It's been too long since I've studied the details, but it's my recollection that the value at risk is on the balance sheet, it's just the notional amounts that

It's been too long since I've studied the details, but it's my recollection that the value at risk is on the balance sheet, it's just the notional amounts that aren't. The BIS hypothetical is that if markets freeze up and you can't buy one leg to cover your swap, you could be left with a huge liability. Edit -- actually BIS has a little accounting example with two options noting that most people use the net basis as I remembered but they would prefer the gross basis: https://www.bis.org/publ/qtrpdf/r_qt1709x.htm https://www.bis.org/publ/qtrpdf/r_qt1709x.htm