Enumeration | Definition |
---|---|
Commodities - exotic | Commodity products not included in the "Commodities - vanilla" portfolio. |
Commodities - vanilla | Firms may use their judgement to determine what products to include as vanilla. Likely to include commodity futures and vanilla options. |
Credit - exotic | Credit products not included in the "Credit - vanilla" portfolio. |
Credit - vanilla | Firms may use their judgement to determine what products to include as vanilla. Likely to include liquid single name CDS and liquid indices. |
Emerging markets | Emerging market products not reported elsewhere. |
Equities - exotic | Equity products not included in the "Equities - vanilla" portfolio. |
Equities - vanilla | Firms may use their judgement to determine what products to include as vanilla. Likely to include cash equities, equity futures and vanilla equity options. |
FX - exotic | FX products not included in the "FX - vanilla" portfolio. |
FX - vanilla | Firms may use their judgement to determine what products to include as vanilla. Likely to include FX spot, swaps, forwards and vanilla options. |
Hybrid instruments | Products involving more than one asset class. |
Non-trading book positions accounted at fair value | Assets and liabilities outside of the trading book that are recognised at fair value. |
Other portfolios | Products not included in any other PVAportfolio enumeration. |
Rates - exotic | Rates products not included in the "Rates - vanilla" portfolio. |
Rates - vanilla | Firms may use their judgement to determine what products to include as vanilla. Likely to include linear rates products and vanilla swaptions. |
Securitised products | Securitised products. |