PortfolioValuationItem

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
portfolio	Portfolio				1-1
tradeValuationItem	TradeValuationItem				0-∞
valuationSet	ValuationSet				1-1

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PortfolioValuationItem

portfolio(Portfolio)

tradeValuationItem(TradeValuationItem)

Selecting one of variants:

partyTradeIdentifier(PartyTradeIdentifier)

A choice of method of specifying a trade identifier.

Sequence

issuer(IssuerId)

	The data type used for issuer identifiers.

tradeId(TradeId)

	Trade identifier given by a party specified in the 'issuer' element.

Sequence

partyReference(PartyReference)

	Reference to a party.

A choice of a trade identifier type.

tradeId(TradeId)

	Trade identifier given by a party specified in the 'partyReference' element.

linkId(LinkId)

	Use to relating reported trade with master agreements. Contains master agreement identifier. Filled only within element describing identifier given by the repository.
	Master agreement identifier.

trade(Trade)

tradeHeader(TradeHeader)

The information on the trade which is not product specific, e.g. trade date.

partyTradeIdentifier(PartyTradeIdentifier)

	The trade reference identifier(s) allocated to the trade by the parties involved. Filling elements: partyReference, tradeId (trade identifier, if not assigned then NONREF), linkId (master agreement identifier, if master agreement and trade are registered parallel, then NONREF). Mandatory filling three "partyTradeIdentifier", by repository, by party1, by party2.

A choice of method of specifying a trade identifier.

Sequence

issuer(IssuerId)

	The data type used for issuer identifiers.

tradeId(TradeId)

	Trade identifier given by a party specified in the 'issuer' element.

Sequence

partyReference(PartyReference)

	Reference to a party.

A choice of a trade identifier type.

tradeId(TradeId)

	Trade identifier given by a party specified in the 'partyReference' element.

linkId(LinkId)

	Use to relating reported trade with master agreements. Contains master agreement identifier. Filled only within element describing identifier given by the repository.
	Master agreement identifier.

partyTradeInformation(PartyTradeInformation)

	Additional trade information that may be provided by each involved party.

tradeDate(IdentifiedDate)

	The trade date. This is the date the trade was originally executed. In the case of a novation, the novated part of the trade should be reported (by both the remaining party and the transferee) using a trade date corresponding to the date the novation was agreed. The remaining part of a trade should be reported (by both the transferor and the remaining party) using a trade date corresponding to the original execution date.
	Date of transaction / trade date.

product(Product)

Is substituted by one of the elements: exchangeTradedFundTransaction unitizedFundTransaction optionTransaction futureTransaction swapTransaction repo warrantTransaction bondOption creditDefaultSwap creditDefaultSwapOption commodityForward commodityOption commoditySwap commoditySwaption equityForward equityOption fxSingleLeg fxSwap fxOption fxDigitalOption bulletPayment capFloor fra swap swaption equitySwapTransactionSupplement bondSwap bondForward bondSimpleTransaction bondBasketOption equitySimpleTransaction masterAgreementTerms generalProduct generalOption

	An abstract element used as a place holder for the substituting product elements.

documentation(Documentation)

Defines the definitions that govern the document and should include the year and type of definitions referenced, along with any relevant documentation (such as master agreement) and the date it was signed.

attachment(Resource)

	A human readable document related to this transaction, for example a confirmation.

name(normalizedString)

valuationSet(ValuationSet)

name(string)

valuationScenario(ValuationScenario)

name(string)

valuationDate(IdentifiedDate)

marketReference(MarketReference)

shift(PricingParameterShift)

parameterReference(AssetOrTermPointOrPricingStructureReference)

shift(decimal)

shiftUnits(PriceQuoteUnits)

replacement(PricingInputReplacement)

originalInputReference(PricingStructureReference)

replacementInputReference(PricingStructureReference)

valuationScenarioReference(ValuationScenarioReference)

baseParty(PartyReference)

quotationCharacteristics(QuotationCharacteristics)

measureType(AssetMeasureType)

	The type of the value that is measured. This could be an NPV, a cash flow, a clean price, etc.

quoteUnits(PriceQuoteUnits)

	The optional units that the measure is expressed in. If not supplied, this is assumed to be a price/value in currency units.

side(QuotationSideEnum)

	The side (bid/mid/ask) of the measure.
	Bid;Ask;Mid;

currency(Currency)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

currencyType(ReportingCurrencyType)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

timing(QuoteTiming)

	When during a day the quote is for. Typically, if this element is supplied, the QuoteLocation needs also to be supplied.

