See overnight.

Obligation Assimilable du Trésor, French Treasury bond.

See netting.

See broken date.

If a market maker says “Off!”, he means “The price that I last quoted is no longer valid”.

An instrument where the principal amount is either not transferred, or is transferred simultaneously in both directions.

(Or ask).  In general, the price at which the dealer quoting a price is prepared to sell or lend. The offer price of a foreign exchange quotation is the rate at which the dealer will sell the base currency and buy the variable currency.  The offer rate in a deposit quotation is the interest rate at which the dealer will lend the currency involved.  The offer rate in a repo is the interest rate at which the dealer will lend the collateral and borrow the cash.

A rate which is not the current market rate.

The value date for the second leg of a repo.

Obligation Linéaire Obligatie, Belgian government bond.

The value date for the first leg of a repo.

The quantity of futures contracts (of a particular specification) which have not yet been closed out by reversing.  Either all long positions or all short positions are counted but not both.

Trading face-to-face on a physical exchange.

A repo with no fixed maturity.  The repo is generally rolled over each day at a new repo rate, although the rate could instead be re-fixed at longer intervals, such as monthly.  Same as day-to-day repo.

The risk of losses due to failures in the bank’s operations generally.

An option is the right, without any obligation, to undertake a particular deal at predetermined rates.  See call, put.

See time option.

See over the counter.

A call (put) option is out-of-the-money if the underlying is currently less (more) valuable than the strike price.  (For a European option, typically considers the underlying’s current forward price rather than it’s current spot price).  See at-the-money, in-the-money.

A foreign exchange forward or short-date deal is an outright if it involves a single settlement of one currency against another, as opposed to an FX swap, which involves two settlements.

(Or OTC).  An OTC transaction is one dealt privately between any two parties, with all details agreed between them, as opposed to one dealt on an exchange  -  for example a forward deal as opposed to a futures contract.

A position in which a dealer's liabilities (borrowings taken in) are of longer maturity than the assets (loans out).

(Or O/N or today/tomorrow).  A deal from today until the next working day ('tomorrow')

The maximum size of a position which a dealer is allowed to take overnight.

A bank’s available capital and reserves for the purposes of capital adequacy rules.

In foreign exchange, when the outright and spot exchange rates are equal, the forward swap is zero or par.

When the price of a security is equal to the face value, usually expressed as 100, it is said to be trading at par.

A par swap rate is the current market rate for a fixed interest rate swap against LIBOR.

A curve plotting maturity against yield for bonds priced at par.

The official rate of exchange for one currency in terms of another which a government is obliged to maintain by means of intervention.

A product equivalent to a straightforward option plus a forward deal, but structured as a forward deal at an off-market rate plus the opportunity to benefit partially if the market rate improves.

A path-dependent option is one which depends on what happens to the underlying throughout the option's life (such as an American or barrier option) rather than only at expiry (a European option).

The person to whom something is payable (for example, a bill of exchange).

See PvP.

Short for 'Pension Livrée'. Classic repo in the French domestic market.

See points.

The first stage of money laundering, in which the cash is placed in the financial system.  See layering, integration.

See vanilla.

The last two decimal places in an exchange rate.  For example, when EUR/USD is 1.2510 / 1.2520, the points are 10 / 20.  See big figure.

Same as market risk, used particularly in capital adequacy calculations.

See normal yield curve.

See purchasing power parity.

Gold, silver, palladium, platinum, and the other platinum group metals (rhodium, ruthenium, iridium and osmium).

The amount by which a currency is more expensive, in terms of another currency, for future delivery than for spot, is the forward premium (in general, a reflection of interest rate differentials between two currencies).  If an exchange rate is 'at a premium' (without specifying to which of the two currencies this refers), this generally means that the variable currency is at a premium.  See discount.

An option premium is the amount paid up-front by the purchaser of the option to the writer.

The amount of money which needs to be invested now to achieve a given amount in the future when interest is added.  See time value of money, future value.

Securities lending in France.

(As defined in the GMRA) the accrued interest on the cash lent in a repo.

See conversion factor.

(As defined in the GMRA) same as the repo rate.

The primary market for a security refers to its original issue.  See secondary market.

A description of how likely any one of a series of numbers is to occur.

The mathematical description of how probable it is that the value of something is less than or equal to a particular level.

A written promise to pay.

The delivery date for a commodity futures contract or the date on which the buyer of the option will buy or sell the underlying commodity if a option is exercised.

The front month  - i.e. the nearest expiring futures contract  - in commodities.

A member of a futures exchange able to enter into transactions on behalf of customers.

(As defined in the GMRA) in a classic repo, the cash originally lent (effectively the dirty price adjusted for haircut).  In a buy / sell-back, the original clean price transacted at the beginning.

The idea that a currency’s exchange rate must move, in the long term, to adjust for inflation differentials against other countries.  See fundamental equilibrium exchange rate.

A put option is an option to sell the commodity or instrument underlying the option.  See call.

Payment versus payment, in which settlement of cash payments from one institution to another is made through a clearing mechanism which allows for the payments to be transferred finally only when any payments due in the opposite direction from the same institution are made simultaneously.  See DvP.

A swap where the payments on one or both legs are based on a measurement (such as the interest rate) in one currency but payable in another currency.

The regular date on which a coupon payment would be scheduled if there were one.  Used for price / yield calculations for zero-coupon instruments.

See variable currency

A zero-cost collar where the customer is obliged to deal with the same bank at spot if neither limit of the collar is breached at expiry.

An effective exchange rate adjusted for inflation differentials between countries.

Rebate:

The interest paid on cash collateral in a securities lending transaction.

An exchange rate quoted in such a way that the base currency and variable currency are reversed.

Checking the entries shown on an account statement (for example the bank’s nostro account statement) with the bank’s internal records (for example the accounting ledgers) to ensure that they correspond exactly.

A coupon or other payment due on a security is paid by the issuer to whoever is registered on the record date as being the owner.  See ex-dividend, cum-dividend.

A security is said to be redeemed when the principal is repaid by the issuer.

A security where ownership for the purpose of paying coupons and principal is determined by whoever is recorded centrally as the owner.  There might or might not also be a physical piece of paper evidencing ownership.  See bearer security.

The risk of losing an unrealised profit because the counterparty defaults.

(Or RP).  Usually refers in particular to classic repo.  Also used as a term to include classic repos, buy/sell-backs (and sometimes also securities lending).

See repo.

(As defined in the GMRA) in a classic repo, the current value of the cash loan  -  that is, the original cash loan plus accrued interest on it so far, at any time during the transaction.  See sell back price.

The risk of damage to a bank’s reputation.

An official one-off increase in the value of a currency in terms of other currencies.  See devaluation.

See reverse repo.

(Or reverse).  The opposite of a repo.

A reverse repo with the same maturity date as the security used for collateral.

The change in an option's value relative to a change in interest rates.

The ratio of a bank’s own funds to its risk-weighted assets.

Purchase (or sale) of a call option (generally at a higher strike), combined with the sale (or purchase) of a put option (generally at a lower strike).

A variance / covariance model for VaR, made available by JP Morgan.

The money which a bank has put at risk for the purposes of capital adequacy rules.

See tom/next.  Also refers to renewal of a loan.

See Repo.

Real time gross settlement system, in which each payment instruction is effected immediately in full, as it is received, provided that the payer has enough funds.