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
Risk Class Y All “CSR Sec non-CTP”
Risk Measure Y All “Delta”, “Vega”, or “Curvature”
Sensitivity Tenor Y Delta The tenor in the credit spread curve
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 Delta & Vega Sensitivities interpolated to the prescribed vertices