credit valuation adjustment

48(in accordance with Part 1 of Annex III of the Banking Consolidation Directive (Definitions) and for the purposes of BIPRU156) 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.