The type of measure about an asset. Used for escribing valuation,
sensitivity, and risk measures.
2024-03-14
assetMeasureScheme
5-9
http://www.fpml.org/coding-scheme/asset-measure
http://www.fpml.org/coding-scheme/asset-measure-5-9
http://www.fpml.org/coding-scheme/asset-measure-5-9.xml
Code
63
Source
Description
key
AccruedCoupon
FpML
The coupon accrued on the underlying bonds from that the most recent bond
coupon payment date until the valuation date.

AccruedInterest
FpML
The value of interest accrued from the previous payment to the valuation
date.

AccruedInterestResetPrice
FpML
The value of interest accrued for price at last Reset.

AdditionalPriceNotation
FpML
The secondary price field as required by CFTC's 17 CFR Part
43.

AverageExposure
FpML
The average exposure of this trade over its lifetime

BucketedCreditSpreadSensitivity
FpML
Change in NPV/value caused by a point change shift in the credit
spread.

BucketedDefaultProbabilitySensitivity
FpML
Change in NPV/value caused by a point change shift in the default
probability.

BucketedInterestRateConvexity
FpML
Change in interest rate sensitivity caused by a single point change in
the yield curve (IR Gamma).

BucketedInterestRateSensitivity
FpML
Change in NPV/value caused by a single point change in the yield curve
(IR Delta).

BucketedInterestRateVolatilitySensitivity
FpML
Change in NPV/value caused by a point change shift in the volatility
matrix (vega).

BucketedRecoveryRateSensitivity
FpML
Change in NPV/value caused by a point change shift in the credit default
recovery rate.

CalculatedStrike
FpML
The effective strike price of the option as derived from the underlying
asset swap. (Used for options on asset swaps).

CAPMBeta
FpML
Systematic risk = Ratio of expected return to expected return of the
market

Cash
FpML
A monetary amount paid or received. For example, a monetary amount
payable on the valuation date, or a monetary amount payable on another specified
date, such as a payment date.

CashEquivalent
FpML
The CashEquivalentLocalCurrency converted to the reporting currency (e.g.
USD) at the spot exchange rate.

CashEquivalentLocalCurrency
FpML
The aggregated equivalent FX position in a specific currency. This
includes the NPVs payable in that currency, plus equivalent positions generated
by trades price sensitivity to FX rates.

CleanGrossCurrentMarketPrice
FpML
The price of an asset, expressed in par value, excluding accrued
interest, excluding commissions, as observed on a market.

CleanGrossCurrentSettlementPrice
FpML
The price of an asset, expressed in par value, excluding accrued
interest, excluding commissions, for settlement purposes.

CleanGrossResetPrice
FpML
The reset price of an asset, expressed in par value, excluding accrued
interest, excluding commissions.

CleanNetCurrentMarketPrice
FpML
The price of an asset, expressed in par value, excluding accrued
interest, including commissions, as observed on a market.

CleanNetCurrentSettlementPrice
FpML
The price of an asset, expressed in par value, excluding accrued
interest, including commissions, for settlement purposes.

CleanNetResetPrice
FpML
The reset price of an asset, expressed in par value, excluding accrued
interest, including commissions.

ConvexityAdjustment
FpML
An adjustment to the price of an instrument (such as a future) to
compensate for its lack of convexity.

CreditSpread
FpML
The spread between the return of a credit instrument and of a
corresponding risk free instrument.

CurrentNotional
FpML
The notional in effect on the valuation date.

DE@R
FpML
VAR for 1 day time horizon and 95% level of confidence

DeltaAdjustedLongSwaptionPosition
FpML
The Delta Adjusted Long Swaption Position.

DeltaAdjustedShortSwaptionPosition
FpML
The Delta Adjusted Short Swaption Position.

DeltaFactor
FpML
The Delta factor.

DirtyGrossCurrentMarketPrice
FpML
The price of an asset, expressed in par value, including accrued
interest, excluding commissions, as observed on a market.

DirtyGrossCurrentSettlementPrice
FpML
The price of an asset, expressed in par value, including accrued
interest, excluding commissions, for settlement purposes.

DirtyGrossResetPrice
FpML
The reset price of an asset, expressed in par value, including accrued
interest, excluding commissions.

DirtyNetCurrentMarketPrice
FpML
The price of an asset, expressed in par value, including accrued
interest, including commissions, as observed on a market.

DirtyNetCurrentSettlementPrice
FpML
The price of an asset, expressed in par value, including accrued
interest, including commissions, for settlement purposes.

DirtyNetResetPrice
FpML
The reset price of an asset, expressed in par value, including accrued
interest, including commissions.

DividendYield
FpML
The dividend payout ratio, expressed as a decimal (e.g. 0.03 = 3%) per
year.

EconomicCapital
FpML
Capital which is kept aside to compensate for unexpected losses due to
credit risk. (VAR for 1 year and 99.97%)

EquityAccrual
FpML
Unrealized profit or loss on an equity price based stream or product.
This is based on the difference between current market price and the
reset/reference price.

EVA
FpML
Economic Value Added = (Spread + Fees - Expected loss - Operating cost)
-ROE*(Capital at risk)

FixedPrice
FpML
A numerical price (usually a stock or bond price or a commodity price)
that is used to price a derivative.

FixedRate
FpML
A numerical rate (usually an interest or FX rate) that is used to price a
derivative.

FundingOnRealizedGains
FpML
Funding-related interest charges associated with profit or loss on
realized gains that have not yet been exchanged.

FXSpotSensitivity
FpML
Change in NPV/value caused by a change in FX spot rate

GrossNotional
FpML
The gross notional.

GrossNPV
FpML
The gross NPV.

ImpliedVolatility
FpML
The implied volatility of the underlying asset from the valuation date to
the expiration of the option.

