The type of measure about an asset. Used for escribing valuation, sensitivity, and risk measures.
2012-02-03
assetMeasureScheme
5-2
http://www.fpml.org/coding-scheme/asset-measure
http://www.fpml.org/coding-scheme/asset-measure-5-2
http://www.fpml.org/coding-scheme/asset-measure-5-2.xml
Code
63
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.

NPVLocalCurrency
FpML
NPV in the trade currency.

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.

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.

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.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

SharpeRatio
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.

AccruedCoupon
FpML
The coupon accrued on the underlying bonds from that the most recent bond coupon payment date until the valuation date.

CurrentNotional
FpML
The notional in effect on the valuation date.

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

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

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.

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.

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

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

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

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

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

RealizedVariance
FpML
Realized variance between effective date and valuation date.

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

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

TreatedRate
FpML
A rate following rate treatment procedures.

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

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

GrossNPV
FpML
The gross NPV.

GrossNotional
FpML
The gross notional.

LongNotionalPosition
FpML
The Long Notional Position.

ShortNotionalPosition
FpML
The Short Notional Position.

ShortSwapPosition
FpML
The Short Swap Position.

DeltaAdjustedShortSwaptionPosition
FpML
The Delta Adjusted Short Swaption Position.

NonDeltaAdjustedShortSwaptionPosition
FpML
The Non Delta Adjusted Short Swaption Position.

LongSwapPosition
FpML
The Long Swap Position.

DeltaAdjustedLongSwaptionPosition
FpML
The Delta Adjusted Long Swaption Position.

NonDeltaAdjustedLongSwaptionPosition
FpML
The Non Delta Adjusted Long Swaption Position.

StrikePrice
FpML
The strike price.

SettlementPrice
FpML
The settlement price.

DeltaFactor
FpML
The Delta factor.