| 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 | “Equity” |
| Risk Measure | Y | All | “Delta”, “Vega”, or “Curvature” |
| Option Maturity | Vega | The maturity of the option | |
| Equity Name (Underlying) | All | Name of the equity or equity issuer (see interpretation note). | |
| Type | All | “Spot” or “Repo”. |
Risk factor [MAR10.9]
The Risk Factor is used to identify sensitivities.
However, it is not used directly in the calculations, instead the Equity, 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 Vega and Curvature, the risk-factor is the same as the underlying.