InterestOnRealizedGains
FpML
Accrued interest on realized gains, for portfolio swap agreements where
unwind profit/loss not exchanged until reset.

JensensAlpha
FpML
The average excess return on a portfolio relative to the excess return
predicted by CAPM

LastAvailableSpotPrice
FpML
The last available spot price at the time of the transaction of the
underlying asset with no spread.

LoanEquivalent
FpML
The loan equivalent exposure of this asset.

LongNotionalPosition
FpML
The Long Notional Position.

LongSwapPosition
FpML
The Long Swap Position.

MarginalRisk
FpML
Change of a portfolio VAR with addition of a specified asset.

MarketQuote
FpML
The price of an instrument as quoted on an exchange or similar
market.

ModifiedSharpeRatio
FpML
Sharpe ratio where both return and risk are defined relative to a
benchmark portfolio

NonDeltaAdjustedLongSwaptionPosition
FpML
The Non Delta Adjusted Long Swaption Position.

NonDeltaAdjustedShortSwaptionPosition
FpML
The Non Delta Adjusted Short Swaption Position.

NPV
FpML
Net Present Value = sum of present values of all cash flows; excludes
cash flows paid or received on the valution date.

NPVLocalCurrency
FpML
NPV in the trade currency.

NumberOfUnderlyingSecurities
FpML
Used for bond positions to report the product of the open units and the
par value of the bond.

PackagePrice
FpML
Traded price of the entire package in which the reported derivative
transaction is a component.

PackageSpread
FpML
Traded price of the entire package in which the reported derivative
transaction is a component of a package transaction. Package transaction price
when the price of the package is expressed as a spread, difference between two
reference prices. See CFTC Amendments to Part 45 for full
definition.

PAI
FpML
Price adjustment interest ... the amount of interest owing on the NPV
over the previous calculation period (use in clearing models).

ParallelShiftCreditSpreadSensitivity
FpML
Change in NPV/value caused by a parallel shift in the credit
spread.

ParallelShiftDefaultProbabilitySensitivity
FpML
Change in NPV/value caused by a parallel shift in the default
probability.

ParallelShiftInterestRateSensitivity
FpML
Change in NPV/value caused by a parallel shift in the yield curve/risk
free rate of interest (IR Delta, rho).

ParallelShiftInterestRateVolatilitySensitivity
FpML
Change in NPV/value caused by a parallel shift in the volatility matrix
(vega).

ParallelShiftRecoveryRateSensitivity
FpML
Change in NPV/value caused by a parallel shift in the credit default
recovery rate.

PayNPV
FpML
NPV of cash flows for which the base counterparty pays.

PeakExposure
FpML
The peak/potential exposure of this trade over its lifetime

Premium
FpML
A fee paid or received to purchase a contract (usually an
option).

PriceNotation
FpML
The primary price field as required by CFTC's 17 CFR Part 43.

PriorNPV
FpML
Net Present Value for prior day/processing run = sum of present values of
all cash flows; excludes cash flows paid or received on the valution
date.

RAROC
FpML
Risk adjusted return on capital = (Adjusted income)/(Capital at
risk)

RealizedTradingGains
FpML
Realized profit or loss that has not yet been exchanged. This is based on
positions that have been closed out but not settled.

RealizedVariance
FpML
Realized variance between effective date and valuation date.

ReceiveNPV
FpML
NPV of cash flows for which the base counterparty receives.

RecoveryRate
FpML
The estimated amount that a creditor would receive in final satisfaction
of the claims on a defaulted credit.

RegulatoryCapital
FpML
A provision for expected losses, required by the BIS.

ReturnOnEconomicCapital
FpML
The return from an asset expressed as a percentage of the amount of
economic capital involved in holding that asset.

ReturnOnRegulatoryCapital
FpML
The return from an asset expressed as a percentage of the amount of
regulatory capital involved in holding that asset.

RiskConcentration
FpML
Measures the amount of risk concentrated in individual counterparties,
similar assets, common geographical locations, or common industries.

ROA
FpML
Return on assets = (Adjusted income)/Assets

RORAC
FpML
Return on risk-adjusted capital = (Adjusted income)/(BIS risk - based
capital requirement)

SettlementFxRate
FpML
The FX rate used to compute a settlement amount.

SettlementPrice
FpML
The settlement price.

SharpeRatio
FpML
The ratio between portfolio return in excess of the risk-free return and
portfolio risk (measured as volatility)

ShortNotionalPosition
FpML
The Short Notional Position.

ShortSwapPosition
FpML
The Short Swap Position.

SortinoRatio
FpML
Similar to Sharpe Ratio but risk defined as downside risk rather than
portfolio variance.

StrikePrice
FpML
The strike price.

TransactedGrossPrice
FpML
The price, exclusive of any commission, at which a transaction has been
conducted.

TransactedNetPrice
FpML
The actual price (inclusive of commissions, when applicable) at which a
transaction has been conducted.

TreatedRate
FpML
A rate following rate treatment procedures.

TreynorRatio
FpML
Similar to Sharpe Ratio but risk defined as CAPM systematic risk (beta)
rather than portfolio variance.

ValuationAdjusted
FpML
Adjusted valuation required for regulatory reporting (Ex: JFSA 39
Valuation Amount).

ValuationDateChangeSensitivity
FpML
Change in NPV/value caused by a change in valuation date
(theta).

ValuationUnadjusted
FpML
Unadjusted valuation required for regulatory reporting (Ex: JFSA 39
Valuation Amount).

VAR
FpML
Value at Risk is the amount of money that could be lost over a
pre-defined period of time with a a given level of confidence.

VariationMargin
FpML
Amount required to be posted to accommodate change in net value of trade
or portfolio.

Volatility
FpML
The underlying price volatility used for calculating the value of this
asset.