Definition Type: ComplexType
Name: Tranche
Namespace: http://www.fpml.org/FpML-5/reporting
Containing Schema: fpml-cd-5-9.xsd
Abstract
Documentation:
This type represents a CDS Tranche.
Collapse XSD Schema Diagram:
Drilldown into incurredRecoveryApplicable in schema fpml-cd-5-9_xsd Drilldown into exhaustionPoint in schema fpml-cd-5-9_xsd Drilldown into attachmentPoint in schema fpml-cd-5-9_xsdXSD Diagram of Tranche in schema fpml-cd-5-9_xsd (Financial products Markup Language (FpML®) - Reporting)
Collapse XSD Schema Code:
<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" minOccurs="0">
            <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" minOccurs="0">
            <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>
Collapse Child Elements:
Name Type Min Occurs Max Occurs
attachmentPoint nsA:attachmentPoint 0 (1)
exhaustionPoint nsA:exhaustionPoint 0 (1)
incurredRecoveryApplicable nsA:incurredRecoveryApplicable 0 (1)
Collapse Derivation Tree:
Collapse References:
nsA:tranche, nsA:tranche
Collapse Comments:
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