Risk factor [MAR10.9]

The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations, instead the Underlying, Counter Currency, 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 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 Vega, the Currency Pair (Underlying) refers to the FX rate MAR21.14(2).

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	“FX”
Risk Measure	Y	All	“Delta”, “Vega”, or “Curvature”
Option Maturity		Vega	The maturity of the option (Vega)
Risk Factor Currency (Underlying)		Delta & Curvature	The left-hand side of the risk-factor currency pair
Counter Currency		Delta & Curvature	The right-hand side of the risk-factor currency pair
Currency Pair (Underlying)		Vega	The risk-factor currency pair

The Bucket is the same as the Risk Factor Currency or Currency Pair.