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Sensitivities
| Field |
Key |
Risk Measure |
Description |
| As-of Date |
Y |
All |
Timestamp (at close of business) for the data (T-1) |
| Trade ID |
Y |
All |
A unique identifier for the trade (or position) |
| Risk Factor Name |
Y |
All |
A unique identifier for the risk-factor (not including vertices) |
| Risk Class |
Y |
All |
“FX” |
| Risk Measure |
Y |
All |
“Delta”, “Vega”, or “Curvature” |
| Option Maturity |
Y |
Vega |
The maturity of the option |
| Sensitivity |
|
Delta & Vega |
The sensitivity value $s_k$ |
| Shock Up/Down |
|
Curvature |
The up and down shocked prices. |
| Sensitivity Currency |
|
All |
Currency in which the sensitivity or shocked price is expressed. |
| Risk Weight |
|
Curvature |
Risk weight used for the shocked prices |
| PV Applied |
|
Curvature |
Has the PV been subtracted from the shocked prices? |
| Optionality |
|
Delta |
Should the Delta sensitivity be included in the Curvature Calculation? |
| Interpolated Sensitivities |
|
Vega |
Sensitivities interpolated to the prescribed vertices |