type Interval)

- A deliverable obligation characteristic. An obligation that has a remaining maturity from the Physical Settlement Date of not greater than the period specified. ISDA 2003 Term: Maximum Maturity

acceleratedOrMatured (zero or one occurrence; of the type Empty)

- A deliverable obligation characteristic. An obligation at time of default is due to mature and due to be repaid, or as a result of downgrade/bankruptcy is due to be repaid as a result of an acceleration clause. ISDA 2003 Term: Accelerated or Matured

notBearer (zero or one occurrence; of the type Empty)

- A deliverable obligation characteristic. Any obligation that is not a bearer instrument. This applies to Bonds only and is meant to avoid tax, fraud and security/delivery provisions that can potentially be associated with Bearer Bonds. ISDA 2003 Term: Not Bearer

There can be zero or one occurance of the following structure; Choice of either

fullFaithAndCreditObLiability (exactly one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: Full Faith and Credit Obligation Liability

Or

generalFundObligationLiability (exactly one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: General Fund Obligation Liability

Or

revenueObligationLiability (exactly one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: Revenue Obligation Liability

indirectLoanParticipation (zero or one occurrence; of the type LoanParticipation)

- ISDA 1999 Term: Indirect Loan Participation. NOTE: Only applicable as a deliverable obligation under ISDA Credit 1999.

excluded (zero or one occurrence; of the type xsd:string)

- A free format string to specify any excluded obligations or deliverable obligations, as the case may be, of the reference entity or excluded types of obligations or deliverable obligations. ISDA 2003 Term: Excluded Obligations/Excluded Deliverable Obligations

othReferenceEntityObligations (zero or one occurrence; of the type xsd:string)

- This element is used to specify any other obligations of a reference entity in both obligations and deliverable obligations. The obligations can be specified free-form. ISDA 2003 Term: Other Obligations of a Reference Entity

### Used by:

- PhysicalSettlementTerms/deliverableObligations

### Schema Fragment:

    <xsd:complexType name="DeliverableObligations">
      <xsd:sequence>
        <xsd:element name="accruedInterest" type="xsd:boolean" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Indicates whether accrued interest is included (true) or not
              (false). For cash settlement this specifies whether
              quotations should be obtained inclusive or not of accrued
              interest. For physical settlement this specifies whether the
              buyer should deliver the obligation with an outstanding
              principal balance that includes or excludes accrued interest.
              ISDA 2003 Term: Include/Exclude Accrued Interest
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="category" type="ObligationCategoryEnum" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Used in both obligations and deliverable obligations to
              represent a class or type of securities which apply. ISDA
              2003 Term: Obligation Category/Deliverable Obligation
              Category
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notSubordinated" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. An
              obligation that ranks at least equal with the most senior
              Reference Obligation in priority of payment or, if no
              Reference Obligation is specified in the related
              Confirmation, the obligations of the Reference Entity that
              are senior. ISDA 2003 Term: Not Subordinated
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="specifiedCurrency" type="SpecifiedCurrency" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. The
              currency or currencies in which an obligation or deliverable
              obligation must be payable. ISDA 2003 Term: Specified
              Currency
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notSovereignLender" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. Any
              obligation that is not primarily (majority) owed to a
              Sovereign or Supranational Organization. ISDA 2003 Term: Not
              Sovereign Lender
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notDomesticCurrency" type="NotDomesticCurrency" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. Any
              obligation that is payable in any currency other than the
              domestic currency. Domestic currency is either the currency
              so specified or, if no currency is specified, the currency of
              (a) the reference entity, if the reference entity is a
              sovereign, or (b) the jurisdiction in which the relevant
              reference entity is organised, if the reference entity is not
              a sovereign. ISDA 2003 Term: Not Domestic Currency
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notDomesticLaw" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. If
              the reference entity is a Sovereign, this means any
              obligation that is not subject to the laws of the reference
              entity. If the reference entity is not a sovereign, this
              means any obligation that is not subject to the laws of the
              jurisdiction of the reference entity. ISDA 2003 Term: Not
              Domestic Law
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="listed" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic.
              Indicates whether or not the obligation is quoted, listed or
              ordinarily purchased and sold on an exchange. ISDA 2003 Term:
              Listed
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notContingent" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A deliverable obligation characteristic. In essence Not
              Contingent means the repayment of principal cannot be
              dependant on a formula/index, i.e. to prevent the risk of
              being delivered an instrument that may never pay any element
              of principal, and to ensure that the obligation is interest
              bearing (on a regular schedule). ISDA 2003 Term: Not
              Contingent
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notDomesticIssuance" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. Any
              obligation other than an obligation that was intended to be
              offered for sale primarily in the domestic market of the
              relevant Reference Entity. This specifies that the obligation
              must be an internationally recognized bond. ISDA 2003 Term:
              Not Domestic Issuance
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="assignableLoan" type="PCDeliverableObligationCharac" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A deliverable obligation characteristic. A loan that is
              freely assignable to a bank or financial institution without
              the consent of the Reference Entity or the guarantor, if any,
              of the loan (or the consent of the applicable borrower if a
              Reference Entity is guaranteeing the loan) or any agent. ISDA
              2003 Term: Assignable Loan
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="consentRequiredLoan" type="PCDeliverableObligationCharac" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A deliverable obligation characteristic. A loan that is
              capable of being assigned with the consent of the Reference
              Entity or the guarantor, if any, of the loan or any agent.
              ISDA 2003 Term: Consent Required Loan
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="directLoanParticipation" type="LoanParticipation" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A deliverable obligation characteristic. A loan with a
              participation agreement whereby the buyer is capable of
              creating, or procuring the creation of, a contractual right
              in favour of the seller that provides the seller with
              recourse to the participation seller for a specified share in
              any payments due under the relevant loan which are received
              by the participation seller. ISDA 2003 Term: Direct Loan
              Participation
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="transferable" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A deliverable obligation characteristic. An obligation that
              is transferable to institutional investors without any
              contractual, statutory or regulatory restrictions. ISDA 2003
              Term: Transferable
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="maximumMaturity" type="Interval" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A deliverable obligation characteristic. An obligation that
              has a remaining maturity from the Physical Settlement Date of
              not greater than the period specified. ISDA 2003 Term:
              Maximum Maturity
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="acceleratedOrMatured" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A deliverable obligation characteristic. An obligation at
              time of default is due to mature and due to be repaid, or as
              a result of downgrade/bankruptcy is due to be repaid as a
              result of an acceleration clause. ISDA 2003 Term: Accelerated
              or Matured
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notBearer" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A deliverable obligation characteristic. Any obligation that
              is not a bearer instrument. This applies to Bonds only and is
              meant to avoid tax, fraud and security/delivery provisions
              that can potentially be associated with Bearer Bonds. ISDA
              2003 Term: Not Bearer
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:choice minOccurs="0">
          <xsd:element name="fullFaithAndCreditObLiability" type="Empty">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Defined in the ISDA published additional provisions for
                U.S. Municipal as Reference Entity. ISDA 2003 Term: Full
                Faith and Credit Obligation Liability
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="generalFundObligationLiability" type="Empty">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Defined in the ISDA published additional provisions for
                U.S. Municipal as Reference Entity. ISDA 2003 Term: General
                Fund Obligation Liability
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="revenueObligationLiability" type="Empty">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Defined in the ISDA published additional provisions for
                U.S. Municipal as Reference Entity. ISDA 2003 Term: Revenue
                Obligation Liability
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
        <xsd:element name="indirectLoanParticipation" type="LoanParticipation" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              ISDA 1999 Term: Indirect Loan Participation. NOTE: Only
              applicable as a deliverable obligation under ISDA Credit
              1999.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="excluded" type="xsd:string" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A free format string to specify any excluded obligations or
              deliverable obligations, as the case may be, of the reference
              entity or excluded types of obligations or deliverable
              obligations. ISDA 2003 Term: Excluded Obligations/Excluded
              Deliverable Obligations
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="othReferenceEntityObligations" type="xsd:string" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              This element is used to specify any other obligations of a
              reference entity in both obligations and deliverable
              obligations. The obligations can be specified free-form. ISDA
              2003 Term: Other Obligations of a Reference Entity
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## EntityType

### Description:

Defines a coding scheme of the entity types defined in the ISDA First to Default documentation.

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: entityTypeScheme (xsd:anyURI)

### Used by:

- ReferencePair/entityType

### Schema Fragment:

    <xsd:complexType name="EntityType">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Defines a coding scheme of the entity types defined in the ISDA
          First to Default documentation.
        </xsd:documentation>
      </xsd:annotation>
      <xsd:simpleContent>
        <xsd:extension base="xsd:normalizedString">
          <xsd:attribute name="entityTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/entity-type-1-0"/>
        </xsd:extension>
      </xsd:simpleContent>
    </xsd:complexType>

## FailureToPay

### Description:

### Figure:

### Contents:

gracePeriodExtension (zero or one occurrence; of the type GracePeriodExtension)

- If this element is specified, indicates whether or not a grace period extension is applicable. ISDA 2003 Term: Grace Period Extension Applicable

paymentRequirement (zero or one occurrence; of the type Money)

- Specifies a threshold for the failure to pay credit event. Market standard is USD 1,000,000 (JPY 100,000,000 for Japanese Yen trades) or its equivalent in the relevant obligation currency. This is applied on an aggregate basis across all Obligations of the Reference Entity. Intended to prevent technical/operational errors from triggering credit events. ISDA 2003 Term: Payment Requirement

### Used by:

- CreditEvents/failureToPay

### Schema Fragment:

    <xsd:complexType name="FailureToPay">
      <xsd:sequence>
        <xsd:element name="gracePeriodExtension" type="GracePeriodExtension" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              If this element is specified, indicates whether or not a
              grace period extension is applicable. ISDA 2003 Term: Grace
              Period Extension Applicable
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="paymentRequirement" type="Money" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies a threshold for the failure to pay credit event.
              Market standard is USD 1,000,000 (JPY 100,000,000 for
              Japanese Yen trades) or its equivalent in the relevant
              obligation currency. This is applied on an aggregate basis
              across all Obligations of the Reference Entity. Intended to
              prevent technical/operational errors from triggering credit
              events. ISDA 2003 Term: Payment Requirement
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## FeeLeg

### Description:

### Figure:

### Contents:

initialPayment (zero or one occurrence; of the type InitialPayment)

- 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.

singlePayment (zero or more occurrences; of the type SinglePayment)

- 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.

periodicPayment (zero or one occurrence; of the type PeriodicPayment)

- 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:

marketFixedRate (zero or one occurrence; of the type xsd:decimal)

- 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.

### Used by:

- CreditDefaultSwap/feeLeg

### Schema Fragment:

    <xsd:complexType name="FeeLeg">
      <xsd:sequence>
        <xsd:element name="initialPayment" type="InitialPayment" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="singlePayment" type="SinglePayment" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="periodicPayment" type="PeriodicPayment" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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:
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="marketFixedRate" type="xsd:decimal" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## FixedAmountCalculation

### Description:

### Figure:

### Contents:

calculationAmount (zero or one occurrence; of the type Money)

- The notional amount used in the calculation of fixed amounts where an amount is calculated on a formula basis, i.e. fixed amount = fixed rate payer calculation amount x fixed rate x fixed rate day count fraction. ISDA 2003 Term: Fixed Rate Payer Calculation Amount.

fixedRate (exactly one occurrence; of the type xsd:decimal)

- The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.

dayCountFraction (zero or one occurrence; of the type DayCountFraction)

- The day count fraction. ISDA 2003 Term: Fixed Rate Day Count Fraction.

### Used by:

- PeriodicPayment/fixedAmountCalculation

### Schema Fragment:

    <xsd:complexType name="FixedAmountCalculation">
      <xsd:sequence>
        <xsd:element name="calculationAmount" type="Money" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The notional amount used in the calculation of fixed amounts
              where an amount is calculated on a formula basis, i.e. fixed
              amount = fixed rate payer calculation amount x fixed rate x
              fixed rate day count fraction. ISDA 2003 Term: Fixed Rate
              Payer Calculation Amount.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fixedRate" type="xsd:decimal">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The calculation period fixed rate. A per annum rate,
              expressed as a decimal. A fixed rate of 5% would be
              represented as 0.05.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The day count fraction. ISDA 2003 Term: Fixed Rate Day Count
              Fraction.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## GeneralTerms

### Description:

### Figure:

### Contents:

effectiveDate (zero or one occurrence; of the type AdjustableDate2)

- The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. ISDA 2003 Term: Effective Date.

scheduledTerminationDate (zero or one occurrence; of the type ScheduledTerminationDate)

- The scheduled date on which the credit protection will lapse. May be specified as an adjusting or non-adjusting date or alternatively as a period offset from the effective date. ISDA 2003 Term: Scheduled Termination Date

sellerPartyReference (exactly one occurrence; of the type PartyOrTradeSideReference)

- The seller of the credit protection. ISDA 2003 Term: Floating Rate Payer.

buyerPartyReference (exactly one occurrence; of the type PartyOrTradeSideReference)

- The buyer of the credit protection. ISDA 2003 Term: Fixed Rate Payer.

dateAdjustments (zero or one occurrence; of the type BusinessDayAdjustments)

- ISDA 2003 Terms: Business Day and Business Day Convention.

There can be one occurance of the following structure; Choice of either

referenceInformation (exactly one occurrence; of the type ReferenceInformation)

- This element contains all the terms relevant to defining the reference entity and reference obligation(s).

Or

indexReferenceInformation (exactly one occurrence; of the type IndexReferenceInformation)

- This element contains all the terms relevant to defining the Credit DefaultSwap Index.

Or

basketReferenceInformation (exactly one occurrence; of the type BasketReferenceInformation)

- This element contains all the terms relevant to defining the Credit Default Swap Basket.

additionalTerm (zero or more occurrences; of the type AdditionalTerm)

- This element is used for representing information contained in the Additional Terms field of the 2003 Master Credit Derivatives confirm.

substitution (zero or one occurrence; of the type Empty)

- Presence of this element indicates that substitution is applicable.

modifiedEquityDelivery (zero or one occurrence; of the type Empty)

- Presence of this element indicates that modified equity delivery is applicable.

