US GAAP Disclosure List 2017

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Schedule of Derivative Instruments


ItemTypePeriodBalanceDescription
Derivative textSchedule that describes and identifies a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.
Derivative Instrument textInformation by type of derivative contract.
Derivative textLine items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table.
Energy textInformation by type of energy source.
Variable Rate textInformation by type of variable rate.
Position textInformation by position taken for a security.
Range textInformation by range, including, but not limited to, upper and lower bounds.
Derivative Contract durationFinancial instrument or contract with one or more underlyings, notional amount or payment provision or both, and the contract can be net settled by means outside the contract or delivery of an asset.
Derivative, Net Hedge Ineffectiveness Gain (Loss)$durationcreditAmount of gain (loss) from the ineffectiveness of the hedge.
Notional Disclosures text
Derivative Instruments Not Designated as Hedging Instruments text
Derivative, Description of TermstextDescription of the relevant terms of the derivative. Includes the type of instrument, risk being hedged, notional amount, counterparty, inception date, maturity date, relevant interest rates, strike price, cap price, and floor price.
Derivative, Term of ContractdurationPeriod the derivative contract is outstanding, in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days.
Derivative, Type of InstrumenttextDescription of the type of derivative instrument, such as a swap, forward, and option. Excludes the underlying risk of the instrument.
Derivative, Number of Instruments Held, TotalinstantThe number of derivative instruments of a particular group held by the entity.
Derivative, Underlying Risk, DescriptiontextDescription of primary underlying risk exposure associated with the derivative, for example, but not limited to, interest rate risk, credit risk, foreign exchange rate risk, or price risk.
Derivative, Description of ObjectivetextDescription of the reasons for holding or issuing the derivative instrument. Includes discussion of the objective for holding the instrument, the context needed to understand that objective, and the strategy for achieving the objective.
Derivative, Description of Hedged ItemtextDescription of the hedged item related to the derivative. Includes the type of instrument hedged, contract amount, term, and so forth.
Derivative, Fair Value, Net text
Derivative, Fair Value, Amount Offset Against Collateral, Net text
Derivative, Amount of Hedged Item$instantAmount of the hedged item as of the balance sheet date related to the derivative. For example, the hedged balance on a debt instrument.
Derivative Credit Risk Valuation Adjustment, Derivative Assets$instantcreditAmount of credit risk valuation adjustment to derivative assets to properly reflect the credit quality of the counterparties.
Derivative Credit Risk Valuation Adjustment, Derivative Liabilities$instantdebitAmount of credit risk valuation adjustment to derivative liabilities to properly reflect the credit quality of the entity.
Derivative, Inception DatedatedurationDate the entity entered into the derivative contract, in CCYY-MM-DD format.
Derivative, Maturity DatedatedurationDate the derivative contract matures, in CCYY-MM-DD format.
Derivative, Remaining MaturitydurationPeriod remaining until the derivative contract matures, in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days.
Derivative, Average Remaining MaturitydurationAverage remaining period until maturity of the derivative contract, in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days.
Derivative, Fixed Interest Rate%instantFixed interest rate related to the interest rate derivative.
Derivative, Average Fixed Interest Rate%instantAverage fixed interest rate related to the group of interest rate derivatives.
Derivative, Variable Interest Rate%instantVariable interest rate in effect as of the balance sheet date related to the interest rate derivative.
Derivative, Average Variable Interest Rate%instantAverage variable interest rate related to the group of interest rate derivatives.
Derivative, Basis Spread on Variable Rate%instantThe percentage points added to the reference rate to compute the variable rate on the interest rate derivative.
Derivative, Average Basis Spread on Variable Rate%instantThe average percentage points added to the reference rate to compute the variable rate on the group of interest rate derivatives.
Derivative, Forward Interest Rate%instantStated rate on an interest rate forward or futures contract.
Derivative, Average Forward Interest Rate%instantAverage stated rate on a group of interest rate forward or futures contracts.
Derivative, Cap Interest Rate%instantCap rate on an interest rate derivative such as an interest rate cap or collar. If market rates exceed the cap rate, a payment or receipt is triggered on the contract.
Derivative, Average Cap Interest Rate%instantAverage cap rate on a group of interest rate derivatives, such as interest rate caps or collars. If market rates exceed the cap rate, a payment or receipt is triggered on the contract.
