CPA needed to Answer swap liability question? accounts, question, liability

ShooterMcCFA

Hi,
My firm accounts for our swap liability as the Clean Price w/ CVA as the MTM on the books.
Market value = Accrued Interest + Clean Price
Do you know why they don’t look at the total Market value w/ clean price instead?

Walex

Are you saying that they don’t include the accrued interest in their determination of swap’s carrying value on the balance sheet and this why you are confused? Your question is a little unclear…
If so, then I have seen firms in the past bury their interest receivable and/or interest payable on derivatives in other assets/liabilities, with disclosure in the footnotes, as necessary… the preparer of the financials should consider the materiality of the accrued interest payable, in your case, and determine where/how to disclose the amount of the accrual to the users of the financials.

hinsafdar

It depends on the purpose - see ASC 815 for details.