Cross-Currency Swap — Fair Value at Month-End
Marking to market a cross-currency swap used to convert USD bond funding into JOD.
| Account Name | Type | Debit ($) | Credit ($) |
|---|---|---|---|
| CCS Derivative Asset (Fair Value) | Asset (+) | 120,000.00 | - |
| Fair Value Gain on CCS (P&L or OCI) | Revenue (+) | - | 120,000.00 |
💡 Accountant's Note
A cross-currency swap exchanges principal and interest payments in two different currencies. Banks use them to hedge the FX risk of foreign currency funding. Fair value changes are driven by both interest rate differentials and spot FX rate movements.
Practitioner & Systems Framework
💻 ERP Architecture
Cross-currency swaps are among the most complex derivatives in terms of fair valuation — they require both an FX curve and an interest rate curve in each currency. SAP TRM and Oracle FLEXCUBE DV handle them, but Bloomberg SWPM or similar external tools are often used for independent pricing verification.
⚠️ Audit Flags
Auditors and valuation specialists test the FX basis spread used in the CCS valuation. Credit Valuation Adjustment (CVA) and Debit Valuation Adjustment (DVA) must be included in the fair value for IFRS 13 compliance. Auditors also confirm the ISDA CSA (Credit Support Annex) collateral postings match the fair value positions.
📄 Required Documentation
ISDA Master Agreement and CSA, CCS term sheet (SWIFT MT300), Bloomberg/Reuters valuation at reporting date, CVA/DVA calculation, and hedge designation documentation (if applicable).
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Expert Analysis by Qusai Ahmad
General Accountant Supervisor & IFRS Specialist
Specialized in SAP GUI automation and Middle Eastern tax compliance. Building digital tools for the next generation of finance leaders.