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Glenn Hegar  ·  Texas Comptroller of Public Accounts

Reporting Requirements for Annual Financial Reports of State Agencies and Universities

Notes & Samples

NOTE 7 – Derivatives
Hedging Derivative Disclosures Overview

Agencies must disclose the following information for all hedging derivative instruments using a combination of text and tables:

  1. Objectives of the derivatives:
    • The objectives for entering into the derivative instrument
    • The context needed to understand those objectives
    • The strategies for achieving those objectives
    • The types of derivative instruments entered into
  2. Significant terms:
    • Notional amount
    • Reference rates (such as indexes or interest rates)
    • Embedded options (such as caps, floors or collars)
    • The date when the derivative instrument was entered into and the date it is scheduled to terminate or mature
    • The amount of cash paid or received, if any, at the time a forward contract or swap (including swaptions) was entered into
  3. Risks – The agency’s exposure to the risks that exist at the end of the reporting period by type of risk. These disclosures are presented in the context of a derivative instrument’s risk.
Glenn Hegar
Texas Comptroller of Public Accounts
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