I want to tap into your intellectual accounting brain power to bounce some ideas.
The problem is simple:
We have Interest rate swaps trades between 2 entities – intercompany trades. One entity is valuing it off one curve (OIS) and the entity other off another curve (LIBOR).
The trades are offset with the market i.e. each entity reports no break within its own books using their preferred curve.
During month end, we match the trades and the offset between the trades is booked to External 3rd party Liabilities at the Group level. But this …