This section describes the data used for the FX calculations, including how the data is structured. This is a simplified description, for details on jurisdictional support including handling the reporting/base currency, see accompanying “FRTB FX Base and Reporting Currencies” document. For FX Delta and Curvature, the Risk Factor Currency (Underlying) refers to the FX rate between the instrument currency and the reporting/base currency MAR21.14(1). For FX Vega, the Currency Pair (Underlying) refers to the FX rate MAR21.14(2). The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations, instead the Risk Factor Currency, Counter Currency, Currency Pair, 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 Bucket is the same as the Risk Factor Currency or Currency Pair.Documentation Index
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