> ## Documentation Index
> Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
> Use this file to discover all available pages before exploring further.

# Netted

export const productName = "Atoti FRTB";

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

Netted is an optional approach implemented in {productName} to map Legal Entities (and hence all sensitivities) to "netting sets" via an optional file and its corresponding store.
Additionally, each book can be flagged as belonging to the "IRT Desk" or not.
The capital charges can be calculated independently for each netting set and IRT Desk, then 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 Position *scenario*"
* "*risk-class* *risk-measure* Risk Charge *scenario*"
* "*risk-class* Curvature Sb *scenario*"
* "*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:

| 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](./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 offsetting sensitivities across netting sets and IRT desks.
* After the capital charges are calculated (independently) for each netting set and IRT desk, they are summed.
* As with the [“(reported)”](./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](./netted).