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?作者: Walex 时间: 2013-4-28 11:11
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.作者: hinsafdar 时间: 2013-4-28 11:11
It depends on the purpose - see ASC 815 for details.