### Used by:

- CreditDefaultSwap/generalTerms

### Schema Fragment:

    <xsd:complexType name="GeneralTerms">
      <xsd:sequence>
        <xsd:element name="effectiveDate" type="AdjustableDate2" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The first day of the term of the trade. This day may be
              subject to adjustment in accordance with a business day
              convention. ISDA 2003 Term: Effective Date.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="scheduledTerminationDate" type="ScheduledTerminationDate" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The scheduled date on which the credit protection will lapse.
              May be specified as an adjusting or non-adjusting date or
              alternatively as a period offset from the effective date.
              ISDA 2003 Term: Scheduled Termination Date
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="sellerPartyReference" type="PartyOrTradeSideReference">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The seller of the credit protection. ISDA 2003 Term: Floating
              Rate Payer.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="buyerPartyReference" type="PartyOrTradeSideReference">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The buyer of the credit protection. ISDA 2003 Term: Fixed
              Rate Payer.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="dateAdjustments" type="BusinessDayAdjustments" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              ISDA 2003 Terms: Business Day and Business Day Convention.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:choice>
          <xsd:element name="referenceInformation" type="ReferenceInformation">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                This element contains all the terms relevant to defining
                the reference entity and reference obligation(s).
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="indexReferenceInformation" type="IndexReferenceInformation">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                This element contains all the terms relevant to defining
                the Credit DefaultSwap Index.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="basketReferenceInformation" type="BasketReferenceInformation">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                This element contains all the terms relevant to defining
                the Credit Default Swap Basket.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
        <xsd:element name="additionalTerm" type="AdditionalTerm" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              This element is used for representing information contained
              in the Additional Terms field of the 2003 Master Credit
              Derivatives confirm.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="substitution" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Presence of this element indicates that substitution is
              applicable.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="modifiedEquityDelivery" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Presence of this element indicates that modified equity
              delivery is applicable.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## GracePeriodExtension

### Description:

### Figure:

### Contents:

gracePeriod (zero or one occurrence; of the type Offset)

- The number of calendar or business days after any due date that the reference entity has to fulfil its obligations before a failure to pay credit event is deemed to have occurred. ISDA 2003 Term: Grace Period

### Used by:

- FailureToPay/gracePeriodExtension

### Schema Fragment:

    <xsd:complexType name="GracePeriodExtension">
      <xsd:sequence>
        <xsd:element name="gracePeriod" type="Offset" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The number of calendar or business days after any due date
              that the reference entity has to fulfil its obligations
              before a failure to pay credit event is deemed to have
              occurred. ISDA 2003 Term: Grace Period
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## IndexAnnexSource

### Description:

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: indexAnnexSourceScheme (xsd:anyURI)

### Used by:

- IndexReferenceInformation/indexAnnexSource

### Schema Fragment:

    <xsd:complexType name="IndexAnnexSource">
      <xsd:simpleContent>
        <xsd:extension base="xsd:normalizedString">
          <xsd:attribute name="indexAnnexSourceScheme" default="http://www.fpml.org/coding-scheme/cdx-index-annex-source-1-0" type="xsd:anyURI"/>
        </xsd:extension>
      </xsd:simpleContent>
    </xsd:complexType>

## IndexId

### Description:

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: indexIdScheme (xsd:anyURI)

### Used by:

- IndexReferenceInformation/indexId
- IndexReferenceInformation/indexId

### Schema Fragment:

    <xsd:complexType name="IndexId">
      <xsd:simpleContent>
        <xsd:extension base="xsd:normalizedString">
          <xsd:attribute name="indexIdScheme" type="xsd:anyURI"/>
        </xsd:extension>
      </xsd:simpleContent>
    </xsd:complexType>

## IndexName

### Description:

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: indexNameScheme (xsd:anyURI)

### Used by:

- IndexReferenceInformation/indexName

### Schema Fragment:

    <xsd:complexType name="IndexName">
      <xsd:simpleContent>
        <xsd:extension base="xsd:normalizedString">
          <xsd:attribute name="indexNameScheme" type="xsd:anyURI"/>
        </xsd:extension>
      </xsd:simpleContent>
    </xsd:complexType>

## IndexReferenceInformation

### Description:

A type defining a Credit Default Swap Index.

### Figure:

### Contents:

There can be one occurance of the following structure;

indexSeries (zero or one occurrence; of the type xsd:integer)

- A CDS index series identifier, e.g. 1, 2, 3 etc.

indexAnnexVersion (zero or one occurrence; of the type xsd:integer)

- A CDS index series version identifier, e.g. 1, 2, 3 etc.

indexAnnexDate (zero or one occurrence; of the type xsd:date)

- A CDS index series annex date.

indexAnnexSource (zero or one occurrence; of the type IndexAnnexSource)

- A CDS index series annex source.

excludedReferenceEntity (zero or more occurrences; of the type LegalEntity)

- Excluded reference entity.

tranche (zero or one occurrence; of the type Tranche)

- This element contains CDS tranche terms.

settledEntityMatrix (zero or one occurrence; of the type SettledEntityMatrix)

- Used to specify the Relevant Settled Entity Matrix when there are settled entities at the time of the trade.

Attribute: id (xsd:ID)

### Used by:

- GeneralTerms/indexReferenceInformation

### Schema Fragment:

    <xsd:complexType name="IndexReferenceInformation">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A type defining a Credit Default Swap Index.
        </xsd:documentation>
      </xsd:annotation>
      <xsd:sequence>
        <xsd:choice>
          <xsd:sequence>
            <xsd:element name="indexName" type="IndexName">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The name of the index expressed as a free format string.
                  FpML does not define usage rules for this element.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="indexId" type="IndexId" minOccurs="0" maxOccurs="unbounded">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  A CDS index identifier (e.g. RED pair code).
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:sequence>
          <xsd:sequence>
            <xsd:element name="indexId" type="IndexId" maxOccurs="unbounded">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  A CDS index identifier (e.g. RED pair code).
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:sequence>
        </xsd:choice>
        <xsd:element name="indexSeries" type="xsd:integer" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A CDS index series identifier, e.g. 1, 2, 3 etc.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="indexAnnexVersion" type="xsd:integer" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A CDS index series version identifier, e.g. 1, 2, 3 etc.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="indexAnnexDate" type="xsd:date" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A CDS index series annex date.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="indexAnnexSource" type="IndexAnnexSource" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A CDS index series annex source.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="excludedReferenceEntity" type="LegalEntity" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Excluded reference entity.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="tranche" type="Tranche" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              This element contains CDS tranche terms.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="settledEntityMatrix" type="SettledEntityMatrix" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Used to specify the Relevant Settled Entity Matrix when there
              are settled entities at the time of the trade.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
      <xsd:attribute name="id" type="xsd:ID"/>
    </xsd:complexType>

## InitialPayment

### Description:

### Figure:

### Contents:

payerPartyReference (exactly one occurrence; of the type PartyOrAccountReference)

- A reference to the party responsible for making the payments defined by this structure.

receiverPartyReference (exactly one occurrence; of the type PartyOrAccountReference)

- A reference to the party that receives the payments corresponding to this structure.

adjustablePaymentDate (zero or one occurrence; of the type xsd:date)

- A fixed payment date that shall be subject to adjustment in accordance with the applicable business day convention if it would otherwise fall on a day that is not a business day. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component.

adjustedPaymentDate (zero or one occurrence; of the type xsd:date)

- The adjusted payment date. This date should already be adjusted for any applicable business day convention. This component is not intended for use in trade confirmation but may be specified to allow the fee structure to also serve as a cashflow type component.

paymentAmount (exactly one occurrence; of the type Money)

- A fixed payment amount.

### Used by:

- FeeLeg/initialPayment

### Schema Fragment:

    <xsd:complexType name="InitialPayment">
      <xsd:sequence>
        <xsd:group ref="PayerReceiver.model"/>
        <xsd:element name="adjustablePaymentDate" type="xsd:date" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A fixed payment date that shall be subject to adjustment in
              accordance with the applicable business day convention if it
              would otherwise fall on a day that is not a business day. The
              applicable business day convention and business day are those
              specified in the dateAdjustments element within the
              generalTerms component.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="adjustedPaymentDate" type="xsd:date" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The adjusted payment date. This date should already be
              adjusted for any applicable business day convention. This
              component is not intended for use in trade confirmation but
              may be specified to allow the fee structure to also serve as
              a cashflow type component.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="paymentAmount" type="Money">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A fixed payment amount.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## LoanParticipation

### Description:

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type PCDeliverableObligationCharac)

qualifyingParticipationSeller (zero or one occurrence; of the type xsd:string)

- If Direct Loan Participation is specified as a deliverable obligation characteristic, this specifies any requirements for the Qualifying Participation Seller. The requirements may be listed free-form. ISDA 2003 Term: Qualifying Participation Seller

### Used by:

- DeliverableObligations/directLoanParticipation
- DeliverableObligations/indirectLoanParticipation

### Extension of:

- PCDeliverableObligationCharac

### Schema Fragment:

    <xsd:complexType name="LoanParticipation">
      <xsd:complexContent>
        <xsd:extension base="PCDeliverableObligationCharac">
          <xsd:sequence>
            <xsd:element name="qualifyingParticipationSeller" type="xsd:string" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  If Direct Loan Participation is specified as a
                  deliverable obligation characteristic, this specifies any
                  requirements for the Qualifying Participation Seller. The
                  requirements may be listed free-form. ISDA 2003 Term:
                  Qualifying Participation Seller
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:sequence>
        </xsd:extension>
      </xsd:complexContent>
    </xsd:complexType>

## MatrixSource

### Description:

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: settledEntityMatrixSourceScheme (xsd:anyURI)

### Used by:

- SettledEntityMatrix/matrixSource

### Schema Fragment:

    <xsd:complexType name="MatrixSource">
      <xsd:simpleContent>
        <xsd:extension base="xsd:normalizedString">
          <xsd:attribute name="settledEntityMatrixSourceScheme" default="http://www.fpml.org/coding-scheme/settled-entity-matrix-source-1-0" type="xsd:anyURI"/>
        </xsd:extension>
      </xsd:simpleContent>
    </xsd:complexType>

## MultipleValuationDates

### Description:

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type SingleValuationDate)

businessDaysThereafter (zero or one occurrence; of the type xsd:positiveInteger)

- The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement. ISDA 2003 Term: Business Days thereafter

numberValuationDates (zero or one occurrence; of the type xsd:positiveInteger)

- Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies (a) the number of applicable valuation dates, and (b) the number of business days after satisfaction of all conditions to settlement when the first such valuation date occurs, and (c) the number of business days thereafter of each successive valuation date. ISDA 2003 Term: Multiple Valuation Dates

### Used by:

- ValuationDate/multipleValuationDates

### Extension of:

- SingleValuationDate

### Schema Fragment:

    <xsd:complexType name="MultipleValuationDates">
      <xsd:complexContent>
        <xsd:extension base="SingleValuationDate">
          <xsd:sequence>
            <xsd:element name="businessDaysThereafter" type="xsd:positiveInteger" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The number of business days between successive valuation
                  dates when multiple valuation dates are applicable for
                  cash settlement. ISDA 2003 Term: Business Days thereafter
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="numberValuationDates" type="xsd:positiveInteger" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  Where multiple valuation dates are specified as being
                  applicable for cash settlement, this element specifies
                  (a) the number of applicable valuation dates, and (b) the
                  number of business days after satisfaction of all
                  conditions to settlement when the first such valuation
                  date occurs, and (c) the number of business days
                  thereafter of each successive valuation date. ISDA 2003
                  Term: Multiple Valuation Dates
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:sequence>
        </xsd:extension>
      </xsd:complexContent>
    </xsd:complexType>

## NotDomesticCurrency

### Description:

### Figure:

### Contents:

currency (zero or one occurrence; of the type Currency)

- An explicit specification of the domestic currency.

### Used by:

- DeliverableObligations/notDomesticCurrency
- Obligations/notDomesticCurrency

### Schema Fragment:

    <xsd:complexType name="NotDomesticCurrency">
      <xsd:sequence>
        <xsd:element name="currency" type="Currency" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An explicit specification of the domestic currency.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## NotifyingParty

### Description:

### Figure:

### Contents:

buyerPartyReference (exactly one occurrence; of the type PartyReference)

sellerPartyReference (zero or one occurrence; of the type PartyReference)

### Used by:

- CreditEventNotice/notifyingParty

### Schema Fragment:

    <xsd:complexType name="NotifyingParty">
      <xsd:sequence>
        <xsd:element name="buyerPartyReference" type="PartyReference"/>
        <xsd:element name="sellerPartyReference" type="PartyReference" minOccurs="0"/>
      </xsd:sequence>
    </xsd:complexType>

## Obligations

### Description:

### Figure:

### Contents:

category (exactly one occurrence; of the type ObligationCategoryEnum)

- Used in both obligations and deliverable obligations to represent a class or type of securities which apply. ISDA 2003 Term: Obligation Category/Deliverable Obligation Category

notSubordinated (zero or one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. An obligation that ranks at least equal with the most senior Reference Obligation in priority of payment or, if no Reference Obligation is specified in the related Confirmation, the obligations of the Reference Entity that are senior. ISDA 2003 Term: Not Subordinated

specifiedCurrency (zero or one occurrence; of the type SpecifiedCurrency)

- An obligation and deliverable obligation characteristic. The currency or currencies in which an obligation or deliverable obligation must be payable. ISDA 2003 Term: Specified Currency

notSovereignLender (zero or one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Any obligation that is not primarily (majority) owed to a Sovereign or Supranational Organization. ISDA 2003 Term: Not Sovereign Lender

notDomesticCurrency (zero or one occurrence; of the type NotDomesticCurrency)

- An obligation and deliverable obligation characteristic. Any obligation that is payable in any currency other than the domestic currency. Domestic currency is either the currency so specified or, if no currency is specified, the currency of (a) the reference entity, if the reference entity is a sovereign, or (b) the jurisdiction in which the relevant reference entity is organised, if the reference entity is not a sovereign. ISDA 2003 Term: Not Domestic Currency

notDomesticLaw (zero or one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. If the reference entity is a Sovereign, this means any obligation that is not subject to the laws of the reference entity. If the reference entity is not a sovereign, this means any obligation that is not subject to the laws of the jurisdiction of the reference entity. ISDA 2003 Term: Not Domestic Law

listed (zero or one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Indicates whether or not the obligation is quoted, listed or ordinarily purchased and sold on an exchange. ISDA 2003 Term: Listed

notDomesticIssuance (zero or one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Any obligation other than an obligation that was intended to be offered for sale primarily in the domestic market of the relevant Reference Entity. This specifies that the obligation must be an internationally recognized bond. ISDA 2003 Term: Not Domestic Issuance

There can be zero or one occurance of the following structure; Choice of either

fullFaithAndCreditObLiability (exactly one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: Full Faith and Credit Obligation Liability

Or

generalFundObligationLiability (exactly one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: General Fund Obligation Liability

Or

revenueObligationLiability (exactly one occurrence; of the type Empty)

- An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: Revenue Obligation Liability

notContingent (zero or one occurrence; of the type Empty)

- NOTE: Only allowed as an obligation charcteristic under ISDA Credit 1999. In essence Not Contingent means the repayment of principal cannot be dependant on a formula/index, i.e. to prevent the risk of being delivered an instrument that may never pay any element of principal, and to ensure that the obligation is interest bearing (on a regular schedule). ISDA 2003 Term: Not Contingent

excluded (zero or one occurrence; of the type xsd:string)

- A free format string to specify any excluded obligations or deliverable obligations, as the case may be, of the reference entity or excluded types of obligations or deliverable obligations. ISDA 2003 Term: Excluded Obligations/Excluded Deliverable Obligations

othReferenceEntityObligations (zero or one occurrence; of the type xsd:string)

- This element is used to specify any other obligations of a reference entity in both obligations and deliverable obligations. The obligations can be specified free-form. ISDA 2003 Term: Other Obligations of a Reference Entity

