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CRIF File Formats

Download sample file: crif.csv

This document describes the CRIF file format as used in the FRTB Accelerator. It is based on the ISDA Risk Data Standards document.

In the FRTB accelerator, the CRIF file format can be used as an alternative way to load SA sensitivities, for both SBM and DRC. However, some functionality in the accelerator is not available when using the CRIF file format. This includes:

Note: The CRIF files are only for loading the sensitivities and descriptions of the risk-factors. Other files, for example configuration and booking, still need to be loaded.

Full details on each risk factor are explained in the relevant section of the FRTB Interpretation and Implementation guide:

Column Type KeyOptional RiskDataStandards Description
ValuationDate Date “YYYY-MM-DD” K Y The as-of date of the sensitivities.
TradeID String K Y The identifier of the trade (or position) the sensitivities belong to.
Risk Factor String K+O The [MAR10.9] Risk Factor minus the tenors or maturities. In the FRTB accelerator, the tenors are specified independently of the risk factor and a single risk factor can have multiple tenors.
This field is optional, if it is not provided it will be generated from the other fields. This generation depends on the risk-type, and is mainly based on the qualifier field. See risk-class specific documentation for details on how the risk factor is generated.
RiskType String K Y The combination of risk class and risk measure. See Risk Type table below
Qualifier String Y

Mostly maps to the “underlying” field in the accelerator:

  • GIRR: curve currency
  • CSR: issuer name
  • Equity: equity (issuer) name
  • Commodity: commodity name
  • FX: risk-factor currency
  • DRC non-Sec: obligor name
  • DRC Sec non-CTP: tranche name For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide
Bucket Integer O Y

The [MAR10.11] bucket, category, or asset class:

  • CSR non-Sec: 1-18
  • CSR Sec non-CTP: 1-25
  • Equity: 1-13
  • Commodity: 1-11
  • DRC non-Sec: category [MAR22.22]
  • DRC Sec non-CTP: asset class [MAR22.31](2)(a) For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide
Label1 String O Y

This field has multiple uses depending on the risk type:

  • Curvature: risk weight
  • Vega: option maturity
  • GIRR Delta: tenor for yield curves, INFL for inflation curves, and XCCY for cross-currency basis curves
  • CSR Delta: tenor
  • Commodity Delta: tenor For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide
Label2 String O Y

This field has multiple uses depending on the risk type:

  • GIRR Delta and Vega Yield Curves: curve name (e.g. OIS, Libor3m)
  • CSR Delta: risk-factor type (Bond or CDS)
  • Equity Delta: risk-factor type (SPOT or REPO)
  • Commodity Delta: location
  • DRC: seniority and instrument lgd type (EQUITY, NON-SENIOR, SENIOR, COVERED BOND) For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide
Amount Y

The amount of the sensitivity, in the units of the currency specified in the “AmountCurrency” field.

  • Delta and Vega: sensitivity from [MAR21.4](1)
  • Curvature: PV shift (delta stripped)
  • DRC: bond-equivalent market value For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide
AmountCurrency ISO Ccy code Y The currency used in the “Amount field”, and other monetary values on the row.
Label3 O

This field has multiple uses depending on the risk type:

  • DRC non-Sec: notional (in units of currency specified in the “AmountCurrency” field)
  • DRC Sec non-CTP: tranche thickness For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide
EndDate Date “YYYY-MM-DD” O Y For DRC, this is the final maturity date of the trade.
CreditQuality String O

The Issuer’s or Obligor’s Credit Rating

  • CSR non-Sec Delta and Curvature: covered bond (bucket 8) rating
  • DRC non-Sec: obligor credit rating
  • DRC Sec non-CTP: tranche credit rating For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide

Note: For Curvature, the accelerator data model requires the shifted up and down PV values to be provided in pairs. In the CRIF files, we require them to be on adjacent rows.

RiskType combinations

This table presents the combinations of risk class and risk measure valid for the RiskType field.

RiskType Risk Class Risk Measure
GIRR_DELTA GIRR Delta
GIRR_VEGA GIRR Vega
GIRR_CURVATURE GIRR Curvature
CSR_NS_DELTA CSR non-Sec Delta
CSR_NS_VEGA CSR non-Sec Vega
CSR_NS_CURVATURE CSR non-Sec Curvature
CSR_SNC_DELTA CSR Sec non-CTP Delta
CSR_SNC_VEGA CSR Sec non-CTP Vega
CSR_SNC_CURVATURE CSR Sec non-CTP Curvature
EQ_DELTA Equity Delta
EQ_VEGA Equity Vega
EQ_CURVATURE Equity Curvature
COMM_DELTA Commodity Delta
COMM_VEGA Commodity Vega
COMM_CURVATURE Commodity Curvature
FX_DELTA FX Delta
FX_VEGA FX Vega
FX_CURVATURE FX Curvature
DRC_NS_M2M DRC non-Sec DRC
DRC_SNC_M2M DRC Sec non-CTP DRC
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