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coding-schemes.fpml.asset-measure-5-9.xml Maven / Gradle / Ivy

<?xml version="1.0" encoding="UTF-8"?>
<gcl:CodeList xmlns:gcl="https://docs.oasis-open.org/codelist/ns/genericode/1.0/" xmlns:doc="http://www.fpml.org/coding-scheme/documentation" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="https://docs.oasis-open.org/codelist/ns/genericode/1.0/ CodeList.xsd">
   <Annotation>
      <Description>
         <doc:definition>The type of measure about an asset. Used for escribing valuation,
			sensitivity, and risk measures.</doc:definition>
         <doc:publicationDate>2024-03-14</doc:publicationDate>
      </Description>
   </Annotation>
   <Identification>
      <ShortName>assetMeasureScheme</ShortName>
      <Version>5-9</Version>
      <CanonicalUri>http://www.fpml.org/coding-scheme/asset-measure</CanonicalUri>
      <CanonicalVersionUri>http://www.fpml.org/coding-scheme/asset-measure-5-9</CanonicalVersionUri>
      <LocationUri>http://www.fpml.org/coding-scheme/asset-measure-5-9.xml</LocationUri>
   </Identification>
   <ColumnSet>
      <Column Id="Code" Use="required">
         <ShortName>Code</ShortName>
         <Data Type="token">
            <Parameter ShortName="maxLength">63</Parameter>
         </Data>
      </Column>
      <Column Id="Source" Use="optional">
         <ShortName>Source</ShortName>
         <Data Type="string"/>
      </Column>
      <Column Id="Description" Use="optional">
         <ShortName>Description</ShortName>
         <Data Type="string"/>
      </Column>
      <Key Id="PrimaryKey">
         <ShortName>key</ShortName>
         <ColumnRef Ref="Code"/>
      </Key>
   </ColumnSet>
   <SimpleCodeList>
      <Row>
         <Value>
            <SimpleValue>AccruedCoupon</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The coupon accrued on the underlying bonds from that the most recent bond
					coupon payment date until the valuation date.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>AccruedInterest</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The value of interest accrued from the previous payment to the valuation
					date.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>AccruedInterestResetPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The value of interest accrued for price at last Reset.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>AdditionalPriceNotation</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The secondary price field as required by CFTC's 17 CFR Part
					43.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>AverageExposure</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The average exposure of this trade over its lifetime</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>BucketedCreditSpreadSensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a point change shift in the credit
					spread.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>BucketedDefaultProbabilitySensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a point change shift in the default
					probability.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>BucketedInterestRateConvexity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in interest rate sensitivity caused by a single point change in
					the yield curve (IR Gamma).</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>BucketedInterestRateSensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a single point change in the yield curve
					(IR Delta).</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>BucketedInterestRateVolatilitySensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a point change shift in the volatility
					matrix (vega).</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>BucketedRecoveryRateSensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a point change shift in the credit default
					recovery rate.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CalculatedStrike</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The effective strike price of the option as derived from the underlying
					asset swap. (Used for options on asset swaps).</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CAPMBeta</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Systematic risk = Ratio of expected return to expected return of the
					market</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>Cash</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>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.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CashEquivalent</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The CashEquivalentLocalCurrency converted to the reporting currency (e.g.
