Netting set
Netting set means a group of transactions with a single counterparty that are subject to a qualifying master netting agreement or a qualifying cross-product master netting agreement. For purposes of calculating risk-based capital requirements using the internal models methodology in subpart E of this part, this term does not cover a transaction:
(1) That is not subject to such a master netting agreement; or
(2) Where the Board-regulated institution has identified specific wrong-way risk.