### Used by:

- ProtectionTerms/obligations

### Schema Fragment:

    <xsd:complexType name="Obligations">
      <xsd:sequence>
        <xsd:element name="category" type="ObligationCategoryEnum">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Used in both obligations and deliverable obligations to
              represent a class or type of securities which apply. ISDA
              2003 Term: Obligation Category/Deliverable Obligation
              Category
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notSubordinated" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. An
              obligation that ranks at least equal with the most senior
              Reference Obligation in priority of payment or, if no
              Reference Obligation is specified in the related
              Confirmation, the obligations of the Reference Entity that
              are senior. ISDA 2003 Term: Not Subordinated
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="specifiedCurrency" type="SpecifiedCurrency" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. The
              currency or currencies in which an obligation or deliverable
              obligation must be payable. ISDA 2003 Term: Specified
              Currency
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notSovereignLender" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. Any
              obligation that is not primarily (majority) owed to a
              Sovereign or Supranational Organization. ISDA 2003 Term: Not
              Sovereign Lender
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notDomesticCurrency" type="NotDomesticCurrency" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. Any
              obligation that is payable in any currency other than the
              domestic currency. Domestic currency is either the currency
              so specified or, if no currency is specified, the currency of
              (a) the reference entity, if the reference entity is a
              sovereign, or (b) the jurisdiction in which the relevant
              reference entity is organised, if the reference entity is not
              a sovereign. ISDA 2003 Term: Not Domestic Currency
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notDomesticLaw" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. If
              the reference entity is a Sovereign, this means any
              obligation that is not subject to the laws of the reference
              entity. If the reference entity is not a sovereign, this
              means any obligation that is not subject to the laws of the
              jurisdiction of the reference entity. ISDA 2003 Term: Not
              Domestic Law
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="listed" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic.
              Indicates whether or not the obligation is quoted, listed or
              ordinarily purchased and sold on an exchange. ISDA 2003 Term:
              Listed
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notDomesticIssuance" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An obligation and deliverable obligation characteristic. Any
              obligation other than an obligation that was intended to be
              offered for sale primarily in the domestic market of the
              relevant Reference Entity. This specifies that the obligation
              must be an internationally recognized bond. ISDA 2003 Term:
              Not Domestic Issuance
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:choice minOccurs="0">
          <xsd:element name="fullFaithAndCreditObLiability" type="Empty">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Defined in the ISDA published additional provisions for
                U.S. Municipal as Reference Entity. ISDA 2003 Term: Full
                Faith and Credit Obligation Liability
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="generalFundObligationLiability" type="Empty">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Defined in the ISDA published additional provisions for
                U.S. Municipal as Reference Entity. ISDA 2003 Term: General
                Fund Obligation Liability
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="revenueObligationLiability" type="Empty">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Defined in the ISDA published additional provisions for
                U.S. Municipal as Reference Entity. ISDA 2003 Term: Revenue
                Obligation Liability
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
        <xsd:element name="notContingent" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              NOTE: Only allowed as an obligation charcteristic under ISDA
              Credit 1999. In essence Not Contingent means the repayment of
              principal cannot be dependant on a formula/index, i.e. to
              prevent the risk of being delivered an instrument that may
              never pay any element of principal, and to ensure that the
              obligation is interest bearing (on a regular schedule). ISDA
              2003 Term: Not Contingent
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="excluded" type="xsd:string" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A free format string to specify any excluded obligations or
              deliverable obligations, as the case may be, of the reference
              entity or excluded types of obligations or deliverable
              obligations. ISDA 2003 Term: Excluded Obligations/Excluded
              Deliverable Obligations
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="othReferenceEntityObligations" type="xsd:string" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              This element is used to specify any other obligations of a
              reference entity in both obligations and deliverable
              obligations. The obligations can be specified free-form. ISDA
              2003 Term: Other Obligations of a Reference Entity
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## PCDeliverableObligationCharac

### Description:

### Figure:

### Contents:

partialCashSettlement (zero or one occurrence; of the type Empty)

- Specifies whether either 'Partial Cash Settlement of Assignable Loans', 'Partial Cash Settlement of Consent Required Loans' or 'Partial Cash Settlement of Participations' is applicable. If this element is specified and Assignable Loan is a Deliverable Obligation Chracteristic, any Assignable Loan that is deliverable, but where a non-receipt of Consent by the Physical Settlement Date has occurred, the Loan can be cash settled rather than physically delivered. If this element is specified and Consent Required Loan is a Deliverable Obligation Characterisitc, any Consent Required Loan that is deliverable, but where a non-receipt of Consent by the Physical Settlement Date has occurred, the Loan can be cash settled rather than physically delivered. If this element is specified and Direct Loan Participation is a Deliverable Obligation Characterisitic, any Participation that is deliverable, but where this participation has not been effected (has not come into effect) by the Physical Settlement Date, the participation can be cash settled rather than physically delivered.

### Used by:

- DeliverableObligations/assignableLoan
- DeliverableObligations/consentRequiredLoan

### Derived Types:

- LoanParticipation

### Schema Fragment:

    <xsd:complexType name="PCDeliverableObligationCharac">
      <xsd:sequence>
        <xsd:element name="partialCashSettlement" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies whether either 'Partial Cash Settlement of
              Assignable Loans', 'Partial Cash Settlement of Consent
              Required Loans' or 'Partial Cash Settlement of
              Participations' is applicable. If this element is specified
              and Assignable Loan is a Deliverable Obligation
              Chracteristic, any Assignable Loan that is deliverable, but
              where a non-receipt of Consent by the Physical Settlement
              Date has occurred, the Loan can be cash settled rather than
              physically delivered. If this element is specified and
              Consent Required Loan is a Deliverable Obligation
              Characterisitc, any Consent Required Loan that is
              deliverable, but where a non-receipt of Consent by the
              Physical Settlement Date has occurred, the Loan can be cash
              settled rather than physically delivered. If this element is
              specified and Direct Loan Participation is a Deliverable
              Obligation Characterisitic, any Participation that is
              deliverable, but where this participation has not been
              effected (has not come into effect) by the Physical
              Settlement Date, the participation can be cash settled rather
              than physically delivered.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## PeriodicPayment

### Description:

### Figure:

### Contents:

paymentFrequency (zero or one occurrence; of the type Interval)

- The time interval between regular fixed rate payer payment dates.

firstPeriodStartDate (zero or one occurrence; of the type xsd:date)

- The start date of the initial calculation period if such date is not equal to the trade’s effective date. It must only be specified if it is not equal to the effective date. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component (or in a transaction supplement FpML representation defined within the referenced general terms confirmation agreement).

firstPaymentDate (zero or one occurrence; of the type xsd:date)

- The first unadjusted fixed rate payer payment date. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component (or in a transaction supplement FpML representation defined within the referenced general terms confirmation agreement). ISDA 2003 Term: Fixed Rate Payer Payment Date

lastRegularPaymentDate (zero or one occurrence; of the type xsd:date)

- The last regular unadjusted fixed rate payer payment date. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component (or in a transaction supplement FpML representation defined within the referenced general terms confirmation agreement). This element should only be included if there is a final payment stub, i.e. where the last regular unadjusted fixed rate payer payment date is not equal to the scheduled termination date. ISDA 2003 Term: Fixed Rate Payer Payment Date

rollConvention (zero or one occurrence; of the type RollConventionEnum)

- Used in conjunction with the effectiveDate, scheduledTerminationDate, firstPaymentDate, lastRegularPaymentDate and paymentFrequency to determine the regular fixed rate payer payment dates.

There can be one occurance of the following structure; Choice of either

fixedAmount (exactly one occurrence; of the type Money)

- A fixed payment amount. ISDA 2003 Term: Fixed Amount

Or

fixedAmountCalculation (exactly one occurrence; of the type FixedAmountCalculation)

- This element contains all the terms relevant to calculating a fixed amount where the fixed amount is calculated by reference to a per annum fixed rate. There is no corresponding ISDA 2003 Term. The equivalent is Sec 5.1 "Calculation of Fixed Amount" but this in itself is not a defined Term.

adjustedPaymentDates (zero or more occurrences; of the type AdjustedPaymentDates)

- An optional cashflow-like structure allowing the equivalent representation of the periodic fixed payments in terms of a series of adjusted payment dates and amounts. This is intended to support application integration within an organisation and is not intended for use in inter-firm communication or confirmations. ISDA 2003 Term: Fixed Rate Payer Payment Date

### Used by:

- FeeLeg/periodicPayment

### Schema Fragment:

    <xsd:complexType name="PeriodicPayment">
      <xsd:sequence>
        <xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The time interval between regular fixed rate payer payment
              dates.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="firstPeriodStartDate" type="xsd:date" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The start date of the initial calculation period if such date
              is not equal to the trade’s effective date. It must only be
              specified if it is not equal to the effective date. The
              applicable business day convention and business day are those
              specified in the dateAdjustments element within the
              generalTerms component (or in a transaction supplement FpML
              representation defined within the referenced general terms
              confirmation agreement).
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="firstPaymentDate" type="xsd:date" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The first unadjusted fixed rate payer payment date. The
              applicable business day convention and business day are those
              specified in the dateAdjustments element within the
              generalTerms component (or in a transaction supplement FpML
              representation defined within the referenced general terms
              confirmation agreement). ISDA 2003 Term: Fixed Rate Payer
              Payment Date
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="lastRegularPaymentDate" type="xsd:date" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The last regular unadjusted fixed rate payer payment date.
              The applicable business day convention and business day are
              those specified in the dateAdjustments element within the
              generalTerms component (or in a transaction supplement FpML
              representation defined within the referenced general terms
              confirmation agreement). This element should only be included
              if there is a final payment stub, i.e. where the last regular
              unadjusted fixed rate payer payment date is not equal to the
              scheduled termination date. ISDA 2003 Term: Fixed Rate Payer
              Payment Date
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="rollConvention" type="RollConventionEnum" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Used in conjunction with the effectiveDate,
              scheduledTerminationDate, firstPaymentDate,
              lastRegularPaymentDate and paymentFrequency to determine the
              regular fixed rate payer payment dates.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:choice>
          <xsd:element name="fixedAmount" type="Money">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A fixed payment amount. ISDA 2003 Term: Fixed Amount
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="fixedAmountCalculation" type="FixedAmountCalculation">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                This element contains all the terms relevant to calculating
                a fixed amount where the fixed amount is calculated by
                reference to a per annum fixed rate. There is no
                corresponding ISDA 2003 Term. The equivalent is Sec 5.1
                "Calculation of Fixed Amount" but this in itself is not a
                defined Term.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
        <xsd:element name="adjustedPaymentDates" type="AdjustedPaymentDates" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An optional cashflow-like structure allowing the equivalent
              representation of the periodic fixed payments in terms of a
              series of adjusted payment dates and amounts. This is
              intended to support application integration within an
              organisation and is not intended for use in inter-firm
              communication or confirmations. ISDA 2003 Term: Fixed Rate
              Payer Payment Date
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## PhysicalSettlementPeriod

### Description:

### Figure:

### Contents:

There can be one occurance of the following structure; Choice of either

businessDaysNotSpecified (exactly one occurrence; of the type Empty)

- An explicit indication that a number of business days are not specified and therefore ISDA fallback provisions should apply.

Or

businessDays (exactly one occurrence; of the type xsd:nonNegativeInteger)

- A number of business days. Its precise meaning is dependant on the context in which this element is used. ISDA 2003 Term: Business Day

Or

maximumBusinessDays (exactly one occurrence; of the type xsd:nonNegativeInteger)

- A maximum number of business days. Its precise meaning is dependant on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.

### Used by:

- PhysicalSettlementTerms/physicalSettlementPeriod

### Schema Fragment:

    <xsd:complexType name="PhysicalSettlementPeriod">
      <xsd:choice>
        <xsd:element name="businessDaysNotSpecified" type="Empty">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An explicit indication that a number of business days are not
              specified and therefore ISDA fallback provisions should
              apply.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="businessDays" type="xsd:nonNegativeInteger">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A number of business days. Its precise meaning is dependant
              on the context in which this element is used. ISDA 2003 Term:
              Business Day
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="maximumBusinessDays" type="xsd:nonNegativeInteger">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A maximum number of business days. Its precise meaning is
              dependant on the context in which this element is used.
              Intended to be used to limit a particular ISDA fallback
              provision.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
    </xsd:complexType>

## PhysicalSettlementTerms

### Description:

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type SettlementTerms)

physicalSettlementPeriod (zero or one occurrence; of the type PhysicalSettlementPeriod)

- The number of business days used in the determination of the physical settlement date. The physical settlement date is this number of business days after all applicable conditions to settlement are satisfied. If a number of business days is not specified fallback provisions apply for determining the number of business days. If Section 8.5/8.6 of the 1999/2003 ISDA Definitions are to apply the businessDaysNotSpecified element should be included. If a specified number of business days are to apply these should be specified in the businessDays element. If Section 8.5/8.6 of the 1999/2003 ISDA Definitions are to apply but capped at a maximum number of business days then the maximum number should be specified in the maximumBusinessDays element. ISDA 2003 Term: Physical Settlement Period

deliverableObligations (zero or one occurrence; of the type DeliverableObligations)

- This element contains all the ISDA terms relevant to defining the deliverable obligations.

escrow (zero or one occurrence; of the type xsd:boolean)

- If this element is specified, indicates that physical settlement must take place through the use of an escrow agent. (For Canadian counterparties this is always "Not Applicable". ISDA 2003 Term: Escrow

sixtyBusinessDaySettlementCap (zero or one occurrence; of the type xsd:boolean)

- If this element is specified, for a transaction documented under the 2003 ISDA Credit Derivatives Definitions, has the effect of incorporating the language set forth below into the confirmation. The section references are to the 2003 ISDA Credit Derivatives Definitions. Notwithstanding Section 1.7 or any provisions of Sections 9.9 or 9.10 to the contrary, but without prejudice to Section 9.3 and (where applicable) Sections 9.4, 9.5 and 9.6, if the Termination Date has not occurred on or prior to the date that is 60 Business Days following the Physical Settlement Date, such 60th Business Day shall be deemed to be the Termination Date with respect to this Transaction except in relation to any portion of the Transaction (an "Affected Portion") in respect of which: (1) a valid notice of Buy-in Price has been delivered that is effective fewer than three Business Days prior to such 60th Business Day, in which case the Termination Date for that Affected Portion shall be the third Business Day following the date on which such notice is effective; or (2) Buyer has purchased but not Delivered Deliverable Obligations validly specified by Seller pursuant to Section 9.10(b), in which case the Termination Date for that Affected Portion shall be the tenth Business Day following the date on which Seller validly specified such Deliverable Obligations to Buyer.

### Used by:

- CreditDefaultSwap/physicalSettlementTerms

### Extension of:

- SettlementTerms

### Schema Fragment:

    <xsd:complexType name="PhysicalSettlementTerms">
      <xsd:complexContent>
        <xsd:extension base="SettlementTerms">
          <xsd:sequence>
            <xsd:element name="physicalSettlementPeriod" type="PhysicalSettlementPeriod" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The number of business days used in the determination of
                  the physical settlement date. The physical settlement
                  date is this number of business days after all applicable
                  conditions to settlement are satisfied. If a number of
                  business days is not specified fallback provisions apply
                  for determining the number of business days. If Section
                  8.5/8.6 of the 1999/2003 ISDA Definitions are to apply
                  the businessDaysNotSpecified element should be included.
                  If a specified number of business days are to apply these
                  should be specified in the businessDays element. If
                  Section 8.5/8.6 of the 1999/2003 ISDA Definitions are to
                  apply but capped at a maximum number of business days
                  then the maximum number should be specified in the
                  maximumBusinessDays element. ISDA 2003 Term: Physical
                  Settlement Period
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="deliverableObligations" type="DeliverableObligations" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  This element contains all the ISDA terms relevant to
                  defining the deliverable obligations.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="escrow" type="xsd:boolean" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  If this element is specified, indicates that physical
                  settlement must take place through the use of an escrow
                  agent. (For Canadian counterparties this is always "Not
                  Applicable". ISDA 2003 Term: Escrow
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="sixtyBusinessDaySettlementCap" type="xsd:boolean" minOccurs="0">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  If this element is specified, for a transaction
                  documented under the 2003 ISDA Credit Derivatives
                  Definitions, has the effect of incorporating the language
                  set forth below into the confirmation. The section
                  references are to the 2003 ISDA Credit Derivatives
                  Definitions. Notwithstanding Section 1.7 or any
                  provisions of Sections 9.9 or 9.10 to the contrary, but
                  without prejudice to Section 9.3 and (where applicable)
                  Sections 9.4, 9.5 and 9.6, if the Termination Date has
                  not occurred on or prior to the date that is 60 Business
                  Days following the Physical Settlement Date, such 60th
                  Business Day shall be deemed to be the Termination Date
                  with respect to this Transaction except in relation to
                  any portion of the Transaction (an "Affected Portion") in
                  respect of which: (1) a valid notice of Buy-in Price has
                  been delivered that is effective fewer than three
                  Business Days prior to such 60th Business Day, in which
                  case the Termination Date for that Affected Portion shall
                  be the third Business Day following the date on which
                  such notice is effective; or (2) Buyer has purchased but
                  not Delivered Deliverable Obligations validly specified
                  by Seller pursuant to Section 9.10(b), in which case the
                  Termination Date for that Affected Portion shall be the
                  tenth Business Day following the date on which Seller
                  validly specified such Deliverable Obligations to Buyer.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:sequence>
        </xsd:extension>
      </xsd:complexContent>
    </xsd:complexType>

## ProtectionTerms

### Description:

### Figure:

### Contents:

calculationAmount (exactly one occurrence; of the type Money)

- The notional amount of protection coverage. ISDA 2003 Term: Floating Rate Payer Calculation Amount

creditEvents (zero or one occurrence; of the type CreditEvents)

- This element contains all the ISDA terms relating to credit events.

obligations (zero or one occurrence; of the type Obligations)

- The underlying obligations of the reference entity on which you are buying or selling protection. The credit events Failure to Pay, Obligation Acceleration, Obligation Default, Restructuring, Repudiation/Moratorium are defined with respect to these obligations. ISDA 2003 Term:

Attribute: id (xsd:ID) - optional

### Used by:

- CreditDefaultSwap/protectionTerms

### Schema Fragment:

    <xsd:complexType name="ProtectionTerms">
      <xsd:sequence>
        <xsd:element name="calculationAmount" type="Money">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The notional amount of protection coverage. ISDA 2003 Term:
              Floating Rate Payer Calculation Amount
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="creditEvents" type="CreditEvents" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              This element contains all the ISDA terms relating to credit
              events.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="obligations" type="Obligations" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The underlying obligations of the reference entity on which
              you are buying or selling protection. The credit events
              Failure to Pay, Obligation Acceleration, Obligation Default,
              Restructuring, Repudiation/Moratorium are defined with
              respect to these obligations. ISDA 2003 Term:
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
      <xsd:attribute name="id" type="xsd:ID" use="optional"/>
    </xsd:complexType>

## ProtectionTermsReference

### Description:

Reference to protectionTerms component.

