ISDA FRTB-SA CRIF File Specifications

The ISDA^® FRTB-SA CRIF file format facilitates the exchange of risk factor information between market participants and regulatory authorities. Banks must provide detailed risk metrics, such as sensitivities to various risk factors and capital requirements to their regulators. The ISDA FRTB-SA CRIF file is a structured data file that includes all the necessary details to perform the required calculations for capital adequacy under the FRTB-SA framework. ISDA CRIF is a proprietary model developed by the International Swaps and Derivatives Association, Inc. (ISDA). You can get a license to use CRIF from ISDA by contacting them at [e-mail].

The ISDA FRTB-SA CRIF file typically includes information such as:

• Market data — This data includes market information such as interest rate curves, equity prices, commodity prices, and foreign exchange rates.

• Trade-level data — This data contains detailed trade-level information, such as trade IDs, portfolio IDs, variant type, notional amounts, sensitivity amounts, and issuers.

• Regulatory data — This data covers regulatory-related information such as risk types, qualifiers, and bucket information.

• Credit data — This data includes details about the credit quality and tranches for credit instruments.

The ISDA FRTB-SA CRIF file format is based on industry-standard data formats, such as XML (extensible markup language) or CSV (comma-separated values). It follows a predefined schema that specifies the structure and data elements required for reporting market risk exposures under the FRTB-SA framework. For more information on the ISDA FRTB-SA CRIF file format, see A Standard for Risk Data.

The ISDA FRTB-SA CRIF contains 18 columns, with the top row specifying the column names as in the following sample.

Sample FRTB-SA CRIF

Columns for ISDA FRTB-SA CRIF File Specifications

The column names form the top row of the FRTB-SA CRIF as in Sample FRTB-SA CRIF. The column names are as follows:

• "Portfolio ID" — The portfolio ID string (for example, "P1").

• "TradeID" — The trade ID string.

• "Variant" — The variant string describes the variant of the input format. This string is relevant only for SBM Vega, SBM Curvature, and DRC.

• "Sensitivity ID" — The risk factor ID string.

• "RiskType" — The risk type string describes the type of risk factor, such as GIRR_DELTA (interest-rate delta) or FX_DELTA (foreign-exchange delta).

• "Qualifier" — The qualifier string provides additional information about the risk factor. This field's description depends on RiskType. For example, for GIRR_DELTA RiskType, Qualifier denotes the ISO currency code, while for EQ_DELTA RiskType, Qualifier indicates the issuer's name.

• "Bucket" — The bucket string indicates the bucket according to regulatory standards. The precise meaning of Bucket depends on RiskType.

• "Label1" — This field depends on RiskType and it is an additional qualifier for SBM and DRC calculations.

• "Label2" — This field depends on RiskType and it is an additional qualifier for SBM and DRC calculations.

• "Amount" — (Optional) This field is a scalar numeric that indicates the amount of risk, in the currency specified in AmountCurrency. It has different meanings depending on RiskType or Variant. For example, in the case of RRAO, it denotes the notional value of the position.

• "AmountCurrency" — (Optional) This field is a scalar string indicating the currency of Amount and is specified using a standard three-letter ISO currency code.

• "AmountUSD" — This field is a scalar numeric indicating the amount of risk in USD.

• "Label3" — This field depends on RiskType and it is an additional qualifier for SBM_VEGA and DRC_NS.

• "EndDate" — This field is the maturity date for credit instruments and is relevant only for DRC calculations. The date must be entered in "YYYY-MM-DD" format.

• "CreditQuality" — This field is a scalar string indicating the issuer rating class for credit instruments. It is only relevant for SBM CSR and DRC calculations.

• "LongShortInd" — This field is a string indicating long or short position. It is relevant only for DRC calculations. LongShortInd values must be either "L" or "S".

• "CoveredBondInd" — This field is applies only to the DRC_NS risk type. CoveredBondInd values must be "Y" for yes, or "N" for no.

• "TrancheThickness" — This field is a scalar number between 0 and 1 that describes the tranche thickness. This field applies only to the DRC_SNC risk type under Variant 1.

Description for ISDA FRTB SA CRIF File Columns

The ISDA FRTB-SA CRIF file captures data crucial to regulatory compliance. Below is a detailed description of specific columns to facilitate understanding and implementation.

