Glossary
Updated 1 April 2019
This glossary offers definitions of technical terms commonly used in the BIS Quarterly Review.
The glossary is also available as a PDF file in Chinese, French, German, Italian and Spanish. Last update in April 2019.
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gross market value
Sum of the absolute values of all outstanding derivatives contracts with either positive or negative replacement values evaluated at market prices prevailing on the reporting date. Thus, the gross positive market value of a dealer's outstanding contracts is the sum of the replacement values of all contracts that are in a current gain position to the reporter at current market prices (and therefore, if they were settled immediately, would represent claims on counterparties). The gross negative market value is the sum of the values of all contracts that have a negative value on the reporting date (ie those that are in a current loss position and therefore, if they were settled immediately, would represent liabilities of the dealer to its counterparties). The term "gross" indicates that contracts with positive and negative replacement values with the same counterparty are not netted. Nor are the sums of positive and negative contract values within a market risk category such as foreign exchange contracts, interest rate contracts, equities and commodities set off against one another. Gross market values supply information about the potential scale of market risk in derivatives transactions and of the associated financial risk transfer taking place. Furthermore, gross market value provides a measure of economic significance that is readily comparable across markets and products.
Updated: 11 Dec 2016
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B
bank banking office banks and securities firms bilateral netting agreement BIS reporting area BIS reporting country BIS reporting institution branch break- and exchange rate-adjusted change broad debt
C
CBS-reporting country central bank central counterparty (CCP) claim commercial property price index (CPPI) commodity forward commodity option commodity swap compression consolidated banking statistics (CBS) consortium bank consumer price index (CPI) controlling parent core debt countercyclical capital buffer (CCyB) counterparty counterparty country country credit commitment credit default swap (CDS) credit derivative credit-to-GDP gap cross-border position currency option currency swap
D
daily average turnover debt instrument debt security debt service ratio (DSR) debt, core and broad derivative derivative claim domestic bank domestic claim domestic debt security (DDS)
E
effective exchange rate (EER) entity equity forward equity option equity swap eurobond exchange rate external position
F
face value financial asset financial corporation financial institution fixed interest rate foreign bank foreign bond foreign claim foreign exchange swap forward contract forward rate agreement (FRA)
G
general government gross credit exposure gross issuance gross market value guarantees extended guarantor basis
H
head office hedge fund Herfindahl index high-frequency trading (HFT) Hodrick-Prescott (HP) filter home country host country household
I
immediate counterparty basis immediate issuer index product institutional investor inter-office interbank interest rate option interest rate swap international banking facility (IBF) international claim international debt security (IDS) international organisation intragroup
L
LBS by nationality (LBSN) LBS by residence (LBSR) LBS-reporting country loans and deposits local currency local position locational banking statistics (LBS) long-term
N
nationality negotiable instrument net issuance net market value net risk transfer netting agreement nominal effective exchange rate (NEER) nominal value non-bank non-bank financial corporation non-bank financial institution non-bank private sector non-financial corporation non-financial customer non-financial private sector non-financial sector non-local currency non-profit institution serving households (NPISH) non-reporting bank notional amount outstanding novation
O
official financial institutions official monetary authority official sector open interest original maturity outright forward own office
P
parent bank parent country policy rate position private non-financial sector proprietary trading proprietary trading firm (PTF)
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gross market value
Sum of the absolute values of all outstanding derivatives contracts with either positive or negative replacement values evaluated at market prices prevailing on the reporting date. Thus, the gross positive market value of a dealer's outstanding contracts is the sum of the replacement values of all contracts that are in a current gain position to the reporter at current market prices (and therefore, if they were settled immediately, would represent claims on counterparties). The gross negative market value is the sum of the values of all contracts that have a negative value on the reporting date (ie those that are in a current loss position and therefore, if they were settled immediately, would represent liabilities of the dealer to its counterparties). The term "gross" indicates that contracts with positive and negative replacement values with the same counterparty are not netted. Nor are the sums of positive and negative contract values within a market risk category such as foreign exchange contracts, interest rate contracts, equities and commodities set off against one another. Gross market values supply information about the potential scale of market risk in derivatives transactions and of the associated financial risk transfer taking place. Furthermore, gross market value provides a measure of economic significance that is readily comparable across markets and products.
Updated: 11 Dec 2016
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