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type Reference)

- Specifies the anchor as an href attribute. The href attribute value is a pointer style reference to the element or component elsewhere in the document where the anchor is defined.

### Used by:

- ReferencePoolItem/protectionTermsReference

### Extension of:

- Reference

### Schema Fragment:

    <xsd:complexType name="ProtectionTermsReference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Reference to protectionTerms component.
        </xsd:documentation>
      </xsd:annotation>
      <xsd:complexContent>
        <xsd:extension base="Reference"/>
      </xsd:complexContent>
    </xsd:complexType>

## PubliclyAvailableInformation

### Description:

### Figure:

### Contents:

standardPublicSources (zero or one occurrence; of the type Empty)

- If this element is specified, indicates that ISDA defined Standard Public Sources are applicable.

publicSource (zero or more occurrences; of the type xsd:string)

- A public information source, e.g. a particular newspaper or electronic news service, that may publish relevant information used in the determination of whether or not a credit event has occurred. ISDA 2003 Term: Public Source

specifiedNumber (zero or one occurrence; of the type xsd:positiveInteger)

- The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two. ISDA 2003 Term: Specified Number

### Used by:

- CreditEventNotice/publiclyAvailableInformation

### Schema Fragment:

    <xsd:complexType name="PubliclyAvailableInformation">
      <xsd:sequence>
        <xsd:element name="standardPublicSources" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              If this element is specified, indicates that ISDA defined
              Standard Public Sources are applicable.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="publicSource" type="xsd:string" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A public information source, e.g. a particular newspaper or
              electronic news service, that may publish relevant
              information used in the determination of whether or not a
              credit event has occurred. ISDA 2003 Term: Public Source
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="specifiedNumber" type="xsd:positiveInteger" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The minimum number of the specified public information
              sources that must publish information that reasonably
              confirms that a credit event has occurred. The market
              convention is two. ISDA 2003 Term: Specified Number
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## ReferenceInformation

### Description:

### Figure:

### Contents:

referenceEntity (exactly one occurrence; of the type LegalEntity)

- The corporate or sovereign entity on which you are buying or selling protection and any successor that assumes all or substantially all of its contractual and other obligations. It is vital to use the correct legal name of the entity and to be careful not to choose a subsidiary if you really want to trade protection on a parent company. Please note, Reference Entities cannot be senior or subordinated. It is the obligations of the Reference Entities that can be senior or subordinated. ISDA 2003 Term: Reference Entity

There can be one occurance of the following structure; Choice of either

referenceObligation (one or more occurrences; of the type ReferenceObligation)

- The Reference Obligation is a financial instrument that is either issued or guaranteed by the reference entity. It serves to clarify the precise reference entity protection is being offered upon, and its legal position with regard to other related firms (parents/subsidiaries). Furthermore the Reference Obligation is ALWAYS deliverable and establishes the Pari Passu ranking (as the deliverable bonds must rank equal to the reference obligation). ISDA 2003 Term: Reference Obligation

Or

noReferenceObligation (exactly one occurrence; of the type Empty)

- Used to indicate that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one.

Or

unknownReferenceObligation (exactly one occurrence; of the type Empty)

- Used to indicate that the Reference obligation associated with the Credit Default Swap is currently not known. This is not valid for Legal Confirmation purposes, but is valid for earlier stages in the trade life cycle (e.g. Broker Confirmation).

allGuarantees (zero or one occurrence; of the type xsd:boolean)

- Indicates whether an obligation of the Reference Entity, guaranteed by the Reference Entity on behalf of a non-Affiliate, is to be considered an Obligation for the purpose of the transaction. It will be considered an obligation if allGuarantees is applicable (true) and not if allGuarantees is inapplicable (false). ISDA 2003 Term: All Guarantees

referencePrice (zero or one occurrence; of the type xsd:decimal)

- Used to determine (a) for physically settled trades, the Physical Settlement Amount, which equals the Floating Rate Payer Calculation Amount times the Reference Price and (b) for cash settled trades, the Cash Settlement Amount, which equals the greater of (i) the difference between the Reference Price and the Final Price and (ii) zero. ISDA 2003 Term: Reference Price

### Used by:

- GeneralTerms/referenceInformation

### Schema Fragment:

    <xsd:complexType name="ReferenceInformation">
      <xsd:sequence>
        <xsd:element name="referenceEntity" type="LegalEntity">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The corporate or sovereign entity on which you are buying or
              selling protection and any successor that assumes all or
              substantially all of its contractual and other obligations.
              It is vital to use the correct legal name of the entity and
              to be careful not to choose a subsidiary if you really want
              to trade protection on a parent company. Please note,
              Reference Entities cannot be senior or subordinated. It is
              the obligations of the Reference Entities that can be senior
              or subordinated. ISDA 2003 Term: Reference Entity
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:choice>
          <xsd:element name="referenceObligation" type="ReferenceObligation" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The Reference Obligation is a financial instrument that is
                either issued or guaranteed by the reference entity. It
                serves to clarify the precise reference entity protection
                is being offered upon, and its legal position with regard
                to other related firms (parents/subsidiaries). Furthermore
                the Reference Obligation is ALWAYS deliverable and
                establishes the Pari Passu ranking (as the deliverable
                bonds must rank equal to the reference obligation). ISDA
                2003 Term: Reference Obligation
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="noReferenceObligation" type="Empty">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Used to indicate that there is no Reference Obligation
                associated with this Credit Default Swap and that there
                will never be one.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="unknownReferenceObligation" type="Empty">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Used to indicate that the Reference obligation associated
                with the Credit Default Swap is currently not known. This
                is not valid for Legal Confirmation purposes, but is valid
                for earlier stages in the trade life cycle (e.g. Broker
                Confirmation).
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
        <xsd:element name="allGuarantees" type="xsd:boolean" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Indicates whether an obligation of the Reference Entity,
              guaranteed by the Reference Entity on behalf of a
              non-Affiliate, is to be considered an Obligation for the
              purpose of the transaction. It will be considered an
              obligation if allGuarantees is applicable (true) and not if
              allGuarantees is inapplicable (false). ISDA 2003 Term: All
              Guarantees
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="referencePrice" type="xsd:decimal" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Used to determine (a) for physically settled trades, the
              Physical Settlement Amount, which equals the Floating Rate
              Payer Calculation Amount times the Reference Price and (b)
              for cash settled trades, the Cash Settlement Amount, which
              equals the greater of (i) the difference between the
              Reference Price and the Final Price and (ii) zero. ISDA 2003
              Term: Reference Price
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## ReferenceObligation

### Description:

### Figure:

### Contents:

There can be one occurance of the following structure; Choice of either

bond (exactly one occurrence; of the type Bond)

- Defines the underlying asset when it is a bond.

Or

convertibleBond (exactly one occurrence; of the type ConvertibleBond)

- Defines the underlying asset when it is a convertible bond.

There can be zero or one occurance of the following structure; Choice of either

primaryObligor (exactly one occurrence; of the type LegalEntity)

- The entity primarily responsible for repaying debt to a creditor as a result of borrowing or issuing bonds. ISDA 2003 Term: Primary Obligor

Or

primaryObligorReference (exactly one occurrence; of the type LegalEntityReference)

- A pointer style reference to a reference entity defined elsewhere in the document. Used when the reference entity is the primary obligor.

There can be zero or any number of occurrences of the following structure; Choice of either

guarantor (exactly one occurrence; of the type LegalEntity)

- The party that guarantees by way of a contractual arrangement to pay the debts of an obligor if the obligor is unable to make the required payments itself. ISDA 2003 Term: Guarantor

Or

guarantorReference (exactly one occurrence; of the type LegalEntityReference)

- A pointer style reference to a reference entity defined elsewhere in the document. Used when the reference entity is the guarantor.

### Used by:

- ReferenceInformation/referenceObligation
- ReferencePair/referenceObligation

### Schema Fragment:

    <xsd:complexType name="ReferenceObligation">
      <xsd:sequence>
        <xsd:choice>
          <xsd:element ref="bond"/>
          <xsd:element ref="convertibleBond"/>
        </xsd:choice>
        <xsd:choice minOccurs="0">
          <xsd:element name="primaryObligor" type="LegalEntity">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The entity primarily responsible for repaying debt to a
                creditor as a result of borrowing or issuing bonds. ISDA
                2003 Term: Primary Obligor
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="primaryObligorReference" type="LegalEntityReference">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A pointer style reference to a reference entity defined
                elsewhere in the document. Used when the reference entity
                is the primary obligor.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
        <xsd:choice minOccurs="0" maxOccurs="unbounded">
          <xsd:element name="guarantor" type="LegalEntity">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The party that guarantees by way of a contractual
                arrangement to pay the debts of an obligor if the obligor
                is unable to make the required payments itself. ISDA 2003
                Term: Guarantor
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="guarantorReference" type="LegalEntityReference">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A pointer style reference to a reference entity defined
                elsewhere in the document. Used when the reference entity
                is the guarantor.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
      </xsd:sequence>
    </xsd:complexType>

## ReferencePair

### Description:

### Figure:

### Contents:

referenceEntity (exactly one occurrence; of the type LegalEntity)

- The corporate or sovereign entity on which you are buying or selling protection and any successor that assumes all or substantially all of its contractual and other obligations. It is vital to use the correct legal name of the entity and to be careful not to choose a subsidiary if you really want to trade protection on a parent company. Please note, Reference Entities cannot be senior or subordinated. It is the obligations of the Reference Entities that can be senior or subordinated. ISDA 2003 Term: Reference Entity

There can be one occurance of the following structure; Choice of either

referenceObligation (exactly one occurrence; of the type ReferenceObligation)

- The Reference Obligation is a financial instrument that is either issued or guaranteed by the reference entity. It serves to clarify the precise reference entity protection is being offered upon, and its legal position with regard to other related firms (parents/subsidiaries). Furthermore the Reference Obligation is ALWAYS deliverable and establishes the Pari Passu ranking (as the deliverable bonds must rank equal to the reference obligation). ISDA 2003 Term: Reference Obligation

Or

noReferenceObligation (exactly one occurrence; of the type Empty)

- Used to indicate that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one.

entityType (exactly one occurrence; of the type EntityType)

- Defines the reference entity types corresponding to a list of types in the ISDA First to Default documentation.

### Used by:

- ReferencePoolItem/referencePair

### Schema Fragment:

    <xsd:complexType name="ReferencePair">
      <xsd:sequence>
        <xsd:element name="referenceEntity" type="LegalEntity">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The corporate or sovereign entity on which you are buying or
              selling protection and any successor that assumes all or
              substantially all of its contractual and other obligations.
              It is vital to use the correct legal name of the entity and
              to be careful not to choose a subsidiary if you really want
              to trade protection on a parent company. Please note,
              Reference Entities cannot be senior or subordinated. It is
              the obligations of the Reference Entities that can be senior
              or subordinated. ISDA 2003 Term: Reference Entity
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:choice>
          <xsd:element name="referenceObligation" type="ReferenceObligation">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The Reference Obligation is a financial instrument that is
                either issued or guaranteed by the reference entity. It
                serves to clarify the precise reference entity protection
                is being offered upon, and its legal position with regard
                to other related firms (parents/subsidiaries). Furthermore
                the Reference Obligation is ALWAYS deliverable and
                establishes the Pari Passu ranking (as the deliverable
                bonds must rank equal to the reference obligation). ISDA
                2003 Term: Reference Obligation
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="noReferenceObligation" type="Empty">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Used to indicate that there is no Reference Obligation
                associated with this Credit Default Swap and that there
                will never be one.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
        <xsd:element name="entityType" type="EntityType">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Defines the reference entity types corresponding to a list of
              types in the ISDA First to Default documentation.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## ReferencePool

### Description:

This type contains all the reference pool items to define the reference entity and reference obligation(s) in the basket.

### Figure:

### Contents:

referencePoolItem (one or more occurrences; of the type ReferencePoolItem)

### Used by:

- BasketReferenceInformation/referencePool

### Schema Fragment:

    <xsd:complexType name="ReferencePool">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          This type contains all the reference pool items to define the
          reference entity and reference obligation(s) in the basket.
        </xsd:documentation>
      </xsd:annotation>
      <xsd:sequence>
        <xsd:element name="referencePoolItem" type="ReferencePoolItem" maxOccurs="unbounded"/>
      </xsd:sequence>
    </xsd:complexType>

## ReferencePoolItem

### Description:

This type contains all the constituent weight and reference information.

### Figure:

### Contents:

constituentWeight (zero or one occurrence; of the type ConstituentWeight)

- Describes the weight of each of the constituents within the basket. If not provided, it is assumed to be equal weighted.

referencePair (exactly one occurrence; of the type ReferencePair)

protectionTermsReference (zero or one occurrence; of the type ProtectionTermsReference)

- Reference to the documentation terms applicable to this item.

settlementTermsReference (zero or one occurrence; of the type SettlementTermsReference)

- Reference to the settlement terms applicable to this item.

### Used by:

- ReferencePool/referencePoolItem

### Schema Fragment:

    <xsd:complexType name="ReferencePoolItem">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          This type contains all the constituent weight and reference
          information.
        </xsd:documentation>
      </xsd:annotation>
      <xsd:sequence>
        <xsd:element name="constituentWeight" type="ConstituentWeight" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Describes the weight of each of the constituents within the
              basket. If not provided, it is assumed to be equal weighted.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="referencePair" type="ReferencePair"/>
        <xsd:element name="protectionTermsReference" type="ProtectionTermsReference" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Reference to the documentation terms applicable to this item.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="settlementTermsReference" type="SettlementTermsReference" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Reference to the settlement terms applicable to this item.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## Restructuring

### Description:

### Figure:

### Contents:

restructuringType (zero or one occurrence; of the type RestructuringType)

- Specifies the type of restructuring that is applicable.

multipleHolderObligation (zero or one occurrence; of the type Empty)

- In relation to a restructuring credit event, unless multiple holder obligation is not specified restructurings are limited to multiple holder obligations. A multiple holder obligation means an obligation that is held by more than three holders that are not affiliates of each other and where at least two thirds of the holders must agree to the event that constitutes the restructuring credit event. ISDA 2003 Term: Multiple Holder Obligation

multipleCreditEventNotices (zero or one occurrence; of the type Empty)

- Presence of this element indicates that Section 3.9 of the 2003 Credit Derivatives Definitions shall apply. Absence of this element indicates that Section 3.9 shall not apply. NOTE: Not allowed under ISDA Credit 1999.

