Credit Valuation Adjustment: "Mid-Market Valuations"

[mikey10011]

Could you clarify what "mid-market valuation" means on page 128 of Canabarro & Duffie?

 

[David Harper CFA FRM]

It's (typically) the average of bid and offer; e.g., if swap bid = 2.0% and swap offer = 2.1%, mid-market rate = 2.05%. It is meant to be the "fair price" of swap rate - David