US GAAP Disclosure List 2017

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Foreign Exchange Contract


ItemTypePeriodBalanceDescription
Currency Swap durationSwap involving the exchange of principal and interest in one currency for another currency.
Foreign Exchange Forward durationForeign exchange forward traded on an exchange (examples include but are not limited to the International Securities Exchange, Philadelphia Stock Exchange, or the Chicago Mercantile Exchange) for options or future contracts to buy or sell a certain currency, at a specified date, at a fixed exercise exchange rate.
Foreign Exchange Future durationA standardized contract, traded on a futures exchange, to buy or sell a certain currency, at a specified future date, at a fixed exercise rate (expressed as an exchange).
Eurodollar Future durationA standardized contract, traded on a futures exchange, to buy or sell a 90-day Eurodollar time deposit at a certain date in the future, at a certain yield. At expiration, the official rate quoted on a 90-day Eurodollar time deposit by the British Bankers Association (BBA) determines the final settlement. Eurodollar futures contracts do not permit actual delivery of a Eurodollar time deposit; rather they settle in cash.
Foreign Exchange Option durationAn option that allows the holder to buy (if call) or sell (if put) an underlying currency at a fixed exercise rate, expressed as an exchange, during a specified period (an American option) or at a specified date (a European option).

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