Incremental

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

The Incremental measures evaluate the impact of a trade or a group of trades (‘current scope’) on the result at a selected reference level, by comparing it with a computation as if the considered trade or aggregate of trades were hypothetically removed.

$M^{incremental}(\text{scope})=M(\text{portfolio}) - M(\text{portfolio excl scope})$

Example:

In the following example, the IR K Delta measure is showing the impact of individual NettingSetId on the firm-level IR K Delta number.

• IR K Delta for NettingSetId “ActiveBank EU_104” is -94, which means that this portfolio is reducing firm-level IR K Delta by 94.

From the screenshot above, we can see that the IR K Delta is 94 greater (594,579 - 594,486) if the “ActiveBank EU_104” NettingSet positions were closed out.

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