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The following table explains how LUSID calculates exposure for supported instruments.

You can report the result when you perform a valuation using the Valuation/Exposure/Amount metric. See all available metrics.

InstrumentLUSID exposure calculation
Bond(Price/100 * Face Amount) + Accrued
TermDeposit(Price/100 * Face Amount) + Accrued
InterestRateSwapFixed Leg Notional
InterestRateSwaptionFixed Leg Notional (of the reference swap) * Delta
ForwardRateAgreementNotional Value
CapFloorNotional Value
CreditDefaultSwapNotional Value
CdsIndexNotional Value
FxForwardFX ForwardThe sum of the non-report ccy notionals, converted to report ccy. Long ccy notional & Short ccy notional may also be returned.
FX SpotThe sum of the non-report ccy notionals, converted to report ccy. Long ccy notional & Short ccy notional may also be returned.
FxOptionQTY * FX Spot * Delta
RepoMarket Value of Underlying Bond
EquityOptionEquity Option OTCQTY * Contract Size * Underlying Equity Price * Delta
Index Option OTCQTY * Contract Size * Underlying Index Price * Delta
Warrants and RightsQTY * Contract Size * Underlying Equity Price * Delta
FutureEquity FutureQTY * Contract Size * Equity Future Price
Bond FutureQTY * Contract Size * Bond Future Price
Index FutureQTY * Contract Size * Index Future Price
Currency FutureQTY * Contract Size
Interest Rate FutureQTY * Contract Size
ExchangeTradedOptionEquity Option ETQTY * Contract Size * Underlying Equity Price * Delta
Bond Option ETQTY * Contract Size * Underlying Bond Price * Delta
Index Option ETQTY * Contract Size * Underlying Index Price * Delta
Option on Futures ETQTY * Contract Size * Underlying Future Price * Delta
Interest Rate Option ETQTY * Contract Size * Delta
EquityQTY * Equity Price
ContractForDifferenceQTY * Equity Price
EquitySwapQTY * Equity Price
FundingLegWill display as PV settings for Funding leg (Accrued Interest)
BasketQTY * Basket Price
Keywords: exposure, instrument