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The Solution 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, however, 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.
  • reusing Delta sensitivities for Curvature “delta stripping”.
  • support for SA DRC non-Sec exposures with zero risk-weight (see interpretation note).
  • additional fields: such as bucket and risk-factor details (e.g. CSR credit quality or Equity sector), additional fields for reporting (e.g. the EBA templates), or custom fields.
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. 6.0 supports the version of CRIF specified in “ISDA FRTB-SA: Risk Data Standards” version 1.8 (26 Jan 2024). The Solution can load CRIF files whose columns are among the fields defined in the Risk Data Standards. The contents of these fields are interpreted according to the specification and mapped to fields in the Solution when loaded.
When using CRIF, unsupported variants aren’t loaded into the cube. Supported variants include:
  • Vega Variant 1
  • Curvature Variant 1a
  • DRC non-Sec Variant 1
  • DRC Sec non-CTP Variants 1 and 2
  • DRC Sec CTP Variant 1