Tuesday, January 8, 2019
A Look at Climate Change Disclosures

Wednesday, January 2, 2019
Quants: Point-in-Time Data for Backtesting

Friday, December 28, 2018
Now Showing: Controls & Procedures

Thursday, December 27, 2018
A Reminder on Non-GAAP Reporting Rules

Monday, December 17, 2018
Researching PG&E’s Wildfire Risk

Wednesday, December 12, 2018
Tracking Brexit Disclosures

Thursday, December 6, 2018
Campbell Soup: Looking Behind the Label

Sunday, December 2, 2018
SEC Comment Letters: The Amazon Example

Wednesday, November 28, 2018
Measuring Big Pharma’s Chemical Dependency

Monday, November 26, 2018
Analysts, Can You Relate? A True Story

Monday, November 19, 2018
Digging Up Historical Trend Data: Quest Example

Sunday, November 11, 2018
Cost of Revenue, SG&A: Q3 Update

Monday, November 5, 2018
Lease Accounting: FedEx vs. UPS

Saturday, November 3, 2018
New Email Alerting Powers

Wednesday, October 31, 2018
PTC and Two Tales of Revenue

Tuesday, October 30, 2018
10-K/Q Section Text Change Detection

Sunday, October 28, 2018
Finding Purchase Price Allocation

Sunday, October 21, 2018
Charting Netflix Growth in Three Ways

Wednesday, October 17, 2018
Interesting Data on Interest Income

Thursday, October 11, 2018
The Decline of Sears in Three Charts

Archive  |  Search:
Derivative Instruments in the S&P 500
Wednesday, October 12, 2016

Warren Buffett once described derivatives as “weapons of financial mass destruction,” and after the 2008 financial crisis, we can’t really dispute that claim—but derivatives do serve plenty of useful purposes, too. They can hedge against foreign exchange rates (see our post on that from a few weeks ago), or volatile fuel prices, interest rates, and so forth.

The accounting for hedging can be very complicated, with lots of estimations for what the fair value of a derivative is. The value of derivatives can also stack up quite a bit on the balance sheet. How high? Well, we looked at the total and average fair value of derivative assets and liabilities reported by the S&P 500 over the last five years. We have two charts for you.

Figure 1, below, shows the total value of derivative assets and liabilities, 2011 to 2015. As you can see, they fluctuate from $5 trillion to $3 trillion, although assets usually exceed liabilities.

Figure 2, below, shows the average per filer. Same rough pattern, although this time across a wider range of $18 billion to $9 billion.

You can run similar analyses from our Data Query page, across larger populations of companies, industry sectors, or peer groups you build yourself. Then just look for derivatives among the many footnotes that Calcbench tracks in our databases, and you’re off to the races.

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