Risk factor [MAR10.9]

The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations, instead the Tranche, Curve Type, 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.

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	“CSR non-Sec”
Risk Measure	Y	All	“Delta”, “Vega”, or “Curvature”
Sensitivity Tenor		Delta	The time to maturity of the traded instrument
Option Maturity		Vega	The maturity of the option
Tranche Name (Underlying)		All	The name of the tranche credit spread curve
Curve Type		Delta & Vega	“Bond” or “CDS”

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

Sensitivities

Tranche

⌘I