Series 50: Derivatives Disclosure

Derivatives Disclosure

Derivatives are investments whose values are determined from, or derived from, the value of other investments to which they are linked. This includes swaps and options.

The GASB identifies the risks posed to municipalities by derivatives, including credit risk, termination risk, and interest rate risk, and requires that information about these derivatives be made known to the public.

To that end, the GASB requires that the “fair value” of a derivative be listed in the notes section of the CAFR financial statements. Fair value in this instance means the amount of money the d