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counterparty credit risk

  1. 156
    1. (1) (in accordance with Part 1 of Annex III of the Banking Consolidation Directive (Definitions) and for the purposes of BIPRU) the risk that the counterparty to a transaction could default before the final settlement of the transaction's cash flows.
    2. (2) (other than in (1)) has the meaning as used in the EU CRR.