### Used by:

- CreditEvents/restructuring

### Schema Fragment:

    <xsd:complexType name="Restructuring">
      <xsd:sequence>
        <xsd:element name="restructuringType" type="RestructuringType" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the type of restructuring that is applicable.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="multipleHolderObligation" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              In relation to a restructuring credit event, unless multiple
              holder obligation is not specified restructurings are limited
              to multiple holder obligations. A multiple holder obligation
              means an obligation that is held by more than three holders
              that are not affiliates of each other and where at least two
              thirds of the holders must agree to the event that
              constitutes the restructuring credit event. ISDA 2003 Term:
              Multiple Holder Obligation
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="multipleCreditEventNotices" type="Empty" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Presence of this element indicates that Section 3.9 of the
              2003 Credit Derivatives Definitions shall apply. Absence of
              this element indicates that Section 3.9 shall not apply.
              NOTE: Not allowed under ISDA Credit 1999.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## RestructuringType

### Description:

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: restructuringScheme (xsd:anyURI)

### Used by:

- Restructuring/restructuringType

### Schema Fragment:

    <xsd:complexType name="RestructuringType">
      <xsd:simpleContent>
        <xsd:extension base="xsd:normalizedString">
          <xsd:attribute name="restructuringScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/restructuring-1-0"/>
        </xsd:extension>
      </xsd:simpleContent>
    </xsd:complexType>

## ScheduledTerminationDate

### Description:

### Figure:

### Contents:

There can be one occurance of the following structure; Choice of either

adjustableDate (exactly one occurrence; of the type AdjustableDate2)

Or

relativeDate (exactly one occurrence; of the type Interval)

### Used by:

- GeneralTerms/scheduledTerminationDate

### Schema Fragment:

    <xsd:complexType name="ScheduledTerminationDate">
      <xsd:choice>
        <xsd:element name="adjustableDate" type="AdjustableDate2"/>
        <xsd:element name="relativeDate" type="Interval"/>
      </xsd:choice>
    </xsd:complexType>

## SettledEntityMatrix

### Description:

### Figure:

### Contents:

matrixSource (exactly one occurrence; of the type MatrixSource)

- Relevant settled entity matrix source.

publicationDate (zero or one occurrence; of the type xsd:date)

- Specifies the publication date of the applicable version of the matrix. When this element is omitted, the Standard Terms Supplement defines rules for which version of the matrix is applicable.

### Used by:

- IndexReferenceInformation/settledEntityMatrix

### Schema Fragment:

    <xsd:complexType name="SettledEntityMatrix">
      <xsd:sequence>
        <xsd:element name="matrixSource" type="MatrixSource">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Relevant settled entity matrix source.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="publicationDate" type="xsd:date" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the publication date of the applicable version of
              the matrix. When this element is omitted, the Standard Terms
              Supplement defines rules for which version of the matrix is
              applicable.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## SettlementTerms

### Description:

### Figure:

### Contents:

settlementCurrency (zero or one occurrence; of the type Currency)

- ISDA 2003 Term: Settlement Currency

Attribute: id (xsd:ID) - optional

### Used by:

### Derived Types:

- CashSettlementTerms
- PhysicalSettlementTerms

### Schema Fragment:

    <xsd:complexType name="SettlementTerms">
      <xsd:sequence>
        <xsd:element name="settlementCurrency" type="Currency" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              ISDA 2003 Term: Settlement Currency
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
      <xsd:attribute name="id" type="xsd:ID" use="optional"/>
    </xsd:complexType>

## SettlementTermsReference

### Description:

Reference to a settlement terms derived construct (cashSettlementTerms or physicalSettlementTerms).

### Figure:

### Contents:

Inherited element(s): (This definition inherits the content defined by the type Reference)

- Specifies the anchor as an href attribute. The href attribute value is a pointer style reference to the element or component elsewhere in the document where the anchor is defined.

### Used by:

- ReferencePoolItem/settlementTermsReference

### Extension of:

- Reference

### Schema Fragment:

    <xsd:complexType name="SettlementTermsReference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Reference to a settlement terms derived construct
          (cashSettlementTerms or physicalSettlementTerms).
        </xsd:documentation>
      </xsd:annotation>
      <xsd:complexContent>
        <xsd:extension base="Reference"/>
      </xsd:complexContent>
    </xsd:complexType>

## SinglePayment

### Description:

### Figure:

### Contents:

adjustablePaymentDate (exactly one occurrence; of the type xsd:date)

- A fixed amount payment date that shall be subject to adjustment in accordance with the applicable business day convention if it would otherwise fall on a day that is not a business day. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component. ISDA 2003 Term: Fixed Rate Payer Payment Date

adjustedPaymentDate (zero or one occurrence; of the type xsd:date)

- The adjusted payment date. This date should already be adjusted for any applicable business day convention. This component is not intended for use in trade confirmation but may be specified to allow the fee structure to also serve as a cashflow type component.

fixedAmount (exactly one occurrence; of the type Money)

- A fixed payment amount. ISDA 2003 Term: Fixed Amount

### Used by:

- FeeLeg/singlePayment

### Schema Fragment:

    <xsd:complexType name="SinglePayment">
      <xsd:sequence>
        <xsd:element name="adjustablePaymentDate" type="xsd:date">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A fixed amount payment date that shall be subject to
              adjustment in accordance with the applicable business day
              convention if it would otherwise fall on a day that is not a
              business day. The applicable business day convention and
              business day are those specified in the dateAdjustments
              element within the generalTerms component. ISDA 2003 Term:
              Fixed Rate Payer Payment Date
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="adjustedPaymentDate" type="xsd:date" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The adjusted payment date. This date should already be
              adjusted for any applicable business day convention. This
              component is not intended for use in trade confirmation but
              may be specified to allow the fee structure to also serve as
              a cashflow type component.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fixedAmount" type="Money">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A fixed payment amount. ISDA 2003 Term: Fixed Amount
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## SingleValuationDate

### Description:

### Figure:

### Contents:

businessDays (zero or one occurrence; of the type xsd:nonNegativeInteger)

- A number of business days. Its precise meaning is dependant on the context in which this element is used. ISDA 2003 Term: Business Day

### Used by:

- ValuationDate/singleValuationDate

### Derived Types:

- MultipleValuationDates

### Schema Fragment:

    <xsd:complexType name="SingleValuationDate">
      <xsd:sequence>
        <xsd:element name="businessDays" type="xsd:nonNegativeInteger" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A number of business days. Its precise meaning is dependant
              on the context in which this element is used. ISDA 2003 Term:
              Business Day
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## SpecifiedCurrency

### Description:

### Figure:

### Contents:

currency (zero or more occurrences; of the type Currency)

- The currency in which an amount is denominated.

### Used by:

- DeliverableObligations/specifiedCurrency
- Obligations/specifiedCurrency

### Schema Fragment:

    <xsd:complexType name="SpecifiedCurrency">
      <xsd:sequence>
        <xsd:element name="currency" type="Currency" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The currency in which an amount is denominated.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## Tranche

### Description:

This type represents a CDS Tranche.

### Figure:

### Contents:

attachmentPoint (exactly one occurrence; of the type xsd:decimal)

- 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.

exhaustionPoint (exactly one occurrence; of the type xsd:decimal)

- 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.

incurredRecoveryApplicable (zero or one occurrence; of the type xsd:boolean)

- Outstanding Swap Notional Amount is defined at any time on any day, as the greater of: (a) Zero; If Incurred Recovery Amount Applicable: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts and all Incurred Recovery Amounts (if any) determined under this Confirmation at or prior to such time.Incurred Recovery Amount not populated: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts determined under this Confirmation at or prior to such time.

### Used by:

- BasketReferenceInformation/tranche
- IndexReferenceInformation/tranche

### Schema Fragment:

    <xsd:complexType name="Tranche">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          This type represents a CDS Tranche.
        </xsd:documentation>
      </xsd:annotation>
      <xsd:sequence>
        <xsd:element name="attachmentPoint" type="xsd:decimal">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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:element name="exhaustionPoint" type="xsd:decimal">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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:element>
        <xsd:element name="incurredRecoveryApplicable" type="xsd:boolean" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Outstanding Swap Notional Amount is defined at any time on
              any day, as the greater of: (a) Zero; If Incurred Recovery
              Amount Applicable: (b) The Original Swap Notional Amount
              minus the sum of all Incurred Loss Amounts and all Incurred
              Recovery Amounts (if any) determined under this Confirmation
              at or prior to such time.Incurred Recovery Amount not
              populated: (b) The Original Swap Notional Amount minus the
              sum of all Incurred Loss Amounts determined under this
              Confirmation at or prior to such time.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:complexType>

## ValuationDate

### Description:

### Figure:

### Contents:

There can be one occurance of the following structure; Choice of either

singleValuationDate (exactly one occurrence; of the type SingleValuationDate)

- Where single valuation date is specified as being applicable for cash settlement, this element specifies the number of business days after satisfaction of all conditions to settlement when such valuation date occurs. ISDA 2003 Term: Single Valuation Date

Or

multipleValuationDates (exactly one occurrence; of the type MultipleValuationDates)

- Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies (a) the number of applicable valuation dates, and (b) the number of business days after satisfaction of all conditions to settlement when the first such valuation date occurs, and (c) the number of business days thereafter of each successive valuation date. ISDA 2003 Term: Multiple Valuation Dates

### Used by:

- CashSettlementTerms/valuationDate

### Schema Fragment:

    <xsd:complexType name="ValuationDate">
      <xsd:choice>
        <xsd:element name="singleValuationDate" type="SingleValuationDate">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Where single valuation date is specified as being applicable
              for cash settlement, this element specifies the number of
              business days after satisfaction of all conditions to
              settlement when such valuation date occurs. ISDA 2003 Term:
              Single Valuation Date
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="multipleValuationDates" type="MultipleValuationDates">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Where multiple valuation dates are specified as being
              applicable for cash settlement, this element specifies (a)
              the number of applicable valuation dates, and (b) the number
              of business days after satisfaction of all conditions to
              settlement when the first such valuation date occurs, and (c)
              the number of business days thereafter of each successive
              valuation date. ISDA 2003 Term: Multiple Valuation Dates
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
    </xsd:complexType>

# Global Elements

## creditDefaultSwap

### Description:

In a credit default swap one party (the protection seller) agrees to compensate another party (the protection buyer) if a specified company or Sovereign (the reference entity) experiences a credit event, indicating it is or may be unable to service its debts. The protection seller is typically paid a fee and/or premium, expressed as an annualized percent of the notional in basis points, regularly over the life of the transaction or otherwise as agreed by the parties.

### Figure:

### Contents:

Element creditDefaultSwap is defined by the complex type CreditDefaultSwap

### Used by:

### Schema Fragment:

    <xsd:element name="creditDefaultSwap" type="CreditDefaultSwap" substitutionGroup="product">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          In a credit default swap one party (the protection seller) agrees
          to compensate another party (the protection buyer) if a specified
          company or Sovereign (the reference entity) experiences a credit
          event, indicating it is or may be unable to service its debts.
          The protection seller is typically paid a fee and/or premium,
          expressed as an annualized percent of the notional in basis
          points, regularly over the life of the transaction or otherwise
          as agreed by the parties.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>

# Groups

The schema does not contain any groups.

