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):
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.