Reported

Naming pattern: Measures with “Reported” behavior follow the name pattern:Main Measure Name (reported).

Reported is one of the optional approaches implemented in Atoti FRTB to allow you to include the impact of the netting sets and imported values. For example, “Portfolio Risk Charge (reported)”.

The following measures have a Reported variation:

• “risk-class risk-measure Risk Position scenario”
• “risk-class risk-measure Risk Charge scenario”
• “risk-class Curvature Sb scenario” (since 5.3.3)
• “risk-class Delta Sensitivities direction”
• “drc-risk-class Default Risk Charge”
• “drc-risk-class Gross JTD direction”
• “drc-risk-class Net JTD direction”
• “drc-risk-class WtS Ratio”
• “RRAO Exotic”
• “RRAO Other”

Where:

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

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