Definitions.

CFR · 2024-01-01 · US · Title 12

(a) Terms set forth in § 3.2 and used in this subpart have the definitions assigned thereto in § 3.2. (b) For the purposes of this subpart, the following terms are defined as follows: (1) A securitization position for which all or substantially all of the value of the underlying exposures is based on the credit quality of a single company for which a two-way market exists, or on commonly traded indices based on such exposures for which a two-way market exists on the indices; or (2) A position that is not a securitization position and that hedges a position described in paragraph (1) of this definition; and (3) A correlation trading position does not include: (i) A resecuritization position; (ii) A derivative of a securitization position that does not provide a pro rata share in the proceeds of a securitization tranche; or (iii) A securitization position for which the underlying assets or reference exposures are retail exposures, residential mortgage exposures, or commercial mortgage exposures. (1) A trading asset or trading liability (whether on- or off-balance sheet), (i) The position is a trading position or hedges another covered position; (ii) The position is free of any restrictive covenants on its tradability or the national bank or Federal savings association is able to hedge the material risk elements of the position in a two-way market; (2) A foreign exchange or commodity position, regardless of whether the position is a trading asset or trading liability (excluding

official document · source cfr-2024 · id 12:§ 3.202