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Risk Factor: [SCO60.73] to [SCO60.75]

The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations. Instead, the Underlying (generated from the Bucket and the Location for delta and curvature, and from the Bucket alone for vega) and tenor fields are used (as appropriate for the risk-measure). This means that multiple Risk Factor Names may be used for the same risk-factor.

For Crypto 2a delta and curvature, the Crypto asset and exchange (Underlying) refers to the distinct crypto asset [SCO60.73] and the corresponding exchange [SCO60.74].
For Crypto 2a vega, the Crypto asset (Underlying) refers to the distinct crypto asset [SCO60.73] without any differentiation by the exchange [SCO60.75].

Field Key Risk Measure Description
As-of Date Y All Timestamp (at close of business) for the data (T-1)
Risk Factor Name Y All A name for the risk-factor
Risk Class Y All “Crypto 2a”
Risk Measure Y All “Delta”, “Vega”, or “Curvature”
Sensitivity Tenor Delta The time to maturity of the traded instrument (Delta)
Option Maturity Vega The maturity of the option (Vega)
Underlying Delta/Curvature The crypto asset and exchange
Underlying Vega The crypto asset

For Curvature, the risk-factor is the same as the underlying.