... its counterpartydefaults on future swap payments, the replacement cost is the cost to the firm of replacing the swap on the same favorable terms.18. These include both swaps and forward contracts.19. ... pay, so the firm willhave a valuable or profitable position in the swap. This value, created by the change in interest rates, is the firm’s replacement cost for the swap, and represents the credit ... Settlements (the “PromiselReport”), the Bank of England, the Group of Thirty, the Office of the U.S. Comptroller of the Currency, the Com-modity Futures Trading Commission, and, most recently, the U.S....