Net JTD

The Net JTD Long/Short measures are calculated from the Scaled Gross JTD (or Gross JTD) according to [MAR22.19].

For each obligor, the Scaled Gross JTD values are aggregated by seniority ranking, then the offsetting is applied to get the long and short Net JTD.

For example, with seniorities $Senior > Junior > Equity$, and aggregate scaled gross JTD values $JTD_{Senior}$, $JTD_{Junior}$, $JTD_{Equity}$, we have:

$$Net\ JTD_{Long} = \max(\max(\max(JTD_{Senior}, 0) + JTD_{Junior}, 0) + JTD_{Equity}, 0)$$ $$Net\ JTD_{Short} = \min(\min(\min(JTD_{Equity}, 0) + JTD_{Junior}, 0) + JTD_{Senior}, 0)$$