Netted

Naming pattern: Measures with “Netted” behavior follow the name pattern:Main Measure Name Netted.

Netted is an optional approach implemented in the FRTB Accelerator to map Legal Entities (and hence all sensitivities) to “netting sets” via an optional file and its corresponding store. The capital charges can be calculated independently for each netting set and summed.

The netting sets only impact a specific set of measures. These comprise measures with this suffix, those with the “(reported)” suffix and the following measures (which are the ones requested in the CRR2 reporting template):

• “risk-class risk-measure Risk Charge scenario”
• “risk-class Delta Sensitivities direction”
• “drc-risk-class Default Risk Charge”
• “drc-risk-class Gross JTD direction”
• “RRAO Exotic”
• “RRAO Other”

Where:

Element	is one of …
risk-class	GIRR, CSR non-Sec, CSR Sec non-CTP, CSR Sec CTP, Equity, Commodity, FX
risk-measure	Delta, Vega, Curvature
scenario	blank (for medium correlation scenario), High, Low
direction	Long, Short
drc-risk-class	DRC non-Sec, DRC Sec non-CTP

Additionally, the SA measures that follow on from the above list are also impacted, up to the “Portfolio Risk Charge”.

The reported measure variation includes the impact of the netting sets and imported values. For example, “Portfolio Risk Charge (reported)”. The netting sets and imported values do not currently impact the unmodified measures; for example, “Portfolio Risk Charge” is not changed.

Overview of Netted Calculations

A Netting Set hierarchy allows for filtering by netting set. The capital charge calculations are performed with the netting sets as the leaf level, so that:

• The capital charges are calculated without netting sensitivities across netting sets.
• After the capital charges are calculated (independently) for each netting set, they are summed.
• As with the “(reported)” suffix, the same set of measures are directly and indirectly impacted.

Follow this link to see the measures with the described behavior: Netted Measures.