Selecting one of variants:

businessCenter(BusinessCenter)

	A city or other business center.

exchangeId(ExchangeId)

	The exchange (e.g. stock or futures exchange) from which the quote is obtained.

informationSource(InformationSource)

	The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.

pricingModel(PricingModel)

	Defines the types of pricing model used to evaluate the price of an asset.

time(dateTime)

	When the quote was observed or when a calculated value was generated.

valuationDate(date)

	When the quote was computed.

expiryTime(dateTime)

	When does the quote cease to be valid.

cashflowType(CashflowType)

	For cash flows, the type of the cash flows. Examples include: Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee, etc.

sensitivitySetDefinition(SensitivitySetDefinition)

name(string)

sensitivityCharacteristics(QuotationCharacteristics)

measureType(AssetMeasureType)

	The type of the value that is measured. This could be an NPV, a cash flow, a clean price, etc.

quoteUnits(PriceQuoteUnits)

	The optional units that the measure is expressed in. If not supplied, this is assumed to be a price/value in currency units.

side(QuotationSideEnum)

	The side (bid/mid/ask) of the measure.
	Bid;Ask;Mid;

currency(Currency)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

currencyType(ReportingCurrencyType)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

timing(QuoteTiming)

	When during a day the quote is for. Typically, if this element is supplied, the QuoteLocation needs also to be supplied.

Selecting one of variants:

businessCenter(BusinessCenter)

	A city or other business center.

exchangeId(ExchangeId)

	The exchange (e.g. stock or futures exchange) from which the quote is obtained.

informationSource(InformationSource)

	The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.

pricingModel(PricingModel)

	Defines the types of pricing model used to evaluate the price of an asset.

time(dateTime)

	When the quote was observed or when a calculated value was generated.

valuationDate(date)

	When the quote was computed.

expiryTime(dateTime)

	When does the quote cease to be valid.

cashflowType(CashflowType)

	For cash flows, the type of the cash flows. Examples include: Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee, etc.

valuationScenarioReference(ValuationScenarioReference)

pricingInputType(PricingInputType)

pricingInputReference(PricingStructureReference)

scale(decimal)

sensitivityDefinition(SensitivityDefinition)

name(string)

valuationScenarioReference(ValuationScenarioReference)

Selecting one of variants:

Group

partialDerivative(PricingParameterDerivative)

description(string)

Selecting one of variants:

parameterReference(AssetOrTermPointOrPricingStructureReference)

inputDateReference(ValuationReference)

calculationProcedure(DerivativeCalculationProcedure)

method(DerivativeCalculationMethod)

Selecting one of variants:

Group

perturbationAmount(decimal)

averaged(boolean)

perturbationType(PerturbationType)

Group

derivativeFormula(string)

Group

replacementMarketInput(PricingStructureReference)

formula(DerivativeFormula)

Group

Selecting one of variants:

term(TimeDimension)

Selecting one of variants:

Sequence

date(date)

tenor(Period)

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

Group

Selecting one of variants:

coordinate(PricingDataPointCoordinate)

Selecting one of variants:

term(TimeDimension)

Selecting one of variants:

Sequence

date(date)

tenor(Period)

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

expiration(TimeDimension)

Selecting one of variants:

Sequence

date(date)

tenor(Period)

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

strike(decimal)

generic(GenericDimension)

string(string)

coordinateReference(PricingDataPointCoordinateReference)

calculationProcedure(DerivativeCalculationProcedure)

method(DerivativeCalculationMethod)

Selecting one of variants:

Group

perturbationAmount(decimal)

averaged(boolean)

perturbationType(PerturbationType)

Group

derivativeFormula(string)

Group

replacementMarketInput(PricingStructureReference)

detail(ValuationSetDetail)

assetValuation(AssetValuation)

objectReference(AnyAssetReference)

valuationScenarioReference(ValuationScenarioReference)

quote(Quotation)

value(decimal)

measureType(AssetMeasureType)

	The type of the value that is measured. This could be an NPV, a cash flow, a clean price, etc.

quoteUnits(PriceQuoteUnits)

	The optional units that the measure is expressed in. If not supplied, this is assumed to be a price/value in currency units.

side(QuotationSideEnum)

	The side (bid/mid/ask) of the measure.
	Bid;Ask;Mid;

currency(Currency)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

currencyType(ReportingCurrencyType)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

timing(QuoteTiming)

	When during a day the quote is for. Typically, if this element is supplied, the QuoteLocation needs also to be supplied.

