Page 36 - PRIAA Glossary

CONCENTRATION LIMIT
A requirement to diversify a collateral portfolio via a percentage threshold for a certain type of collateral that can make up a party’s margin account. For example, a party may determine that no more than 5% of the counterparty’s collateral portfolio be Greek debt.
CONDITIONAL VaR (CVaR)
In managing portfolio risk, a technique used to control the occurrence of a large loss that might be found in the tail of a distribution curve for portfolio returns, which is not captured in traditional VaR methods using a simple normal curve.
By assessing the likelihood (at a specific confidence level) that a specific loss will exceed the value at risk, conditional VaR provides a better means to calculate and manage for expected loss in a specified portfolio.
CONDITIONAL VARIANCE SWAP
A variance swap which accrues realised volatility only when the previous day’s underlying price falls within a pre- specified range. There are three main types of conditional variance swaps: up-variance, down-variance and corridor variance swaps.
CONFIRMATION
A written record of the contractual trading terms agreed between two counterparties setting out the economic terms of an individual over-the-counter (OTC) transaction.
CONSECUTIVE VOYAGE CHARTERS (CVC)
A contract in which the charterer hires a particular vessel for two or more voyages. Freight is determined based on
the volumes of cargo carried and the voyages performed. As opposed to a time charter, any delays during the ballast voyage, such as weather delays, are for the owner’s account.
CONSENT EQUALS CONFIRMATION (C=C)
An automated, single-step process for novations of credit derivative transactions where the action of the consent by the three parties to the novation on the novation consent platform results in the automatically generated legal confirmation in the Trade Information Warehouse (TIW).
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