Derivative, Floor Interest Rate%instantFloor rate on an interest rate derivative such as an interest rate floor or collar. If market rates falls below the floor rate, a payment or receipt is triggered on the contract.
Derivative, Average Floor Interest Rate%instantAverage floor rate on a group of interest rate derivatives, such as interest rate floor or collars. If market rates fall below the floor rate, a payment or receipt is triggered on the contract.
Derivative, Swaption Interest Rate%instantFixed interest rate that will be received or paid upon exercise of the interest rate swaption contract.
Derivative, Average Swaption Interest Rate%instantAverage fixed interest rate that will be received or paid upon exercise of a group of interest rate swaption contracts.
Derivative, Currency BoughttextIdentification of the specific currency to be purchased upon settlement or exercise of the foreign currency derivative.
Derivative, Currency SoldtextIdentification of the specific currency to be sold upon settlement or exercise of the foreign currency derivative.
Derivative, UnderlyingtextThe underlying refers to the price on the security, commodity, index, or other variable specified by the contract.
Derivative, Underlying BasistextReference to the index or unit of measurement for the underlying which establishes the pricing terms of the derivative instrument. For example, the basis on the underlying for a natural gas futures contract might be the NYMEX price per million British thermal units (MMBtu).
Derivative, Forward Exchange RateinstantContractual rate at which a foreign currency can be purchased or sold.
Derivative, Average Forward Exchange RateinstantAverage contractual rate at which a foreign currency can be purchased or sold.
Derivative, Foreign Currency Option Strike PriceinstantThe strike price on the foreign currency option contract such as a put option or a call option.
Derivative, Average Foreign Currency Option Strike PriceinstantThe average strike price on a group of foreign currency option contracts such as put options or call options.
Derivative, Exchange Rate CapinstantCap rate on a foreign currency derivative for example, but not limited to, a cap or a collar.
Derivative, Average Exchange Rate CapinstantAverage cap rate on a group of foreign currency derivatives for example, but not limited to, caps or collars.
Derivative, Exchange Rate FloorinstantFloor rate on a foreign currency derivative for example, but not limited to, a floor or a collar.
Derivative, Average Exchange Rate FloorinstantAverage floor rate on a group of foreign currency derivatives for example, but not limited to, floors or collars.
Derivative, Forward PriceinstantThe forward price on the price risk forward or futures contract, such as a gas futures contract.
Derivative, Average Price Risk Option Strike PriceinstantThe average strike price on the group of price risk option contracts such as put options or call options.
Derivative, Cap PriceinstantThe cap rate on a price risk derivative such as a cap or collar. A payment or receipt is triggered if the market rate exceeds the cap rate on the contract.
Derivative, Average Cap PriceinstantThe average cap rate on a group of price risk derivatives such as caps or collars. A payment or receipt is triggered if the market rate exceeds the cap rate on the contract.
Derivative, Floor PriceinstantFloor rate on a price risk derivative such as a floor or a collar. A payment or receipt is triggered if the market rate falls below the floor rate on the contract.
Derivative, Average Floor PriceinstantThe average floor rate on a group of price risk derivatives such as floors or collars. A payment or receipt is triggered if the market rate falls below the floor rate on the contract.
Derivative, Swap TypetextIndicates whether the entity pays a variable or fixed price on a price risk swap.
Derivative, Price Risk Option Strike PriceinstantThe strike price on the price risk option contract such as a put option or a call option.
Derivative, Average Forward PriceinstantThe average forward price on the group of price risk forward or futures contracts, such as gas futures contracts.
Derivative, Cost of Hedge Net of Cash Received text
Derivative, Collateral text
Derivative, Nonmonetary Notional Amount, Percent of Required Need, Coverage%instantThe percentage of expected requirements covered by the aggregate notional amount of derivative contracts expressed in nonmonetary units. For example, the number of barrels specified in a fuel oil forward purchase contract as a percentage of expected need.
Energy durationCombustible material used to power engines, power plants or reactors. Examples include, but are not limited to, fuel and oil.
Variable Rate durationInterest rate that fluctuates over time as a result of an underlying benchmark interest rate or index.
Position durationIndicates position taken for a security.
Range durationExtent of variation, for example, but not limited to, upper and lower bounds.

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