Risk factor [MAR10.9]

The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations, instead the Commodity, Location, 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. The Commodity (Underlying) refers to the “distinct commodity” MAR21.83(1) and MAR21.84.

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	“Commodity”
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)
Commodity (Underlying)		All	The distinct commodity
Location		All	Delivery location of the commodity

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

Sensitivities

Commodity

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