					USD) at the spot exchange rate.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CashEquivalentLocalCurrency</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>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.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CleanGrossCurrentMarketPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The price of an asset, expressed in par value, excluding accrued
					interest, excluding commissions, as observed on a market.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CleanGrossCurrentSettlementPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The price of an asset, expressed in par value, excluding accrued
					interest, excluding commissions, for settlement purposes.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CleanGrossResetPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The reset price of an asset, expressed in par value, excluding accrued
					interest, excluding commissions.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CleanNetCurrentMarketPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The price of an asset, expressed in par value, excluding accrued
					interest, including commissions, as observed on a market.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CleanNetCurrentSettlementPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The price of an asset, expressed in par value, excluding accrued
					interest, including commissions, for settlement purposes.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CleanNetResetPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The reset price of an asset, expressed in par value, excluding accrued
					interest, including commissions.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ConvexityAdjustment</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>An adjustment to the price of an instrument (such as a future) to
					compensate for its lack of convexity.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CreditSpread</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The spread between the return of a credit instrument and of a
					corresponding risk free instrument.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>CurrentNotional</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The notional in effect on the valuation date.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>DE@R</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>VAR for 1 day time horizon and 95% level of confidence</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>DeltaAdjustedLongSwaptionPosition</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The Delta Adjusted Long Swaption Position.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>DeltaAdjustedShortSwaptionPosition</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The Delta Adjusted Short Swaption Position.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>DeltaFactor</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The Delta factor.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>DirtyGrossCurrentMarketPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The price of an asset, expressed in par value, including accrued
					interest, excluding commissions, as observed on a market.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>DirtyGrossCurrentSettlementPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The price of an asset, expressed in par value, including accrued
					interest, excluding commissions, for settlement purposes.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>DirtyGrossResetPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The reset price of an asset, expressed in par value, including accrued
					interest, excluding commissions.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>DirtyNetCurrentMarketPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The price of an asset, expressed in par value, including accrued
					interest, including commissions, as observed on a market.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>DirtyNetCurrentSettlementPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The price of an asset, expressed in par value, including accrued
					interest, including commissions, for settlement purposes.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>DirtyNetResetPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The reset price of an asset, expressed in par value, including accrued
					interest, including commissions.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>DividendYield</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The dividend payout ratio, expressed as a decimal (e.g. 0.03 = 3%) per
					year.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>EconomicCapital</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Capital which is kept aside to compensate for unexpected losses due to
					credit risk. (VAR for 1 year and 99.97%)</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>EquityAccrual</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>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.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>EVA</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Economic Value Added = (Spread + Fees - Expected loss - Operating cost)
					-ROE*(Capital at risk)</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>FixedPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>A numerical price (usually a stock or bond price or a commodity price)
					that is used to price a derivative.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>FixedRate</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>A numerical rate (usually an interest or FX rate) that is used to price a
					derivative.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>FundingOnRealizedGains</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Funding-related interest charges associated with profit or loss on
					realized gains that have not yet been exchanged.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>FXSpotSensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a change in FX spot rate</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>GrossNotional</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The gross notional.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>GrossNPV</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The gross NPV.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ImpliedVolatility</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The implied volatility of the underlying asset from the valuation date to
					the expiration of the option.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>InterestOnRealizedGains</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Accrued interest on realized gains, for portfolio swap agreements where
					unwind profit/loss not exchanged until reset.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>JensensAlpha</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The average excess return on a portfolio relative to the excess return
					predicted by CAPM</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>LastAvailableSpotPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The last available spot price at the time of the transaction of the
					underlying asset with no spread.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>LoanEquivalent</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The loan equivalent exposure of this asset.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>LongNotionalPosition</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The Long Notional Position.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>LongSwapPosition</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The Long Swap Position.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>MarginalRisk</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change of a portfolio VAR with addition of a specified asset.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>MarketQuote</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The price of an instrument as quoted on an exchange or similar
					market.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ModifiedSharpeRatio</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Sharpe ratio where both return and risk are defined relative to a
					benchmark portfolio</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>NonDeltaAdjustedLongSwaptionPosition</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The Non Delta Adjusted Long Swaption Position.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>NonDeltaAdjustedShortSwaptionPosition</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The Non Delta Adjusted Short Swaption Position.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>NPV</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Net Present Value = sum of present values of all cash flows; excludes
