Measure for spread risk.

CFR · 2024-01-01 · US · Title 12

(a) (2) (b) (i) The market value of the covered position; multiplied by (ii) The applicable single point shock assumption for the covered position under paragraph (b)(2) of this section. (2) (i) 0.0475 for an RPL or an NPL; (ii) 0.0160 for a reverse mortgage loan; and (iii) 0.0410 for a reverse mortgage security. (c) (i) The market value of the covered position; multiplied by (ii) The spread duration of the covered position determined by the Enterprise using one or more of its internal models; multiplied by (iii) The applicable spread shock assumption under paragraph (c)(2) of this section. (2) (i) 0.0015 for a multifamily mortgage exposure; (ii) 0.0265 for a PLS; and (iii) 0.0100 for an MBS guaranteed by an Enterprise or by Ginnie Mae and secured by multifamily mortgage exposures (other than IO securities guaranteed by an Enterprise or Ginnie Mae).

official document · source cfr-2024 · id 12:§ 1240.204