# Full XML Schema

    <xsd:schema targetNamespace="http://www.fpml.org/2005/FpML-4-2" elementFormDefault="qualified" attributeFormDefault="unqualified" version="$Revision: 884 $">
      <xsd:include schemaLocation="fpml-asset-4-2.xsd"/>
      <xsd:complexType name="AdditionalTerm">
        <xsd:simpleContent>
          <xsd:extension base="xsd:normalizedString">
            <xsd:attribute name="additionalTermScheme" type="xsd:anyURI"/>
          </xsd:extension>
        </xsd:simpleContent>
      </xsd:complexType>
      <xsd:complexType name="AdjustedPaymentDates">
        <xsd:sequence>
          <xsd:element name="adjustedPaymentDate" type="xsd:date">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The adjusted payment date. This date should already be
                adjusted for any applicable business day convention. This
                component is not intended for use in trade confirmation but
                my be specified to allow the fee structure to also serve as
                a cashflow type component (all dates the the Cashflows type
                are adjusted payment dates).
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="paymentAmount" type="Money">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The currency amount of the payment.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="BasketReferenceInformation">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            CDS Basket Reference Information
          </xsd:documentation>
        </xsd:annotation>
        <xsd:sequence>
          <xsd:group ref="BasketIdentifier.model" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Reuses the group that specifies a name and an identifier
                for a given basket.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:group>
          <xsd:element name="referencePool" type="ReferencePool">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                This element contains all the reference pool items to
                define the reference entity and reference obligation(s) in
                the basket
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:choice minOccurs="0">
            <xsd:sequence>
              <xsd:element name="nthToDefault" type="xsd:positiveInteger">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    N th reference obligation to default triggers payout.
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="mthToDefault" type="xsd:positiveInteger" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    M th reference obligation to default to allow
                    representation of N th to M th defaults.
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
            </xsd:sequence>
            <xsd:element name="tranche" type="Tranche">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  This element contains CDS tranche terms.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:choice>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="CashSettlementTerms">
        <xsd:complexContent>
          <xsd:extension base="SettlementTerms">
            <xsd:sequence>
              <xsd:element name="valuationDate" type="ValuationDate" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    The number of business days after conditions to
                    settlement have been satisfied when the calculation
                    agent obtains a price quotation on the Reference
                    Obligation for purposes of cash settlement. There may
                    be one or more valuation dates. This is typically
                    specified if the cash settlement amount is not a fixed
                    amount. ISDA 2003 Term: Valuation Date
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="valuationTime" type="BusinessCenterTime" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    The time of day in the specified business center when
                    the calculation agent seeks quotations for an amount of
                    the reference obligation for purposes of cash
                    settlement. ISDA 2003 Term: Valuation Time
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="quotationMethod" type="QuotationRateTypeEnum" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    The type of price quotations to be requested from
                    dealers when determining the market value of the
                    reference obligation for purposes of cash settlement.
                    For example, Bid, Offer or Mid-market. ISDA 2003 Term:
                    Quotation Method
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="quotationAmount" type="Money" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    In the determination of a cash settlement amount, if
                    weighted average quotations are to be obtained, the
                    quotation amount specifies an upper limit to the
                    outstanding principal balance of the reference
                    obligation for which the quote should be obtained. If
                    not specified, the ISDA definitions provide for a
                    fallback amount equal to the floating rate payer
                    calculation amount. ISDA 2003 Term: Quotation Amount
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="minimumQuotationAmount" type="Money" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    In the determination of a cash settlement amount, if
                    weighted average quotations are to be obtained, the
                    minimum quotation amount specifies a minimum intended
                    threshold amount of outstanding principal balance of
                    the reference obligation for which the quote should be
                    obtained. If not specified, the ISDA definitions
                    provide for a fallback amount of the lower of either
                    USD 1,000,000 (or its equivalent in the relevant
                    obligation currency) or the quotation amount. ISDA 2003
                    Term: Minimum Quotation Amount
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="dealer" type="xsd:string" minOccurs="0" maxOccurs="unbounded">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    A dealer from whom quotations are obtained by the
                    calculation agent on the reference obligation for
                    purposes of cash settlement. ISDA 2003 Term: Dealer
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="cashSettlementBusinessDays" type="xsd:nonNegativeInteger" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    The number of business days used in the determination
                    of the cash settlement payment date. If a cash
                    settlement amount is specified, the cash settlement
                    payment date will be this number of business days
                    following the calculation of the final price. If a cash
                    settlement amount is not specified, the cash settlement
                    payment date will be this number of business days after
                    all conditions to settlement are satisfied. ISDA 2003
                    Term: Cash Settlement Date
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="cashSettlementAmount" type="Money" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    The amount paid by the seller to the buyer for cash
                    settlement on the cash settlement date. If not
                    otherwise specified, would typically be calculated as
                    100 (or the Reference Price) minus the price of the
                    Reference Obligation (all expressed as a percentage)
                    times Floating Rate Payer Calculation Amount. ISDA 2003
                    Term: Cash Settlement Amount
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="accruedInterest" type="xsd:boolean" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    Indicates whether accrued interest is included (true)
                    or not (false). For cash settlement this specifies
                    whether quotations should be obtained inclusive or not
                    of accrued interest. For physical settlement this
                    specifies whether the buyer should deliver the
                    obligation with an outstanding principal balance that
                    includes or excludes accrued interest. ISDA 2003 Term:
                    Include/Exclude Accrued Interest
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="valuationMethod" type="ValuationMethodEnum" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    The ISDA defined methodology for determining the final
                    price of the reference obligation for purposes of cash
                    settlement. (ISDA 2003 Term: Valuation Method). For
                    example, Market, Highest etc.
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
            </xsd:sequence>
          </xsd:extension>
        </xsd:complexContent>
      </xsd:complexType>
      <xsd:complexType name="CreditDefaultSwap">
        <xsd:complexContent>
          <xsd:extension base="Product">
            <xsd:sequence>
              <xsd:element name="generalTerms" type="GeneralTerms">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    This element contains all the data that appears in the
                    section entitled "1. General Terms" in the 2003 ISDA
                    Credit Derivatives Confirmation.
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="feeLeg" type="FeeLeg">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    This element contains all the terms relevant to
                    defining the fixed amounts/payments per the applicable
                    ISDA definitions.
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="protectionTerms" type="ProtectionTerms" maxOccurs="unbounded">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    This element contains all the terms relevant to
                    defining the applicable floating rate payer calculation
                    amount, credit events and associated conditions to
                    settlement, and reference obligations.
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:choice minOccurs="0" maxOccurs="unbounded">
                <xsd:element name="cashSettlementTerms" type="CashSettlementTerms">
                  <xsd:annotation>
                    <xsd:documentation xml:lang="en">
                      This element contains all the ISDA terms relevant to
                      cash settlement for when cash settlement is
                      applicable. ISDA 2003 Term: Cash Settlement
                    </xsd:documentation>
                  </xsd:annotation>
                </xsd:element>
                <xsd:element name="physicalSettlementTerms" type="PhysicalSettlementTerms">
                  <xsd:annotation>
                    <xsd:documentation xml:lang="en">
                      This element contains all the ISDA terms relevant to
                      physical settlement for when physical settlement is
                      applicable. ISDA 2003 Term: Physical Settlement
                    </xsd:documentation>
                  </xsd:annotation>
                </xsd:element>
              </xsd:choice>
            </xsd:sequence>
          </xsd:extension>
        </xsd:complexContent>
      </xsd:complexType>
      <xsd:complexType name="CreditEventNotice">
        <xsd:sequence>
          <xsd:element name="notifyingParty" type="NotifyingParty">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Pointer style references to a party identifier defined
                elsewhere in the document. The notifying party is the party
                that notifies the other party when a credit event has
                occurred by means of a credit event notice. If more than
                one party is referenced as being the notifying party then
                either party may notify the other of a credit event
                occurring. ISDA 2003 Term: Notifying Party
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="businessCenter" type="BusinessCenter" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Inclusion of this business center element implies that
                Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit
                Derivatives Definitions is replaced by the local time of
                the city indicated by the businessCenter element value.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="publiclyAvailableInformation" type="PubliclyAvailableInformation" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A specified condition to settlement. Publicly available
                information means information that reasonably confirms any
                of the facts relevant to determining that a credit event or
                potential repudiation/moratorium, as applicable, has
                occurred. The ISDA defined list (2003) is the market
                standard and is considered comprehensive, and a minimum of
                two differing public sources must have published the
                relevant information, to declare a Credit Event. ISDA 2003
                Term: Notice of Publicly Available Information Applicable
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="CreditEvents">
        <xsd:sequence>
          <xsd:element name="bankruptcy" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A credit event. The reference entity has been dissolved or
                has become insolvent. It also covers events that may be a
                precursor to insolvency such as instigation of bankruptcy
                or insolvency proceedings. Sovereign trades are not subject
                to Bankruptcy as "technically" a Sovereign cannot become
                bankrupt. ISDA 2003 Term: Bankruptcy
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="failureToPay" type="FailureToPay" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A credit event. This credit event triggers, after the
                expiration of any applicable grace period, if the reference
                entity fails to make due payments in an aggregrate amount
                of not less than the payment requirement on one or more
                obligations (e.g. a missed coupon payment). ISDA 2003 Term:
                Failure to Pay
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="obligationDefault" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A credit event. One or more of the obligations have become
                capable of being declared due and payable before they would
                otherwise have been due and payable as a result of, or on
                the basis of, the occurrence of a default, event of default
                or other similar condition or event other than failure to
                pay. ISDA 2003 Term: Obligation Default
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="obligationAcceleration" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A credit event. One or more of the obligations have been
                declared due and payable before they would otherwise have
                been due and payable as a result of, or on the basis of,
                the occurrence of a default, event of default or other
                similar condition or event other than failure to pay
                (preferred by the market over Obligation Default, because
                more definitive and encompasses the definition of
                Obligation Default - this is more favorable to the Seller).
                Subject to the default requirement amount. ISDA 2003 Term:
                Obligation Acceleration
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="repudiationMoratorium" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A credit event. The reference entity, or a governmental
                authority, either refuses to recognise or challenges the
                validity of one or more obligations of the reference
                entity, or imposes a moratorium thereby postponing payments
                on one or more of the obligations of the reference entity.
                Subject to the default requirement amount. ISDA 2003 Term:
                Repudiation/Moratorium
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="restructuring" type="Restructuring" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A credit event. A restructuring is an event that materially
                impacts the reference entity's obligations, such as an
                interest rate reduction, principal reduction, deferral of
                interest or principal, change in priority ranking, or
                change in currency or composition of payment. ISDA 2003
                Term: Restructuring
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="defaultRequirement" type="Money" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                In relation to certain credit events, serves as a threshold
                for Obligation Acceleration, Obligation Default,
                Repudiation/Moratorium and Restructuring. Market standard
                is USD 10,000,000 (JPY 1,000,000,000 for all Japanese Yen
                trades). This is applied on an aggregate or total basis
                across all Obligations of the Reference Entity. Used to
                prevent technical/operational errors from triggering credit
                events. ISDA 2003 Term: Default Requirement
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="creditEventNotice" type="CreditEventNotice" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A specified condition to settlement. An irrevocable written
                or verbal notice that describes a credit event that has
                occurred. The notice is sent from the notifying party
                (either the buyer or the seller) to the counterparty. It
                provides information relevant to determining that a credit
                event has occurred. This is typically accompanied by
                Publicly Available Information. ISDA 2003 Term: Credit
                Event Notice
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="DeliverableObligations">
        <xsd:sequence>
          <xsd:element name="accruedInterest" type="xsd:boolean" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Indicates whether accrued interest is included (true) or
                not (false). For cash settlement this specifies whether
                quotations should be obtained inclusive or not of accrued
                interest. For physical settlement this specifies whether
                the buyer should deliver the obligation with an outstanding
                principal balance that includes or excludes accrued
                interest. ISDA 2003 Term: Include/Exclude Accrued Interest
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="category" type="ObligationCategoryEnum" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Used in both obligations and deliverable obligations to
                represent a class or type of securities which apply. ISDA
                2003 Term: Obligation Category/Deliverable Obligation
                Category
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notSubordinated" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic. An
                obligation that ranks at least equal with the most senior
                Reference Obligation in priority of payment or, if no
                Reference Obligation is specified in the related
                Confirmation, the obligations of the Reference Entity that
                are senior. ISDA 2003 Term: Not Subordinated
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="specifiedCurrency" type="SpecifiedCurrency" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                The currency or currencies in which an obligation or
                deliverable obligation must be payable. ISDA 2003 Term:
                Specified Currency
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notSovereignLender" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Any obligation that is not primarily (majority) owed to a
                Sovereign or Supranational Organization. ISDA 2003 Term:
                Not Sovereign Lender
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notDomesticCurrency" type="NotDomesticCurrency" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Any obligation that is payable in any currency other than
                the domestic currency. Domestic currency is either the
                currency so specified or, if no currency is specified, the
                currency of (a) the reference entity, if the reference
                entity is a sovereign, or (b) the jurisdiction in which the
                relevant reference entity is organised, if the reference
                entity is not a sovereign. ISDA 2003 Term: Not Domestic
                Currency
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notDomesticLaw" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic. If
                the reference entity is a Sovereign, this means any
                obligation that is not subject to the laws of the reference
                entity. If the reference entity is not a sovereign, this
                means any obligation that is not subject to the laws of the
                jurisdiction of the reference entity. ISDA 2003 Term: Not
                Domestic Law
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="listed" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Indicates whether or not the obligation is quoted, listed
                or ordinarily purchased and sold on an exchange. ISDA 2003
                Term: Listed
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notContingent" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A deliverable obligation characteristic. In essence Not
                Contingent means the repayment of principal cannot be
                dependant on a formula/index, i.e. to prevent the risk of
                being delivered an instrument that may never pay any
                element of principal, and to ensure that the obligation is
                interest bearing (on a regular schedule). ISDA 2003 Term:
                Not Contingent
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notDomesticIssuance" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Any obligation other than an obligation that was intended
                to be offered for sale primarily in the domestic market of
                the relevant Reference Entity. This specifies that the
                obligation must be an internationally recognized bond. ISDA
                2003 Term: Not Domestic Issuance
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="assignableLoan" type="PCDeliverableObligationCharac" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A deliverable obligation characteristic. A loan that is
                freely assignable to a bank or financial institution
                without the consent of the Reference Entity or the
                guarantor, if any, of the loan (or the consent of the
                applicable borrower if a Reference Entity is guaranteeing
                the loan) or any agent. ISDA 2003 Term: Assignable Loan
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="consentRequiredLoan" type="PCDeliverableObligationCharac" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A deliverable obligation characteristic. A loan that is
                capable of being assigned with the consent of the Reference
                Entity or the guarantor, if any, of the loan or any agent.
                ISDA 2003 Term: Consent Required Loan
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="directLoanParticipation" type="LoanParticipation" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A deliverable obligation characteristic. A loan with a
                participation agreement whereby the buyer is capable of
                creating, or procuring the creation of, a contractual right
                in favour of the seller that provides the seller with
                recourse to the participation seller for a specified share
                in any payments due under the relevant loan which are
                received by the participation seller. ISDA 2003 Term:
                Direct Loan Participation
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="transferable" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A deliverable obligation characteristic. An obligation that
                is transferable to institutional investors without any
                contractual, statutory or regulatory restrictions. ISDA
                2003 Term: Transferable
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="maximumMaturity" type="Interval" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A deliverable obligation characteristic. An obligation that
                has a remaining maturity from the Physical Settlement Date
                of not greater than the period specified. ISDA 2003 Term:
                Maximum Maturity
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="acceleratedOrMatured" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A deliverable obligation characteristic. An obligation at
                time of default is due to mature and due to be repaid, or
                as a result of downgrade/bankruptcy is due to be repaid as
                a result of an acceleration clause. ISDA 2003 Term:
                Accelerated or Matured
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notBearer" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A deliverable obligation characteristic. Any obligation
                that is not a bearer instrument. This applies to Bonds only
                and is meant to avoid tax, fraud and security/delivery
                provisions that can potentially be associated with Bearer
                Bonds. ISDA 2003 Term: Not Bearer
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:choice minOccurs="0">
            <xsd:element name="fullFaithAndCreditObLiability" type="Empty">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  An obligation and deliverable obligation characteristic.
                  Defined in the ISDA published additional provisions for
                  U.S. Municipal as Reference Entity. ISDA 2003 Term: Full
                  Faith and Credit Obligation Liability
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="generalFundObligationLiability" type="Empty">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  An obligation and deliverable obligation characteristic.
                  Defined in the ISDA published additional provisions for
                  U.S. Municipal as Reference Entity. ISDA 2003 Term:
                  General Fund Obligation Liability
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="revenueObligationLiability" type="Empty">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  An obligation and deliverable obligation characteristic.
