When I run that with xsltproc I get:

<?xml version="1.0"?>

<saml:Attribute xmlns:saml="urn:oasis:names:tc:SAML:2.0:assertion"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" Name="MY_PN_ID"

NameFormat="urn:oasis:names:tc:SAML:2.0:attrname-format:basic"><saml:Attribut
eValue

xmlns:xsd="http://www.w3.org/2001/XMLSchema"
xsi:type="xsd:string">1111111</saml:AttributeValue></saml:Attribute>

<saml:Attribute xmlns:saml="urn:oasis:names:tc:SAML:2.0:assertion"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" Name="MY_ORG_CD"

NameFormat="urn:oasis:names:tc:SAML:2.0:attrname-format:basic"><saml:Attribut
eValue

xmlns:xsd="http://www.w3.org/2001/XMLSchema"
xsi:type="xsd:string">urn:NORM:DEPT</saml:AttributeValue></saml:Attribute>
<saml:Attribute xmlns:saml="urn:oasis:names:tc:SAML:2.0:assertion"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
Name="MY_ASSOC_CD"

NameFormat="urn:oasis:names:tc:SAML:2.0:attrname-format:basic"><saml:Attribut
eValue

xmlns:xsd="http://www.w3.org/2001/XMLSchema"
xsi:type="xsd:string">urn:NORM:V01</saml:AttributeValue></saml:Attribute>

I don't know why there is that extra blank line after the first
<saml:Attribute>, but when I run xmllint --format I get:

:6: parser error : Extra content at the end of the document
<saml:Attribute xmlns:saml="urn:oasis:names:tc:SAML:2.0:assertion" xmlns:x

What "extra content" is it referring to?

In the end your result XML document, like any XML document, is supposed
to have single root element wrapping all other elements, I thought in
your case e.g. <xsl:template
match="/"><saml:statement><xsl:apply-templates/></saml:statement></xsl:templa
te>