The type of measure about an asset. Used for escribing valuation, sensitivity, and risk measures. assetMeasureScheme 1-0 http://www.fpml.org/coding-scheme/asset-measure http://www.fpml.org/coding-scheme/asset-measure-1-0 http://www.fpml.org/coding-scheme/asset-measure-1-0.xml Code Source Description key NPV FpML Net Present Value = sum of present values of all cash flows; excludes cash flows paid or received on the valution date. Cash FpML Cash paid or received on the valuation date. PayNPV FpML NPV of cash flows for which the base counterparty pays. ReceiveNPV FpML NPV of cash flows for which the base counterparty receives. MarketQuote FpML The price of an instrument as quoted on an exchange or similar market. ConvexityAdjustment FpML An adjustment to the price of an instrument (such as a future) to compensate for its lack of convexity. DirtyPrice FpML The price of an asset, expressed in par value, including accrued interest. CleanPrice FpML The price of an asset, expressed in par value, excluding accrued interest. AccruedInterest FpML The value of interest accrued from the previous payment to the valuation date. Volatility FpML The underlying price volatility used for calculating the value of this asset. DividendYield FpML The dividend payout ratio, expressed as a decimal (e.g. 0.03 = 3%) per year. ParallelShiftInterestRateSensitivity FpML Change in NPV/value caused by a parallel shift in the yield curve/risk free rate of interest (IR Delta, rho). BucketedInterestRateSensitivity FpML Change in NPV/value caused by a single point change in the yield curve (IR Delta). BucketedInterestRateConvexity FpML Change in interest rate sensitivity caused by a single point change in the yield curve (IR Gamma). FXSpotSensitivity FpML Change in NPV/value caused by a change in FX spot rate ValuationDateChangeSensitivity FpML Change in NPV/value caused by a change in valuation date (theta). ParallelShiftInterestRateVolatilitySensitivity FpML Change in NPV/value caused by a parallel shift in the volatility matrix (vega). BucketedInterestRateVolatilitySensitivity FpML Change in NPV/value caused by a point change shift in the volatility matrix (vega). 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. ParallelShiftRecoveryRateSensitivity FpML Change in NPV/value caused by a parallel shift in the credit default recovery rate. 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. BucketedRecoveryRateSensitivity FpML Change in NPV/value caused by a point change shift in the credit default recovery rate. 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. DE@R FpML VAR for 1 day time horizon and 95% level of confidence EconomicCapital FpML Capital which is kept aside to compensate for unexpected losses due to credit risk. (VAR for 1 year and 99.97%) 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. EVA FpML MarginalRisk FpML Change of a portfolio VAR with addition of a specified asset. SparpeRatio FpML The ratio between portfolio return in excess of the risk-free return and portfolio risk (measured as volatility) ModifiedSharpeRatio FpML Sharpe ratio where both return and risk are defined relative to a benchmark portfolio SortinoRatio FpML Similar to Sharpe Ratio but risk defined as downside risk rather than portfolio variance. TreynorRatio FpML Similar to Sharpe Ratio but risk defined as CAPM systematic risk (beta) rather than portfolio variance. CAPMBeta FpML Systematic risk = Ratio of expected return to expected return of the market JensensAlpha FpML The average excess return on a portfolio relative to the excess return predicted by CAPM RAROC FpML Risk adjusted return on capital = (Adjusted income)/(Capital at risk) ROA FpML Return on assets = (Adjusted income)/Assets RORAC FpML Return on risk-adjusted capital = (Adjusted income)/(BIS risk - based capital requirement) PeakExposure FpML The peak/potential exposure of this trade over its lifetime AverageExposure FpML The average exposure of this trade over its lifetime LoanEquivalent FpML The loan equivalent exposure of this asset.