Cyber*School

Daily adaptation of the deposited margin (safety requirements) on the basis of market risk.

abbr. Delta Added Value on Equity

A stock index that represents 30 of the largest and most liquid German companies that trade on the Frankfurt Exchange. The prices used to calculate the DAX Index come through Xetra, an electronic trading system. DAX member companies represent roughly 75% of the aggregate market cap that trades on the Frankfurt Exchange.

Market participants who try to identify and exploit daily trends. Often, the positions are held only for minutes or hours, or are at least closed out on the same day by offsetting transactions.

see intraday limit

A type of debt instrument that is not secured by physical assets or collateral. Debentures are backed only by the general creditworthiness and reputation of the issuer. Both corporations and governments frequently issue this type of bond in order to secure capital. Like other types of bonds, debentures are documented in an indenture.

In the balance sheet of a company's reported debt of a company with varying maturities. Extensive borrowing, increasing the risk of liquidity problems and repayment difficulties.

(Disagio) The debt discount gives the difference between the issue rate and the higher nominal value or repayment course of a loan (issue discount). An issue of shares with discount is not allowed in Germany, with fixed-interest securities it is usual. Opposite: Premium

Debt securities include the right to regain a certain amount after a certain time from the issuer and earn interest during the term.

They arise in the profit centers (home and corporate customer business, branch offices) and are directly attributable to customer business.

According to the Basel Committee, a default is considered to have occurred when either or both of the two following events have taken place:1) The bank considers that the obligor is unlikely to pay its credit obligation in full2) The obligor is past due more than 90 days

Government bonds, which can be delivered in fulfillment of the bond futures.

Fulfilling the obligations in the allocation of a particular call option writer. For certain options (index options) delivery and payment are replaced by cash settlement.

Day on which, in fulfillment of a futures contract, the actual delivery of the underlying takes place.

That month in which the last day of trading for a particular future is situated and where it finally comes to the settlement of the future transaction .

risk factor of options expresses, how much the price of an option changes, if der value of the underlying increases by one unit e.g.: call EURUSD with delta of 0.35 (resp. 35%) meaning: if EURUSD increases by 1 USD ct the price of the option increases by 0.35 USD ct the value of delta is always between 0 and 1 (resp. -1)

The change in operating excess profit. Therefore it is the value created in a given period.

Balances for which the maturity or notice period is not fixed.

Monetary policy instruments of the ESCB, which offers banks the possibility of assessing central bank money overnight at the national central bank at a predetermined interest rate. The interest rate on this constant facility provides the lower limit for the overnight rate, and is therefore one of the key interest rates of the ESCB. As part of the money market operations by the federal bank, this function was taken over from the discount rate earlier.

Deposit-taking businesses are all deposits of the bank. The customer leaves his money to the bank. In return the bank will pay him interest. These transactions are recorded on the liabilities side of the bank's balance sheet.

abbr. American Depository Receipt (ADR)

Deposits at notice funds have a fixed period of notice. A disposition of the funds is therefore possible only after cancellation and expiry of the notice period. In case of deposits at notice the interest rate is variable, unless stipulated otherwise. Interest will be credited after termination or maturity.

A contract where the price is depends on or is derived from one or more underlying assets. The derivative itself is merely a contract between two or more parties. Its value is determined by fluctuations in the underlying asset. The most common underlying assets include stocks, bonds, commodities, currencies, interest rates and market indexes. Most derivatives are characterized by high leverage.

an instrument which is derived from underlying instruments,basically there are two types: forward contracts and option contracts

The term is used under Basel II's discussion of purchased receivables. Dilution risk refers to the possibility that the receivable amount is reduced through cash or non-cash credits to the obligor

Direct costs represent decentralized and centralized unit costs.

In a self-emission the issuing entity is independent endeavor to place the securities in the market.

Legislation (eg the European Community), which is addressed to the Member States and the obligation to achieve certain goals. Example: EU directives on capital adequacy

price of a bond which contains accrued interests,The dirty price is that price which has to be paid if a bond is purchased.opposite: clean price

Amount by which an instrument sells under par.

Calculation of the present value of a future amount is done in reverse direction as the discounting.

by means of the discountfactor a future value can be converted into a present value,This can be done, by multiply the future value by the discountfactor. The discountfactor can be derived from the zero-coupon rates.

instruments issued at a discount and redeemed at the nominal valueThe yield results from the difference between purchase price and redemption. Discont instruments are t-bills, bill of exchange, commercial papersper contra: couponinstruments are issued at the nominal value and paid off at nominal value plus interest

A disocunt rate is a rate where the interest payments are calculated - in contrast to normal interest rates - on the basis of the repayment value. The term discount rate is also often used in conjunction with the rate at which commercial banks may sell bills of exchange to the central bank

Equity, which is not bound by fixed assets, or the risks in the banking book and trading book.

The payment of dividends, bonuses, liquidation proceeds, etc. to the shareholders. For distributing securities, the income is collected until the date of payment and then (usually once a year) distributed. On the day of distribution the value of the underlying security decreases by the distribution amount.

Investment income (long and short-term nature), interest or dividends paid to bond and equity holders. The distribution may be paid in cash (cash dividend) or in shares (stock dividend).

a simple risk management technique that mixes a wide variety of investments within a portfolio, thus minimising the impact of any one security on overall portfolio performance

Periodic distribution of a company to its shareholders. The indication of the amount is generally done as a dividend per share. Dividends are income components, which are not reinvested by the company.

see Ex-dividend

A financial ratio that shows how much a company pays out in dividends each year relative to its share price. In the absence of any capital gains, the dividend yield is the return on investment for a stock. Dividend yield is calculated as follows: Annual dividends per share/Price per share. This ratio can be calculated either on the basis of the currently paid dividend or on the basis of expected future dividends.

abbr. Dow Jones Index

a repo at which the purchaser is allowed to return another paper at maturity (but with agreed qualitiy)

a bond which is issued by a domestic issuer in his home country under domestic law in domestic currency

A bond that is issued by a domestic issuer in the home country under domestic law in domestic currency.

Repeated use of a security as collateral in a repo. This practice is not allowed and is only possible if the seller fails to deliver the securities to the buyer.

The Dow Jones Industrial Average (Index) contains the 30 largest industrial companies of the New York Stock Exchange and was first published in 1897. It was designed as a price index and is computed continuously (real-time).

the process of an issuer's debt securities' ratings being lowered by a rating agency (see also rating, upgrade)

(Probability of failure during economic downturn) is the highest observable PD over a predetermined period of time (either on the class level or portfolio level).

cp. bill of exchange

This bond has the particularity that the issuer is a foreigner, but the bond is acquired with the domestic currency (eg EUR), the interest is paid in EUR, but repayment has to be made in the currency of the issuer.

also called: simple duration, Macauley durationpoint in time, when the loss of a bond, due to an increase of interest rates, is offset by the higher return of the re-investment of coupon payments and vice versathe simple duration is distinct from the modified duration

method of allocation at interest tenders, where all bids are allocated at the same interest rate This interest rate is called marginal interest rate (=lowest accepted bid) opposite: american-style tender

abbr. Dollar value of a 01 same meaning as BVBP