FAS 157
Financial Accounting Standards Board Statement 157
“Fair Value Measurements”
United States
Reval allows clients to apply FAS 157 fair value measurement standards to their derivative instruments. Our solution to this hedge accounting standard allows clients to:
- Define fair value hierarchies across three levels.
- Manage and assign ISDA netting agreements to qualifying trades.
- Assign fair value hierarchy levels to trades.
- Assign discount credit spread curves to qualifying trades.
- Establish an exit price for each qualifying trade separating credit and benchmark components.
- Track Level 3 gains/losses and movements reported in OCI, realized- and unrealized-P&L.
- Stress test FAS 157 credit adjustments.
Reval publishes daily bank and industry/rating specific discount credit spread curves for clients to use in valuations under FAS 157.
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