Reporting Requirements for Annual Financial Reports of State Agencies and Universities
Notes & Samples
NOTE 7 – Derivative Instruments
Hedging Derivative Instruments Disclosures Overview
Agencies must disclose the following information for all hedging derivative instruments using a combination of text and tables:
- Objectives of the derivative instruments:
- 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
- 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
- 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.