What information is expected to be reported for interest rate swaps?
Answer Interest rate swaps should be grouped based on common characteristics. For example, “pay fixed, receive variable” and “pay variable, receive fixed” should be grouped separately. Information about the swaps that should be provided include: 1) fair value of the swap at reporting date, 2) the notional amount of the swap, 3) the pay and receive characteristics of the swap, and 4) the expected interest rates of both sides of the swap throughout the term presented. The company must disclose the method used for determining the expected cash flows from the variable leg of a swap.
