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Rune Testing is a java library that is utilised by Rosetta Code Generators and models expressed in the Rosetta DSL.
<?xml version="1.0" encoding="UTF-8"?>
<gcl:CodeList xmlns:gcl="http://xml.genericode.org/2004/ns/CodeList/0.2/" xmlns:doc="http://www.fpml.org/coding-scheme/documentation" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://xml.genericode.org/2004/ns/CodeList/0.2/ 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>2023-06-21</doc:publicationDate>
</Description>
</Annotation>
<Identification>
<ShortName>assetMeasureScheme</ShortName>
<Version>5-8</Version>
<CanonicalUri>http://www.fpml.org/coding-scheme/asset-measure</CanonicalUri>
<CanonicalVersionUri>http://www.fpml.org/coding-scheme/asset-measure-5-8</CanonicalVersionUri>
<LocationUri>http://www.fpml.org/coding-scheme/asset-measure-5-8.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>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>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>