Variant

Several input variants are permissible due to the varying infrastructure among banks for calculating standardized capital requirements for market risk. Banks can use different data formats within the industry template, as these variants provide equivalent descriptions of inputs for specific risk calculations. This flexibility specifically applies to SBM Vega, SBM Curvature, and DRC.

Area	Variant Identifiers
Vega	Variant 1 uses volatility weighted vega. Variant 2 uses vega and the implied volatility as separate inputs.
Curvature	Variant 1a uses a full revaluation at the exact required shock level that is already delta-stripped. Variant 2a uses a full revaluation at the exact required shock level, including an adjustment for the corresponding delta revaluation (not delta-stripped).
DRC_NS	Variant 1 uses position attributes (such as market value) to calculate jump-to-default (JTD). Variant 2 uses the gross JTD amount (unscaled) instead of Notional. Variant 3 uses the gross JTD amount scaled by maturity.
DRC_SNC	Variant 1 uses the SEC-ERBA methodology to calculate the risk weights for DRC_SNC. Variant 2 takes the risk weights under the CreditQuality column as an input.

RiskType

String denoting the FRTB-SA risk class and risk measure.

• For the sensitivity-based method charge (SBM), RiskType is a combination of risk class and sensitivity type.

• For the default risk charge (DRC), RiskType is a combination of risk class and credit class.

• For the residual risk add-on charge (RRAO), RiskType is a combination of risk class and instrument type.

• For SBM risk class:

  SBM Risk Class	Delta	Vega	Curvature
  General interest-rate risk (GIRR)	GIRR_DELTA	GIRR_VEGA	GIRR_CURV
  Credit spread risk: non-securitizations (CSR_NS)	CSR_NS_DELTA	CSR_NS_VEGA	CSR_NS_CURV
  Credit spread risk: securitizations (non-correlation trading portfolio (non-CTP)) (CSR_SNC)	CSR_SNC_DELTA	CSR_SNC_VEGA	CSR_SNC_CURV
  Credit spread risk: securitizations (correlation trading portfolio (CTP)) (CSR_SC)	CSR_SC_DELTA	CSR_SC_VEGA	CSR_SC_CURV
  Equity risk (EQ)	EQ_DELTA	EQ_VEGA	EQ_CURV
  Commodity risk (COMM)	COMM_DELTA	COMM_VEGA	COMM_CURV
  Foreign exchange risk (FX)	FX_DELTA	FX_VEGA	FX_CURV

• For DRC risk class:

  DRC Risk Class	All Variants
  Non-securitization portfolios	DRC_NS
  Securitization portfolio (non-CTP)	DRC_SNC

• For Residual Risk Add-On (RRAO) risk class:

  RRAO Risk Class	Risk Type
  Exotic	RRAO_1_PERCENT
  Other residual risk	RRAO_01_PERCENT

Qualifier

A string describing the risk factor, which varies depending on RiskType.

RiskType	Meaning
GIRR_DELTA ,GIRR_CURV, FX_DELTA, FX_CURV	ISO currency code, for example, USD
CSR non-securitization	Issuer, index name, or ID
CSR securitization non-CTP	Issuer, tranche, or index name or ID
CSR securitization CTP	Issuer, tranche, or index name or ID
Equity	Issuer, index name, or ID
Commodity	Commodity name or ID
FX_VEGA	ISO currency code of FX pair, for example, EURCLP
DRC non-securitization	Issuer name or ID
DRC securitization non-CTP	Issuer name or ID

Bucket

This field indicates the specific bucket to which the sensitivity is assigned, with its interpretation varying based on the corresponding RiskType.

RiskType	Type and Example
GIRR_DELTA ,GIRR_CURV, FX_DELTA, FX_CURV	Integer, for example, 1
GIRR_VEGA, FX_VEGA	<blank>
CSR_NS_DELTA, CSR_NS_VEGA, CSR_NS_CURV	Integer, for example, 1
CSR_SC_DELTA, CSR_SC_VEGA, CSR_SC_CURV	Integer, for example, 1
CSR_SNC_DELTA, CSR_SNC_VEGA, CSR_SNC_CURV	Integer, for example, 1
EQ_DELTA, EQ_VEGA, EQ_CURV	Integer, for example, 1
COMM_DELTACOMM_VEGA, COMM_CURV	Integer, for example, 1
DRC_NS	String denoting the DRC_NS bucket, for example, "SOVEREIGNS"
DRC_SNC	String denoting the DRC_SNC bucket, for example, "CORPORATES"

Label1

The interpretation of this field varies by RiskType and serves as an additional qualifier for SBM and DRC calculations.