                  Defined in the ISDA published additional provisions for
                  U.S. Municipal as Reference Entity. ISDA 2003 Term:
                  Revenue Obligation Liability
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:choice>
          <xsd:element name="indirectLoanParticipation" type="LoanParticipation" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                ISDA 1999 Term: Indirect Loan Participation. NOTE: Only
                applicable as a deliverable obligation under ISDA Credit
                1999.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="excluded" type="xsd:string" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A free format string to specify any excluded obligations or
                deliverable obligations, as the case may be, of the
                reference entity or excluded types of obligations or
                deliverable obligations. ISDA 2003 Term: Excluded
                Obligations/Excluded Deliverable Obligations
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="othReferenceEntityObligations" type="xsd:string" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                This element is used to specify any other obligations of a
                reference entity in both obligations and deliverable
                obligations. The obligations can be specified free-form.
                ISDA 2003 Term: Other Obligations of a Reference Entity
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="EntityType">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Defines a coding scheme of the entity types defined in the ISDA
            First to Default documentation.
          </xsd:documentation>
        </xsd:annotation>
        <xsd:simpleContent>
          <xsd:extension base="xsd:normalizedString">
            <xsd:attribute name="entityTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/entity-type-1-0"/>
          </xsd:extension>
        </xsd:simpleContent>
      </xsd:complexType>
      <xsd:complexType name="FailureToPay">
        <xsd:sequence>
          <xsd:element name="gracePeriodExtension" type="GracePeriodExtension" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                If this element is specified, indicates whether or not a
                grace period extension is applicable. ISDA 2003 Term: Grace
                Period Extension Applicable
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="paymentRequirement" type="Money" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies a threshold for the failure to pay credit event.
                Market standard is USD 1,000,000 (JPY 100,000,000 for
                Japanese Yen trades) or its equivalent in the relevant
                obligation currency. This is applied on an aggregate basis
                across all Obligations of the Reference Entity. Intended to
                prevent technical/operational errors from triggering credit
                events. ISDA 2003 Term: Payment Requirement
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="FeeLeg">
        <xsd:sequence>
          <xsd:element name="initialPayment" type="InitialPayment" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="singlePayment" type="SinglePayment" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="periodicPayment" type="PeriodicPayment" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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:
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="marketFixedRate" type="xsd:decimal" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="FixedAmountCalculation">
        <xsd:sequence>
          <xsd:element name="calculationAmount" type="Money" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The notional amount used in the calculation of fixed
                amounts where an amount is calculated on a formula basis,
                i.e. fixed amount = fixed rate payer calculation amount x
                fixed rate x fixed rate day count fraction. ISDA 2003 Term:
                Fixed Rate Payer Calculation Amount.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="fixedRate" type="xsd:decimal">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The calculation period fixed rate. A per annum rate,
                expressed as a decimal. A fixed rate of 5% would be
                represented as 0.05.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The day count fraction. ISDA 2003 Term: Fixed Rate Day
                Count Fraction.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="GeneralTerms">
        <xsd:sequence>
          <xsd:element name="effectiveDate" type="AdjustableDate2" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The first day of the term of the trade. This day may be
                subject to adjustment in accordance with a business day
                convention. ISDA 2003 Term: Effective Date.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="scheduledTerminationDate" type="ScheduledTerminationDate" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The scheduled date on which the credit protection will
                lapse. May be specified as an adjusting or non-adjusting
                date or alternatively as a period offset from the effective
                date. ISDA 2003 Term: Scheduled Termination Date
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="sellerPartyReference" type="PartyOrTradeSideReference">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The seller of the credit protection. ISDA 2003 Term:
                Floating Rate Payer.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="buyerPartyReference" type="PartyOrTradeSideReference">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The buyer of the credit protection. ISDA 2003 Term: Fixed
                Rate Payer.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="dateAdjustments" type="BusinessDayAdjustments" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                ISDA 2003 Terms: Business Day and Business Day Convention.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:choice>
            <xsd:element name="referenceInformation" type="ReferenceInformation">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  This element contains all the terms relevant to defining
                  the reference entity and reference obligation(s).
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="indexReferenceInformation" type="IndexReferenceInformation">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  This element contains all the terms relevant to defining
                  the Credit DefaultSwap Index.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="basketReferenceInformation" type="BasketReferenceInformation">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  This element contains all the terms relevant to defining
                  the Credit Default Swap Basket.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:choice>
          <xsd:element name="additionalTerm" type="AdditionalTerm" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                This element is used for representing information contained
                in the Additional Terms field of the 2003 Master Credit
                Derivatives confirm.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="substitution" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Presence of this element indicates that substitution is
                applicable.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="modifiedEquityDelivery" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Presence of this element indicates that modified equity
                delivery is applicable.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="GracePeriodExtension">
        <xsd:sequence>
          <xsd:element name="gracePeriod" type="Offset" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The number of calendar or business days after any due date
                that the reference entity has to fulfil its obligations
                before a failure to pay credit event is deemed to have
                occurred. ISDA 2003 Term: Grace Period
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="IndexAnnexSource">
        <xsd:simpleContent>
          <xsd:extension base="xsd:normalizedString">
            <xsd:attribute name="indexAnnexSourceScheme" default="http://www.fpml.org/coding-scheme/cdx-index-annex-source-1-0" type="xsd:anyURI"/>
          </xsd:extension>
        </xsd:simpleContent>
      </xsd:complexType>
      <xsd:complexType name="IndexId">
        <xsd:simpleContent>
          <xsd:extension base="xsd:normalizedString">
            <xsd:attribute name="indexIdScheme" type="xsd:anyURI"/>
          </xsd:extension>
        </xsd:simpleContent>
      </xsd:complexType>
      <xsd:complexType name="IndexName">
        <xsd:simpleContent>
          <xsd:extension base="xsd:normalizedString">
            <xsd:attribute name="indexNameScheme" type="xsd:anyURI"/>
          </xsd:extension>
        </xsd:simpleContent>
      </xsd:complexType>
      <xsd:complexType name="IndexReferenceInformation">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A type defining a Credit Default Swap Index.
          </xsd:documentation>
        </xsd:annotation>
        <xsd:sequence>
          <xsd:choice>
            <xsd:sequence>
              <xsd:element name="indexName" type="IndexName">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    The name of the index expressed as a free format
                    string. FpML does not define usage rules for this
                    element.
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="indexId" type="IndexId" minOccurs="0" maxOccurs="unbounded">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    A CDS index identifier (e.g. RED pair code).
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
            </xsd:sequence>
            <xsd:sequence>
              <xsd:element name="indexId" type="IndexId" maxOccurs="unbounded">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    A CDS index identifier (e.g. RED pair code).
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
            </xsd:sequence>
          </xsd:choice>
          <xsd:element name="indexSeries" type="xsd:integer" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A CDS index series identifier, e.g. 1, 2, 3 etc.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="indexAnnexVersion" type="xsd:integer" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A CDS index series version identifier, e.g. 1, 2, 3 etc.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="indexAnnexDate" type="xsd:date" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A CDS index series annex date.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="indexAnnexSource" type="IndexAnnexSource" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A CDS index series annex source.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="excludedReferenceEntity" type="LegalEntity" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Excluded reference entity.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="tranche" type="Tranche" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                This element contains CDS tranche terms.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="settledEntityMatrix" type="SettledEntityMatrix" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Used to specify the Relevant Settled Entity Matrix when
                there are settled entities at the time of the trade.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
        <xsd:attribute name="id" type="xsd:ID"/>
      </xsd:complexType>
      <xsd:complexType name="InitialPayment">
        <xsd:sequence>
          <xsd:group ref="PayerReceiver.model"/>
          <xsd:element name="adjustablePaymentDate" type="xsd:date" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A fixed payment date that shall be subject to adjustment in
                accordance with the applicable business day convention if
                it would otherwise fall on a day that is not a business
                day. The applicable business day convention and business
                day are those specified in the dateAdjustments element
                within the generalTerms component.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="adjustedPaymentDate" type="xsd:date" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The adjusted payment date. This date should already be
                adjusted for any applicable business day convention. This
                component is not intended for use in trade confirmation but
                may be specified to allow the fee structure to also serve
                as a cashflow type component.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="paymentAmount" type="Money">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A fixed payment amount.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="LoanParticipation">
        <xsd:complexContent>
          <xsd:extension base="PCDeliverableObligationCharac">
            <xsd:sequence>
              <xsd:element name="qualifyingParticipationSeller" type="xsd:string" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    If Direct Loan Participation is specified as a
                    deliverable obligation characteristic, this specifies
                    any requirements for the Qualifying Participation
                    Seller. The requirements may be listed free-form. ISDA
                    2003 Term: Qualifying Participation Seller
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
            </xsd:sequence>
          </xsd:extension>
        </xsd:complexContent>
      </xsd:complexType>
      <xsd:complexType name="MatrixSource">
        <xsd:simpleContent>
          <xsd:extension base="xsd:normalizedString">
            <xsd:attribute name="settledEntityMatrixSourceScheme" default="http://www.fpml.org/coding-scheme/settled-entity-matrix-source-1-0" type="xsd:anyURI"/>
          </xsd:extension>
        </xsd:simpleContent>
      </xsd:complexType>
      <xsd:complexType name="MultipleValuationDates">
        <xsd:complexContent>
          <xsd:extension base="SingleValuationDate">
            <xsd:sequence>
              <xsd:element name="businessDaysThereafter" type="xsd:positiveInteger" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    The number of business days between successive
                    valuation dates when multiple valuation dates are
                    applicable for cash settlement. ISDA 2003 Term:
                    Business Days thereafter
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="numberValuationDates" type="xsd:positiveInteger" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    Where multiple valuation dates are specified as being
                    applicable for cash settlement, this element specifies
                    (a) the number of applicable valuation dates, and (b)
                    the number of business days after satisfaction of all
                    conditions to settlement when the first such valuation
                    date occurs, and (c) the number of business days
                    thereafter of each successive valuation date. ISDA 2003
                    Term: Multiple Valuation Dates
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
            </xsd:sequence>
          </xsd:extension>
        </xsd:complexContent>
      </xsd:complexType>
      <xsd:complexType name="NotDomesticCurrency">
        <xsd:sequence>
          <xsd:element name="currency" type="Currency" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An explicit specification of the domestic currency.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="NotifyingParty">
        <xsd:sequence>
          <xsd:element name="buyerPartyReference" type="PartyReference"/>
          <xsd:element name="sellerPartyReference" type="PartyReference" minOccurs="0"/>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="Obligations">
        <xsd:sequence>
          <xsd:element name="category" type="ObligationCategoryEnum">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Used in both obligations and deliverable obligations to
                represent a class or type of securities which apply. ISDA
                2003 Term: Obligation Category/Deliverable Obligation
                Category
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notSubordinated" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic. An
                obligation that ranks at least equal with the most senior
                Reference Obligation in priority of payment or, if no
                Reference Obligation is specified in the related
                Confirmation, the obligations of the Reference Entity that
                are senior. ISDA 2003 Term: Not Subordinated
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="specifiedCurrency" type="SpecifiedCurrency" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                The currency or currencies in which an obligation or
                deliverable obligation must be payable. ISDA 2003 Term:
                Specified Currency
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notSovereignLender" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Any obligation that is not primarily (majority) owed to a
                Sovereign or Supranational Organization. ISDA 2003 Term:
                Not Sovereign Lender
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notDomesticCurrency" type="NotDomesticCurrency" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Any obligation that is payable in any currency other than
                the domestic currency. Domestic currency is either the
                currency so specified or, if no currency is specified, the
                currency of (a) the reference entity, if the reference
                entity is a sovereign, or (b) the jurisdiction in which the
                relevant reference entity is organised, if the reference
                entity is not a sovereign. ISDA 2003 Term: Not Domestic
                Currency
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notDomesticLaw" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic. If
                the reference entity is a Sovereign, this means any
                obligation that is not subject to the laws of the reference
                entity. If the reference entity is not a sovereign, this
                means any obligation that is not subject to the laws of the
                jurisdiction of the reference entity. ISDA 2003 Term: Not
                Domestic Law
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="listed" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Indicates whether or not the obligation is quoted, listed
                or ordinarily purchased and sold on an exchange. ISDA 2003
                Term: Listed
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notDomesticIssuance" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An obligation and deliverable obligation characteristic.
                Any obligation other than an obligation that was intended
                to be offered for sale primarily in the domestic market of
                the relevant Reference Entity. This specifies that the
                obligation must be an internationally recognized bond. ISDA
                2003 Term: Not Domestic Issuance
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:choice minOccurs="0">
            <xsd:element name="fullFaithAndCreditObLiability" type="Empty">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  An obligation and deliverable obligation characteristic.
                  Defined in the ISDA published additional provisions for
                  U.S. Municipal as Reference Entity. ISDA 2003 Term: Full
                  Faith and Credit Obligation Liability
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="generalFundObligationLiability" type="Empty">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  An obligation and deliverable obligation characteristic.
                  Defined in the ISDA published additional provisions for
                  U.S. Municipal as Reference Entity. ISDA 2003 Term:
                  General Fund Obligation Liability
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="revenueObligationLiability" type="Empty">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  An obligation and deliverable obligation characteristic.
                  Defined in the ISDA published additional provisions for
                  U.S. Municipal as Reference Entity. ISDA 2003 Term:
                  Revenue Obligation Liability
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:choice>
          <xsd:element name="notContingent" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                NOTE: Only allowed as an obligation charcteristic under
                ISDA Credit 1999. In essence Not Contingent means the
                repayment of principal cannot be dependant on a
                formula/index, i.e. to prevent the risk of being delivered
                an instrument that may never pay any element of principal,
                and to ensure that the obligation is interest bearing (on a
                regular schedule). ISDA 2003 Term: Not Contingent
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="excluded" type="xsd:string" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A free format string to specify any excluded obligations or
                deliverable obligations, as the case may be, of the
                reference entity or excluded types of obligations or
                deliverable obligations. ISDA 2003 Term: Excluded
                Obligations/Excluded Deliverable Obligations
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="othReferenceEntityObligations" type="xsd:string" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                This element is used to specify any other obligations of a
                reference entity in both obligations and deliverable
                obligations. The obligations can be specified free-form.
                ISDA 2003 Term: Other Obligations of a Reference Entity
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="PCDeliverableObligationCharac">
        <xsd:sequence>
          <xsd:element name="partialCashSettlement" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies whether either 'Partial Cash Settlement of
                Assignable Loans', 'Partial Cash Settlement of Consent
                Required Loans' or 'Partial Cash Settlement of
                Participations' is applicable. If this element is specified
                and Assignable Loan is a Deliverable Obligation
                Chracteristic, any Assignable Loan that is deliverable, but
                where a non-receipt of Consent by the Physical Settlement
                Date has occurred, the Loan can be cash settled rather than
                physically delivered. If this element is specified and
                Consent Required Loan is a Deliverable Obligation
                Characterisitc, any Consent Required Loan that is
                deliverable, but where a non-receipt of Consent by the
                Physical Settlement Date has occurred, the Loan can be cash
                settled rather than physically delivered. If this element
                is specified and Direct Loan Participation is a Deliverable
                Obligation Characterisitic, any Participation that is
                deliverable, but where this participation has not been
                effected (has not come into effect) by the Physical
                Settlement Date, the participation can be cash settled
                rather than physically delivered.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="PeriodicPayment">
        <xsd:sequence>
          <xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The time interval between regular fixed rate payer payment
                dates.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="firstPeriodStartDate" type="xsd:date" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The start date of the initial calculation period if such
                date is not equal to the trade’s effective date. It must
                only be specified if it is not equal to the effective date.
                The applicable business day convention and business day are
                those specified in the dateAdjustments element within the
                generalTerms component (or in a transaction supplement FpML
                representation defined within the referenced general terms
                confirmation agreement).
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="firstPaymentDate" type="xsd:date" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The first unadjusted fixed rate payer payment date. The
                applicable business day convention and business day are
                those specified in the dateAdjustments element within the
                generalTerms component (or in a transaction supplement FpML
                representation defined within the referenced general terms
                confirmation agreement). ISDA 2003 Term: Fixed Rate Payer
                Payment Date
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="lastRegularPaymentDate" type="xsd:date" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The last regular unadjusted fixed rate payer payment date.
                The applicable business day convention and business day are
                those specified in the dateAdjustments element within the
                generalTerms component (or in a transaction supplement FpML
                representation defined within the referenced general terms
                confirmation agreement). This element should only be
                included if there is a final payment stub, i.e. where the
                last regular unadjusted fixed rate payer payment date is
                not equal to the scheduled termination date. ISDA 2003
                Term: Fixed Rate Payer Payment Date
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="rollConvention" type="RollConventionEnum" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Used in conjunction with the effectiveDate,
                scheduledTerminationDate, firstPaymentDate,
                lastRegularPaymentDate and paymentFrequency to determine
                the regular fixed rate payer payment dates.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:choice>
            <xsd:element name="fixedAmount" type="Money">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  A fixed payment amount. ISDA 2003 Term: Fixed Amount
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="fixedAmountCalculation" type="FixedAmountCalculation">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  This element contains all the terms relevant to
                  calculating a fixed amount where the fixed amount is
