8.2.4.2.2 Accounts – Derivatives Summary

This pre-built report, based on the Accounts subject area, delivers a high-level snapshot of an institution’s derivative exposure portfolio as of a specific date. It offers valuable insights into notional values and market positions, , enabling stakeholders to monitor portfolio positions of different types of derivatives effectively.

Tabular Data (Value by Product and Instrument Type)

This table provides a breakdown of derivative product types (Forwards, Future, Options, Swaps, Credit Derivatives) and displays their balance by instrument type of underlying product (Equity, Commodity, Forex, Interest rate, Credit). The values of derivative product type and underlying instrument type are not hard coded and will be displayed based on actual derivatives data loaded by the bank.

Table 8-4 Value by Product and Instrument Type

Instrument Type Forwards Future Options Swaps Credit Derivative
Equity 1,944,377 3,119,470 1,223,422 1,682,143 1,765,732
Commodity 1,745,131 2,157,887 1,399,406 1,567,381 411,408
Forex 1,219,397 2,892,709 1,034,113 1,269,609 758,671
Interest Rate 682,596 2,134,086 1,225,732 1,155,755 807,296
Credit 918,443 1,223,291 855,056 1,434,478 725,108

Table 8-5 Fair Value by product and Instrument Type

Instrument Type Instrument Type Description Forwards Future Options Swaps Credit Derivative
Equity Positive Fair Value 1599271.3 966806.5 823363.2 786198.6 416055
Equity Negative Fair Value -14873.2 -30692.1 -15208.8 -11493.7 -253309
Commodity Positive Fair Value 1491224.1 1528794.3 1759512.7 2025793 793067
Commodity Negative Fair Value -11835.9 -37570.2 -41187.1 -21249.5 -357225
Forex Positive Fair Value 623486.6 847360.8 606367.3 824300.4 662408
Forex Negative Fair Value -33700.4 -13255.7 -11020.6 0 0
Interest Rate Positive Fair Value 1126196.5 777706.6 1478005.8 803262.9 346157
Interest Rate Negative Fair Value -14886.7 -47041.4 -14092.5 0 -323767
Credit Positive Fair Value 1276353.1 429605 704020.9 768750.4 315706
Credit Negative Fair Value -14886.7 -16610.2 0 0 0

Derivative Performance Tracker

This shows a Derivative Performance Tracker visualized as a bar chart. It compares different derivative product types based on their notional amounts as of date.

Figure 8-51 Derivative Performance Tracker


Derivative Performance Tracker

Derivative Performance Tracker by Instrument Type

Purpose: Tracks overall derivative portfolio in graphical format based on Instrument type of underlying exposure.

Figure 8-52 Derivative Performance Tracker by Instrument Type


Derivative Performance Tracker by Instrument Type

Derivative Allocation Overview

Purpose: Displays portfolio distribution by various derivative types in the form of a pie chart.

Figure 8-53 Derivative Allocation Overview


Derivative Allocation Overview

Insights Provided:
  • Visual assessment of asset allocation
  • Highlights concentration risks
  • Supports diversification efforts

OTC vs. Exchange-Traded Derivatives Breakdown

Purpose: Compares notional exposure between OTC and exchange-traded contracts.

Figure 8-54 OTC vs Exchange Traded Derivatives Breakdown


OTC vs Exchange Traded Derivatives Breakdown

Insights Provided:
  • Highlights potential credit and counterparty risks associated with OTC Derivatives
  • Aids in assessing risk mitigation needs

Instrument Type Distribution

Purpose: Helps visualize proportion of each category of derivative based on underlying instrument type within the whole portfolio.

Figure 8-55 Instrument Type Distribution


Instrument Type Distribution

Insights Provided:
  • Detects over-concentration and potential risk hotspots
  • Enables proactive rebalancing and enhanced risk control