If an FI is a counterparty to a swap arrangement, it must record the notional value of the swap as the market value.

Question

Quizplus · Accepted Answer

The notional value of a swap is the amount used to calculate payments, but it is not the market value. The market value of a swap will fluctuate based on current interest rates and other factors. Therefore, an FI should record the market value of the swap, not the notional value, as the accounting value.

If an FI Is a Counterparty to a Swap Arrangement