                  calculated by reference to a per annum fixed rate. There
                  is no corresponding ISDA 2003 Term. The equivalent is Sec
                  5.1 "Calculation of Fixed Amount" but this in itself is
                  not a defined Term.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:choice>
          <xsd:element name="adjustedPaymentDates" type="AdjustedPaymentDates" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An optional cashflow-like structure allowing the equivalent
                representation of the periodic fixed payments in terms of a
                series of adjusted payment dates and amounts. This is
                intended to support application integration within an
                organisation and is not intended for use in inter-firm
                communication or confirmations. ISDA 2003 Term: Fixed Rate
                Payer Payment Date
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="PhysicalSettlementPeriod">
        <xsd:choice>
          <xsd:element name="businessDaysNotSpecified" type="Empty">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An explicit indication that a number of business days are
                not specified and therefore ISDA fallback provisions should
                apply.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="businessDays" type="xsd:nonNegativeInteger">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A number of business days. Its precise meaning is dependant
                on the context in which this element is used. ISDA 2003
                Term: Business Day
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="maximumBusinessDays" type="xsd:nonNegativeInteger">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A maximum number of business days. Its precise meaning is
                dependant on the context in which this element is used.
                Intended to be used to limit a particular ISDA fallback
                provision.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
      </xsd:complexType>
      <xsd:complexType name="PhysicalSettlementTerms">
        <xsd:complexContent>
          <xsd:extension base="SettlementTerms">
            <xsd:sequence>
              <xsd:element name="physicalSettlementPeriod" type="PhysicalSettlementPeriod" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    The number of business days used in the determination
                    of the physical settlement date. The physical
                    settlement date is this number of business days after
                    all applicable conditions to settlement are satisfied.
                    If a number of business days is not specified fallback
                    provisions apply for determining the number of business
                    days. If Section 8.5/8.6 of the 1999/2003 ISDA
                    Definitions are to apply the businessDaysNotSpecified
                    element should be included. If a specified number of
                    business days are to apply these should be specified in
                    the businessDays element. If Section 8.5/8.6 of the
                    1999/2003 ISDA Definitions are to apply but capped at a
                    maximum number of business days then the maximum number
                    should be specified in the maximumBusinessDays element.
                    ISDA 2003 Term: Physical Settlement Period
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="deliverableObligations" type="DeliverableObligations" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    This element contains all the ISDA terms relevant to
                    defining the deliverable obligations.
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="escrow" type="xsd:boolean" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    If this element is specified, indicates that physical
                    settlement must take place through the use of an escrow
                    agent. (For Canadian counterparties this is always "Not
                    Applicable". ISDA 2003 Term: Escrow
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
              <xsd:element name="sixtyBusinessDaySettlementCap" type="xsd:boolean" minOccurs="0">
                <xsd:annotation>
                  <xsd:documentation xml:lang="en">
                    If this element is specified, for a transaction
                    documented under the 2003 ISDA Credit Derivatives
                    Definitions, has the effect of incorporating the
                    language set forth below into the confirmation. The
                    section references are to the 2003 ISDA Credit
                    Derivatives Definitions. Notwithstanding Section 1.7 or
                    any provisions of Sections 9.9 or 9.10 to the contrary,
                    but without prejudice to Section 9.3 and (where
                    applicable) Sections 9.4, 9.5 and 9.6, if the
                    Termination Date has not occurred on or prior to the
                    date that is 60 Business Days following the Physical
                    Settlement Date, such 60th Business Day shall be deemed
                    to be the Termination Date with respect to this
                    Transaction except in relation to any portion of the
                    Transaction (an "Affected Portion") in respect of
                    which: (1) a valid notice of Buy-in Price has been
                    delivered that is effective fewer than three Business
                    Days prior to such 60th Business Day, in which case the
                    Termination Date for that Affected Portion shall be the
                    third Business Day following the date on which such
                    notice is effective; or (2) Buyer has purchased but not
                    Delivered Deliverable Obligations validly specified by
                    Seller pursuant to Section 9.10(b), in which case the
                    Termination Date for that Affected Portion shall be the
                    tenth Business Day following the date on which Seller
                    validly specified such Deliverable Obligations to
                    Buyer.
                  </xsd:documentation>
                </xsd:annotation>
              </xsd:element>
            </xsd:sequence>
          </xsd:extension>
        </xsd:complexContent>
      </xsd:complexType>
      <xsd:complexType name="ProtectionTerms">
        <xsd:sequence>
          <xsd:element name="calculationAmount" type="Money">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The notional amount of protection coverage. ISDA 2003 Term:
                Floating Rate Payer Calculation Amount
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="creditEvents" type="CreditEvents" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                This element contains all the ISDA terms relating to credit
                events.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="obligations" type="Obligations" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The underlying obligations of the reference entity on which
                you are buying or selling protection. The credit events
                Failure to Pay, Obligation Acceleration, Obligation
                Default, Restructuring, Repudiation/Moratorium are defined
                with respect to these obligations. ISDA 2003 Term:
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
        <xsd:attribute name="id" type="xsd:ID" use="optional"/>
      </xsd:complexType>
      <xsd:complexType name="ProtectionTermsReference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Reference to protectionTerms component.
          </xsd:documentation>
        </xsd:annotation>
        <xsd:complexContent>
          <xsd:extension base="Reference"/>
        </xsd:complexContent>
      </xsd:complexType>
      <xsd:complexType name="PubliclyAvailableInformation">
        <xsd:sequence>
          <xsd:element name="standardPublicSources" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                If this element is specified, indicates that ISDA defined
                Standard Public Sources are applicable.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="publicSource" type="xsd:string" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A public information source, e.g. a particular newspaper or
                electronic news service, that may publish relevant
                information used in the determination of whether or not a
                credit event has occurred. ISDA 2003 Term: Public Source
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="specifiedNumber" type="xsd:positiveInteger" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The minimum number of the specified public information
                sources that must publish information that reasonably
                confirms that a credit event has occurred. The market
                convention is two. ISDA 2003 Term: Specified Number
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="ReferenceInformation">
        <xsd:sequence>
          <xsd:element name="referenceEntity" type="LegalEntity">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The corporate or sovereign entity on which you are buying
                or selling protection and any successor that assumes all or
                substantially all of its contractual and other obligations.
                It is vital to use the correct legal name of the entity and
                to be careful not to choose a subsidiary if you really want
                to trade protection on a parent company. Please note,
                Reference Entities cannot be senior or subordinated. It is
                the obligations of the Reference Entities that can be
                senior or subordinated. ISDA 2003 Term: Reference Entity
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:choice>
            <xsd:element name="referenceObligation" type="ReferenceObligation" maxOccurs="unbounded">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The Reference Obligation is a financial instrument that
                  is either issued or guaranteed by the reference entity.
                  It serves to clarify the precise reference entity
                  protection is being offered upon, and its legal position
                  with regard to other related firms
                  (parents/subsidiaries). Furthermore the Reference
                  Obligation is ALWAYS deliverable and establishes the Pari
                  Passu ranking (as the deliverable bonds must rank equal
                  to the reference obligation). ISDA 2003 Term: Reference
                  Obligation
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="noReferenceObligation" type="Empty">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  Used to indicate that there is no Reference Obligation
                  associated with this Credit Default Swap and that there
                  will never be one.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="unknownReferenceObligation" type="Empty">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  Used to indicate that the Reference obligation associated
                  with the Credit Default Swap is currently not known. This
                  is not valid for Legal Confirmation purposes, but is
                  valid for earlier stages in the trade life cycle (e.g.
                  Broker Confirmation).
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:choice>
          <xsd:element name="allGuarantees" type="xsd:boolean" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Indicates whether an obligation of the Reference Entity,
                guaranteed by the Reference Entity on behalf of a
                non-Affiliate, is to be considered an Obligation for the
                purpose of the transaction. It will be considered an
                obligation if allGuarantees is applicable (true) and not if
                allGuarantees is inapplicable (false). ISDA 2003 Term: All
                Guarantees
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="referencePrice" type="xsd:decimal" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Used to determine (a) for physically settled trades, the
                Physical Settlement Amount, which equals the Floating Rate
                Payer Calculation Amount times the Reference Price and (b)
                for cash settled trades, the Cash Settlement Amount, which
                equals the greater of (i) the difference between the
                Reference Price and the Final Price and (ii) zero. ISDA
                2003 Term: Reference Price
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="ReferenceObligation">
        <xsd:sequence>
          <xsd:choice>
            <xsd:element ref="bond"/>
            <xsd:element ref="convertibleBond"/>
          </xsd:choice>
          <xsd:choice minOccurs="0">
            <xsd:element name="primaryObligor" type="LegalEntity">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The entity primarily responsible for repaying debt to a
                  creditor as a result of borrowing or issuing bonds. ISDA
                  2003 Term: Primary Obligor
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="primaryObligorReference" type="LegalEntityReference">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  A pointer style reference to a reference entity defined
                  elsewhere in the document. Used when the reference entity
                  is the primary obligor.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:choice>
          <xsd:choice minOccurs="0" maxOccurs="unbounded">
            <xsd:element name="guarantor" type="LegalEntity">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The party that guarantees by way of a contractual
                  arrangement to pay the debts of an obligor if the obligor
                  is unable to make the required payments itself. ISDA 2003
                  Term: Guarantor
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="guarantorReference" type="LegalEntityReference">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  A pointer style reference to a reference entity defined
                  elsewhere in the document. Used when the reference entity
                  is the guarantor.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:choice>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="ReferencePair">
        <xsd:sequence>
          <xsd:element name="referenceEntity" type="LegalEntity">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The corporate or sovereign entity on which you are buying
                or selling protection and any successor that assumes all or
                substantially all of its contractual and other obligations.
                It is vital to use the correct legal name of the entity and
                to be careful not to choose a subsidiary if you really want
                to trade protection on a parent company. Please note,
                Reference Entities cannot be senior or subordinated. It is
                the obligations of the Reference Entities that can be
                senior or subordinated. ISDA 2003 Term: Reference Entity
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:choice>
            <xsd:element name="referenceObligation" type="ReferenceObligation">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  The Reference Obligation is a financial instrument that
                  is either issued or guaranteed by the reference entity.
                  It serves to clarify the precise reference entity
                  protection is being offered upon, and its legal position
                  with regard to other related firms
                  (parents/subsidiaries). Furthermore the Reference
                  Obligation is ALWAYS deliverable and establishes the Pari
                  Passu ranking (as the deliverable bonds must rank equal
                  to the reference obligation). ISDA 2003 Term: Reference
                  Obligation
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
            <xsd:element name="noReferenceObligation" type="Empty">
              <xsd:annotation>
                <xsd:documentation xml:lang="en">
                  Used to indicate that there is no Reference Obligation
                  associated with this Credit Default Swap and that there
                  will never be one.
                </xsd:documentation>
              </xsd:annotation>
            </xsd:element>
          </xsd:choice>
          <xsd:element name="entityType" type="EntityType">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Defines the reference entity types corresponding to a list
                of types in the ISDA First to Default documentation.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="ReferencePool">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            This type contains all the reference pool items to define the
            reference entity and reference obligation(s) in the basket.
          </xsd:documentation>
        </xsd:annotation>
        <xsd:sequence>
          <xsd:element name="referencePoolItem" type="ReferencePoolItem" maxOccurs="unbounded"/>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="ReferencePoolItem">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            This type contains all the constituent weight and reference
            information.
          </xsd:documentation>
        </xsd:annotation>
        <xsd:sequence>
          <xsd:element name="constituentWeight" type="ConstituentWeight" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Describes the weight of each of the constituents within the
                basket. If not provided, it is assumed to be equal
                weighted.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="referencePair" type="ReferencePair"/>
          <xsd:element name="protectionTermsReference" type="ProtectionTermsReference" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Reference to the documentation terms applicable to this
                item.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="settlementTermsReference" type="SettlementTermsReference" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Reference to the settlement terms applicable to this item.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="Restructuring">
        <xsd:sequence>
          <xsd:element name="restructuringType" type="RestructuringType" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the type of restructuring that is applicable.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="multipleHolderObligation" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                In relation to a restructuring credit event, unless
                multiple holder obligation is not specified restructurings
                are limited to multiple holder obligations. A multiple
                holder obligation means an obligation that is held by more
                than three holders that are not affiliates of each other
                and where at least two thirds of the holders must agree to
                the event that constitutes the restructuring credit event.
                ISDA 2003 Term: Multiple Holder Obligation
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="multipleCreditEventNotices" type="Empty" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Presence of this element indicates that Section 3.9 of the
                2003 Credit Derivatives Definitions shall apply. Absence of
                this element indicates that Section 3.9 shall not apply.
                NOTE: Not allowed under ISDA Credit 1999.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="RestructuringType">
        <xsd:simpleContent>
          <xsd:extension base="xsd:normalizedString">
            <xsd:attribute name="restructuringScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/restructuring-1-0"/>
          </xsd:extension>
        </xsd:simpleContent>
      </xsd:complexType>
      <xsd:complexType name="ScheduledTerminationDate">
        <xsd:choice>
          <xsd:element name="adjustableDate" type="AdjustableDate2"/>
          <xsd:element name="relativeDate" type="Interval"/>
        </xsd:choice>
      </xsd:complexType>
      <xsd:complexType name="SettledEntityMatrix">
        <xsd:sequence>
          <xsd:element name="matrixSource" type="MatrixSource">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Relevant settled entity matrix source.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="publicationDate" type="xsd:date" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the publication date of the applicable version of
                the matrix. When this element is omitted, the Standard
                Terms Supplement defines rules for which version of the
                matrix is applicable.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="SettlementTerms">
        <xsd:sequence>
          <xsd:element name="settlementCurrency" type="Currency" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                ISDA 2003 Term: Settlement Currency
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
        <xsd:attribute name="id" type="xsd:ID" use="optional"/>
      </xsd:complexType>
      <xsd:complexType name="SettlementTermsReference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Reference to a settlement terms derived construct
            (cashSettlementTerms or physicalSettlementTerms).
          </xsd:documentation>
        </xsd:annotation>
        <xsd:complexContent>
          <xsd:extension base="Reference"/>
        </xsd:complexContent>
      </xsd:complexType>
      <xsd:complexType name="SinglePayment">
        <xsd:sequence>
          <xsd:element name="adjustablePaymentDate" type="xsd:date">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A fixed amount payment date that shall be subject to
                adjustment in accordance with the applicable business day
                convention if it would otherwise fall on a day that is not
                a business day. The applicable business day convention and
                business day are those specified in the dateAdjustments
                element within the generalTerms component. ISDA 2003 Term:
                Fixed Rate Payer Payment Date
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="adjustedPaymentDate" type="xsd:date" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The adjusted payment date. This date should already be
                adjusted for any applicable business day convention. This
                component is not intended for use in trade confirmation but
                may be specified to allow the fee structure to also serve
                as a cashflow type component.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="fixedAmount" type="Money">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A fixed payment amount. ISDA 2003 Term: Fixed Amount
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="SingleValuationDate">
        <xsd:sequence>
          <xsd:element name="businessDays" type="xsd:nonNegativeInteger" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A number of business days. Its precise meaning is dependant
                on the context in which this element is used. ISDA 2003
                Term: Business Day
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="SpecifiedCurrency">
        <xsd:sequence>
          <xsd:element name="currency" type="Currency" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The currency in which an amount is denominated.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="Tranche">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            This type represents a CDS Tranche.
          </xsd:documentation>
        </xsd:annotation>
        <xsd:sequence>
          <xsd:element name="attachmentPoint" type="xsd:decimal">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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:element name="exhaustionPoint" type="xsd:decimal">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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:element>
          <xsd:element name="incurredRecoveryApplicable" type="xsd:boolean" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Outstanding Swap Notional Amount is defined at any time on
                any day, as the greater of: (a) Zero; If Incurred Recovery
                Amount Applicable: (b) The Original Swap Notional Amount
                minus the sum of all Incurred Loss Amounts and all Incurred
                Recovery Amounts (if any) determined under this
                Confirmation at or prior to such time.Incurred Recovery
                Amount not populated: (b) The Original Swap Notional Amount
                minus the sum of all Incurred Loss Amounts determined under
                this Confirmation at or prior to such time.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:complexType>
      <xsd:complexType name="ValuationDate">
        <xsd:choice>
          <xsd:element name="singleValuationDate" type="SingleValuationDate">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Where single valuation date is specified as being
                applicable for cash settlement, this element specifies the
                number of business days after satisfaction of all
                conditions to settlement when such valuation date occurs.
                ISDA 2003 Term: Single Valuation Date
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="multipleValuationDates" type="MultipleValuationDates">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Where multiple valuation dates are specified as being
                applicable for cash settlement, this element specifies (a)
                the number of applicable valuation dates, and (b) the
                number of business days after satisfaction of all
                conditions to settlement when the first such valuation date
                occurs, and (c) the number of business days thereafter of
                each successive valuation date. ISDA 2003 Term: Multiple
                Valuation Dates
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:choice>
      </xsd:complexType>
      <xsd:element name="creditDefaultSwap" type="CreditDefaultSwap" substitutionGroup="product">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            In a credit default swap one party (the protection seller)
            agrees to compensate another party (the protection buyer) if a
            specified company or Sovereign (the reference entity)
            experiences a credit event, indicating it is or may be unable
            to service its debts. The protection seller is typically paid a
            fee and/or premium, expressed as an annualized percent of the
            notional in basis points, regularly over the life of the
            transaction or otherwise as agreed by the parties.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:schema>