FRTB Accelerator Reference Guide v3.0.0CRIF Files
The Accelerator natively uses the SBM Sensitivity and SA DRC Trade Level input files to load sensitivity information. Alternatively, you can use CRIF (Common Risk Interchange Format) to replace the native sensitivity input files.
The native formats offer enhanced support and features such as:
- multi-jurisdiction support: CRIF files must be created for a specific jurisdiction, native files can be used for multiple jurisdictions.
- support for dividing FX CVR by 1.5 (MAR 21.98)
- reusing Delta sensitivities for Curvature “delta stripping”
CRIF input files should be created according to the standard ISDA CRIF. For details on how to become a licensed CRIF user, contact ISDA at analytics@isda.org.
When using CRIF, unsupported variants aren’t loaded into the cube. Unsupported variants include Vega Variant 2, Curvature Variants 1a,1b,2a and DRC Variant 2.