credit valuation adjustment
- (a) reflects the market value of the credit risk due to any failure to perform on contractual agreements with a counterparty; and
- (b) may reflect the market value of the credit risk of the counterparty or the market value of the credit risk of both the firm and the counterparty.
48(in accordance with Part 1 of Annex III of the Banking Consolidation Directive (Definitions)) an adjustment to the mid-market valuation of the portfolio of transactions with a counterparty; and so that this adjustment: