Gross Negative Fair Value - GNFV

An assessment of the total fair value of a financial institution's (FI) contracts in which the FI currently has a balance outstanding to the counterparty. In order for the gross negative fair value to represent the maximum amount that would be lost by all counterparties if the FI becomes insolvent, it is assumed that contracts are not netted and that the other party does not have claims on the FI's assets.

Along with gross positive fair value, this value can serve as an estimate to the FI's credit-derivative exposure. Carefully keeping track of these figures can contribute to controlling the FI's exposure to derivatives, because solvency issues can quickly emerge in situations where the market turns against the derivative positions held by the FI.