					cash flows paid or received on the valution date.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>NPVLocalCurrency</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>NPV in the trade currency.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>NumberOfUnderlyingSecurities</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Used for bond positions to report the product of the open units and the
					par value of the bond.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>PackagePrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Traded price of the entire package in which the reported derivative
					transaction is a component.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>PackageSpread</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>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.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>PAI</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Price adjustment interest ... the amount of interest owing on the NPV
					over the previous calculation period (use in clearing models).</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ParallelShiftCreditSpreadSensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a parallel shift in the credit
					spread.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ParallelShiftDefaultProbabilitySensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a parallel shift in the default
					probability.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ParallelShiftInterestRateSensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a parallel shift in the yield curve/risk
					free rate of interest (IR Delta, rho).</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ParallelShiftInterestRateVolatilitySensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a parallel shift in the volatility matrix
					(vega).</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ParallelShiftRecoveryRateSensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a parallel shift in the credit default
					recovery rate.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>PayNPV</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>NPV of cash flows for which the base counterparty pays.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>PeakExposure</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The peak/potential exposure of this trade over its lifetime</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>Premium</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>A fee paid or received to purchase a contract (usually an
					option).</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>PriceNotation</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The primary price field as required by CFTC's 17 CFR Part 43.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>PriorNPV</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>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.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>RAROC</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Risk adjusted return on capital = (Adjusted income)/(Capital at
					risk)</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>RealizedTradingGains</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Realized profit or loss that has not yet been exchanged. This is based on
					positions that have been closed out but not settled.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>RealizedVariance</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Realized variance between effective date and valuation date.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ReceiveNPV</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>NPV of cash flows for which the base counterparty receives.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>RecoveryRate</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The estimated amount that a creditor would receive in final satisfaction
					of the claims on a defaulted credit.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>RegulatoryCapital</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>A provision for expected losses, required by the BIS.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ReturnOnEconomicCapital</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The return from an asset expressed as a percentage of the amount of
					economic capital involved in holding that asset.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ReturnOnRegulatoryCapital</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The return from an asset expressed as a percentage of the amount of
					regulatory capital involved in holding that asset.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>RiskConcentration</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Measures the amount of risk concentrated in individual counterparties,
					similar assets, common geographical locations, or common industries.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ROA</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Return on assets = (Adjusted income)/Assets</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>RORAC</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Return on risk-adjusted capital = (Adjusted income)/(BIS risk - based
					capital requirement)</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>SettlementFxRate</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The FX rate used to compute a settlement amount.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>SettlementPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The settlement price.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>SharpeRatio</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The ratio between portfolio return in excess of the risk-free return and
					portfolio risk (measured as volatility)</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ShortNotionalPosition</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The Short Notional Position.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ShortSwapPosition</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The Short Swap Position.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>SortinoRatio</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Similar to Sharpe Ratio but risk defined as downside risk rather than
					portfolio variance.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>StrikePrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The strike price.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>TransactedGrossPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The price, exclusive of any commission, at which a transaction has been
					conducted.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>TransactedNetPrice</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The actual price (inclusive of commissions, when applicable) at which a
					transaction has been conducted.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>TreatedRate</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>A rate following rate treatment procedures.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>TreynorRatio</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Similar to Sharpe Ratio but risk defined as CAPM systematic risk (beta)
					rather than portfolio variance.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ValuationAdjusted</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Adjusted valuation required for regulatory reporting (Ex: JFSA 39
					Valuation Amount).</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ValuationDateChangeSensitivity</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Change in NPV/value caused by a change in valuation date
					(theta).</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>ValuationUnadjusted</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Unadjusted valuation required for regulatory reporting (Ex: JFSA 39
					Valuation Amount).</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>VAR</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>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.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>VariationMargin</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>Amount required to be posted to accommodate change in net value of trade
					or portfolio.</SimpleValue>
         </Value>
      </Row>
      <Row>
         <Value>
            <SimpleValue>Volatility</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>FpML</SimpleValue>
         </Value>
         <Value>
            <SimpleValue>The underlying price volatility used for calculating the value of this
					asset.</SimpleValue>
         </Value>
      </Row>
   </SimpleCodeList>
</gcl:CodeList>