Backtesting means the comparison of an Enterprise's internal estimates with actual outcomes during a sample period not used in model development. For purposes of this subpart, backtesting is one form of out-of-sample testing.
Covered position means, any asset that has more than de minimis spread risk (other than any intangible asset, such as any servicing asset), including:
Market risk means the risk of loss on a position that could result from movements in market prices, including spread risk.
Private label security (PLS) means any MBS that is collateralized by a pool or pools of single-family mortgage exposures and that is not guaranteed by an Enterprise or by Ginnie Mae.
Reverse mortgage means a mortgage loan secured by a residential property in which a homeowner relinquishes equity in their home in exchange for regular payments.
Reverse mortgage security means a security collateralized by reverse mortgages.
Spread risk means the risk of loss on a position that could result from a change in the bid or offer price of such position relative to a risk free or funding benchmark, including when due to a change in perceptions of performance or liquidity of the position.
12 C.F.R. §1240.202