X1PART THREECAPITAL REQUIREMENTS

TITLE VIOWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK

Article 381Meaning of credit valuation adjustment

For the purposes of this Title and Chapter 6 of Title II, credit valuation adjustment or CVA means an adjustment to the mid-market valuation of the portfolio of transactions with a counterparty. That adjustment reflects the current market value of the credit risk of the counterparty to the institution, but does not reflect the current market value of the credit risk of the institution to the counterparty.