Item
1115 requires disclosure about derivatives whose primary purpose is not to
provide credit enhancement
-
Such as interest rate swaps and currency swaps
- Compare Item 1114
- Requires disclosure of selected financial
data about each derivative counterparty with a "maximum probable exposure"
amounting to 10% or more of the deal
- If the maximum probable exposure to a
derivative counterparty
amounts to 20% or more, then Item 1115 requires full financial disclosure
including financial statements
- Sponsor must estimate the "maximum
probable exposure" to each derivative counterparty
SEC
commentary
