ARTICLE · 03 JULY 1995

Market Value Of Structured OTC Financial Instruments

Arthur Andersen

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FranceEmployment and HR

Over recent years, in the context of fast developing capital markets activities, the banking profession has been promoting ever more sophisticated OTC financial instruments thus satisfying its clients' search for value added instruments and services. The need for permanent pricing of such instruments together with their inclusion, for specialised management purposes, in global trading portfolios raised the question of the accounting valuation and treatment of such instruments.

In its Regulation 90-15 of December 1990 (as amended by Regulation 92-04 of July 1992) regarding the accounting treatment of interest rate or currency swaps, the Banking Regulation Committee ("Comite de la Reglementation Bancaire") listed various methods applicable to the calculation of the market value of interest rate or currency swaps used for the purpose of specialised management of trading portfolios. Basically, both the use of a replacement cost or the discounting of future cash flows (at market rates

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