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