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  1. Point in time
    2007-03-22

credit valuation adjustment

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:

  1. (a) reflects the market value of the credit risk due to any failure to perform on contractual agreements with a counterparty; and
  2. (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.