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.
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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