Key facts
- About two-thirds of dealers price a collateral valuation adjustment into swaps, per the Risk.net report.
- Only half of those dealers recognize the adjustment in their accounting, the report said.
- The report is part of a series benchmarking bank XVA management practices.
About two-thirds of dealers price a collateral valuation adjustment into swaps, while only half of them recognize the adjustment in their accounting, according to a Risk.net benchmarking report that did not date the event.
The report is part of a series benchmarking bank XVA management practices, the set of adjustments banks apply to derivatives prices to cover counterparty and funding costs. The body describes collateral valuation adjustments, or ColVA, as capturing the terms on which a trade's collateral is posted, and says the measure followed counterparty risk into swaps pricing over the past decade.
The body names no dealers, gives no number of firms surveyed and sets out no method, so the two proportions cannot be checked against a published sample. It also gives no date for the survey or for the accounting practice it describes.