Selecting one of variants:

businessCenter(BusinessCenter)

	A city or other business center.

exchangeId(ExchangeId)

	The exchange (e.g. stock or futures exchange) from which the quote is obtained.

informationSource(InformationSource)

	The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.

pricingModel(PricingModel)

	Defines the types of pricing model used to evaluate the price of an asset.

time(dateTime)

	When the quote was observed or when a calculated value was generated.

valuationDate(date)

	When the quote was computed.

expiryTime(dateTime)

	When does the quote cease to be valid.

cashflowType(CashflowType)

	For cash flows, the type of the cash flows. Examples include: Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee, etc.

sensitivitySet(SensitivitySet)

name(string)

definitionReference(SensitivitySetDefinitionReference)

sensitivity(Sensitivity)

fxRate(FxRate)

quotedCurrencyPair(QuotedCurrencyPair)

Defines the two currencies for an FX trade and the quotation relationship between the two currencies.

currency1(Currency)

	The first currency specified when a pair of currencies is to be evaluated.

currency2(Currency)

	The second currency specified when a pair of currencies is to be evaluated.

quoteBasis(QuoteBasisEnum)

	The method by which the exchange rate is quoted.
	Currency1PerCurrency2;Currency2PerCurrency1;

rate(decimal)

	The rate of exchange between the two currencies of the leg of a deal. Must be specified with a quote basis.

valuationSet(ValuationSet)

name(string)

valuationScenario(ValuationScenario)

name(string)

valuationDate(IdentifiedDate)

marketReference(MarketReference)

shift(PricingParameterShift)

parameterReference(AssetOrTermPointOrPricingStructureReference)

shift(decimal)

shiftUnits(PriceQuoteUnits)

replacement(PricingInputReplacement)

originalInputReference(PricingStructureReference)

replacementInputReference(PricingStructureReference)

valuationScenarioReference(ValuationScenarioReference)

baseParty(PartyReference)

quotationCharacteristics(QuotationCharacteristics)

measureType(AssetMeasureType)

	The type of the value that is measured. This could be an NPV, a cash flow, a clean price, etc.

quoteUnits(PriceQuoteUnits)

	The optional units that the measure is expressed in. If not supplied, this is assumed to be a price/value in currency units.

side(QuotationSideEnum)

	The side (bid/mid/ask) of the measure.
	Bid;Ask;Mid;

currency(Currency)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

currencyType(ReportingCurrencyType)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

timing(QuoteTiming)

	When during a day the quote is for. Typically, if this element is supplied, the QuoteLocation needs also to be supplied.

Selecting one of variants:

businessCenter(BusinessCenter)

	A city or other business center.

exchangeId(ExchangeId)

	The exchange (e.g. stock or futures exchange) from which the quote is obtained.

informationSource(InformationSource)

	The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.

pricingModel(PricingModel)

	Defines the types of pricing model used to evaluate the price of an asset.

time(dateTime)

	When the quote was observed or when a calculated value was generated.

valuationDate(date)

	When the quote was computed.

expiryTime(dateTime)

	When does the quote cease to be valid.

cashflowType(CashflowType)

	For cash flows, the type of the cash flows. Examples include: Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee, etc.

sensitivitySetDefinition(SensitivitySetDefinition)

name(string)

sensitivityCharacteristics(QuotationCharacteristics)

measureType(AssetMeasureType)

	The type of the value that is measured. This could be an NPV, a cash flow, a clean price, etc.

quoteUnits(PriceQuoteUnits)

	The optional units that the measure is expressed in. If not supplied, this is assumed to be a price/value in currency units.

side(QuotationSideEnum)

	The side (bid/mid/ask) of the measure.
	Bid;Ask;Mid;

currency(Currency)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

currencyType(ReportingCurrencyType)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

timing(QuoteTiming)

	When during a day the quote is for. Typically, if this element is supplied, the QuoteLocation needs also to be supplied.

