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.