How to record fair value of a basis swap
Records the periodic fair value adjustment for a basis swap where two floating interest rates are exchanged.
| Account Name | Type | Debit ($) | Credit ($) |
|---|---|---|---|
| Derivative Financial Asset | Debit | 12,000.00 | - |
| Gain on Derivative Financial Instruments | Credit | - | 12,000.00 |
💡 Accountant's Note
Basis swaps are measured at fair value through profit or loss (FVTPL) unless they are designated as part of a formal hedge relationship. Gains or losses reflect changes in the spread between the two floating rates.
Practitioner & Systems Framework
💻 ERP Architecture
Use the treasury module to import market curves and auto-calculate the mark-to-market value.
⚠️ Audit Flags
Significant deviations in market spreads or counterparty credit risk adjustments (CVA).
📄 Required Documentation
Swap agreement and independent valuation report or bank counterparty statement.
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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.
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