Selecting one of variants:

businessCenter(BusinessCenter)

	A city or other business center.

exchangeId(ExchangeId)

	The exchange (e.g. stock or futures exchange) from which the quote is obtained.

informationSource(InformationSource)

	The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.

pricingModel(PricingModel)

	Defines the types of pricing model used to evaluate the price of an asset.

time(dateTime)

	When the quote was observed or when a calculated value was generated.

valuationDate(date)

	When the quote was computed.

expiryTime(dateTime)

	When does the quote cease to be valid.

cashflowType(CashflowType)

	For cash flows, the type of the cash flows. Examples include: Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee, etc.

valuationScenarioReference(ValuationScenarioReference)

pricingInputType(PricingInputType)

pricingInputReference(PricingStructureReference)

scale(decimal)

sensitivityDefinition(SensitivityDefinition)

name(string)

valuationScenarioReference(ValuationScenarioReference)

Selecting one of variants:

Group

partialDerivative(PricingParameterDerivative)

description(string)

Selecting one of variants:

parameterReference(AssetOrTermPointOrPricingStructureReference)

inputDateReference(ValuationReference)

calculationProcedure(DerivativeCalculationProcedure)

method(DerivativeCalculationMethod)

Selecting one of variants:

Group

perturbationAmount(decimal)

averaged(boolean)

perturbationType(PerturbationType)

Group

derivativeFormula(string)

Group

replacementMarketInput(PricingStructureReference)

formula(DerivativeFormula)

Group

Selecting one of variants:

term(TimeDimension)

Selecting one of variants:

Sequence

date(date)

tenor(Period)

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

Group

Selecting one of variants:

coordinate(PricingDataPointCoordinate)

Selecting one of variants:

term(TimeDimension)

Selecting one of variants:

Sequence

date(date)

tenor(Period)

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

expiration(TimeDimension)

Selecting one of variants:

Sequence

date(date)

tenor(Period)

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

strike(decimal)

generic(GenericDimension)

string(string)

coordinateReference(PricingDataPointCoordinateReference)

calculationProcedure(DerivativeCalculationProcedure)

method(DerivativeCalculationMethod)

Selecting one of variants:

Group

perturbationAmount(decimal)

averaged(boolean)

perturbationType(PerturbationType)

Group

derivativeFormula(string)

Group

replacementMarketInput(PricingStructureReference)

detail(ValuationSetDetail)

assetValuation(AssetValuation)

objectReference(AnyAssetReference)

valuationScenarioReference(ValuationScenarioReference)

quote(Quotation)

value(decimal)

measureType(AssetMeasureType)

	The type of the value that is measured. This could be an NPV, a cash flow, a clean price, etc.

quoteUnits(PriceQuoteUnits)

	The optional units that the measure is expressed in. If not supplied, this is assumed to be a price/value in currency units.

side(QuotationSideEnum)

	The side (bid/mid/ask) of the measure.
	Bid;Ask;Mid;

currency(Currency)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

currencyType(ReportingCurrencyType)

	The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

timing(QuoteTiming)

	When during a day the quote is for. Typically, if this element is supplied, the QuoteLocation needs also to be supplied.

Selecting one of variants:

businessCenter(BusinessCenter)

	A city or other business center.

exchangeId(ExchangeId)

	The exchange (e.g. stock or futures exchange) from which the quote is obtained.

informationSource(InformationSource)

	The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.

pricingModel(PricingModel)

	Defines the types of pricing model used to evaluate the price of an asset.

time(dateTime)

	When the quote was observed or when a calculated value was generated.

valuationDate(date)

	When the quote was computed.

expiryTime(dateTime)

	When does the quote cease to be valid.

cashflowType(CashflowType)

	For cash flows, the type of the cash flows. Examples include: Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee, etc.

sensitivitySet(SensitivitySet)

name(string)

definitionReference(SensitivitySetDefinitionReference)

sensitivity(Sensitivity)

fxRate(FxRate)

quotedCurrencyPair(QuotedCurrencyPair)

Defines the two currencies for an FX trade and the quotation relationship between the two currencies.

currency1(Currency)

	The first currency specified when a pair of currencies is to be evaluated.

currency2(Currency)

	The second currency specified when a pair of currencies is to be evaluated.

quoteBasis(QuoteBasisEnum)

	The method by which the exchange rate is quoted.
	Currency1PerCurrency2;Currency2PerCurrency1;

rate(decimal)

	The rate of exchange between the two currencies of the leg of a deal. Must be specified with a quote basis.