Requirements for application of this subpart F.

CFR · 2024-01-01 · US · Title 12

(a) (i) The extent to which a position, or a hedge of its material risks, can be marked-to-market daily by reference to a two-way market; and (ii) Possible impairments to the liquidity of a position or its hedge. (2) (i) The trading strategy must articulate the expected holding period of, and the market risk associated with, each portfolio of trading positions. (ii) The hedging strategy must articulate for each portfolio of trading positions the level of market risk the Board-regulated institution is willing to accept and must detail the instruments, techniques, and strategies the Board-regulated institution will use to hedge the risk of the portfolio. (b) (i) Marking positions to market or to model on a daily basis; (ii) Daily assessment of the Board-regulated institution's ability to hedge position and portfolio risks, and of the extent of market liquidity; (iii) Establishment and daily monitoring of limits on positions by a risk control unit independent of the trading business unit; (iv) Daily monitoring by senior management of information described in paragraphs (b)(1)(i) through (b)(1)(iii) of this section; (v) At least annual reassessment of established limits on positions by senior management; and (vi) At least annual assessments by qualified personnel of the quality of market inputs to the valuation process, the soundness of key assumptions, the reliability of parameter estimation in pricing models, and the stability and accuracy of model calibration under alternative

official document · source cfr-2024 · id 12:§ 217.203