RiskType	Meaning	Type and Example
GIRR_DELTA	Tenor (year fraction)	Scalar numeric, for example, 1
GIRR_VEGA	Option tenor	Scalar numeric, for example, 0.5
GIRR_CURV,	Rate shift for calculating the CVR	Scalar numeric, for example, 0.01
CSR_NS_DELTA, CSR_SNC_DELTA, CSR_SC_DELTA	Tenor (year fraction)	Scalar numeric, for example, 1
CSR_NS_VEGA, CSR_SNC_VEGA, CSR_SC_VEGA	Option tenor	Scalar numeric, for example, 1
CSR_NS_CURV, CSR_SNC_CURV, CSR_SC_CURV	Rate shift for calculating the CVR	Scalar numeric, for example, 0.01
EQ_DELTA, FX_DELTA	N/A	<blank>
EQ_VEGA, FX_VEGA	Option tenor	Scalar numeric, for example, 0.5
EQ_CURV, FX_CURV	Rate shift for calculating the CVR	Scalar numeric, for example, 0.01
COMM_DELTA	Tenor (year fraction)	Scalar numeric, for example, 1
COMM_VEGA	Option tenor	Scalar numeric, for example, 1
COMM_CURV	Shift for calculating the CVR	Scalar numeric, for example, 0.01
DRC_NS, DRC_SNC	N/A	<blank>

Label2

The meaning of this field depends on the associated RiskType.

RiskType	Meaning	Type and Example
GIRR_DELTA	Name of the curve	String, for example, "Libor3m"
GIRR_VEGA	Underlying maturity tenor	Scalar numeric, for example, 0.5
CSR_NS_DELTA, CSR_SNC_DELTA, CSR_SC_DELTA	Issuer credit spread curve	String, for example, "BOND"
EQ_DELTA	Indicates if the sensitivity is related to "SPOT" equity risk factor or against an equity "REPO" rate	String, for example, "SPOT" or "REPO"
COMM_DELTA	Commodity delivery location	String, for example, "LONDON"
DRC_NS	Instrument LGD category	String, for example, "SENIOR"
DRC_SNC	Variant 1 instrument seniority Variant 2 is not applicable.	String, for example, "SENIOR"

Label3

The interpretation of this field varies by RiskType and serves as an additional qualifier for SBM_VEGA and DRC_NS calculations.

• For RiskType: GIRR_VEGA, CSR_NS_VEGA, CSR_SNC_VEGA, CSR_SC_VEGA, EQ_VEGA, COMM_VEGA, or FX_VEGA, when using Variant 2, Label3 denotes the implied volatility of the option.

• For RiskType: DRC_NS, the notional (optional) defaults to the Amount field if not specified. This field is a required parameter when using Variant 1.

EndDate

This field is relevant for DRC calculations and it specifies the option maturity date for credit instruments in "YYYY-MM-DD" format. This field applies to the following RiskType:

• DRC_NS (except for Variant 3)

• DRC_SNC

CreditQuality

This field is a scalar string that indicates the issuer rating class for credit instruments, for example, "AAA". This field is relevant only for SBM CSR and DRC calculations. In some cases, the risk weight is used as a direct input, for example, in DRC_SNC Variant 2.

• CSR_NS_DELTA

• CSR_NS_CURV

• DRC_NS

• DRC_SNC

LongShortInd

For LongShortInd, use "L" (long) or "S" (short) as the indicator. LongShortInd applies to the following DRC RiskTypes: DRC_NS and DRC_SNC. Otherwise, LongShortInd is blank.

CoveredBondInd

CoveredBondInd is a boolean with a value of "Y" for yes or "N" for no. CoveredBondInd applies only to the DRC_NS risk type.

TrancheThickness

TrancheThickness is a number between 0 and 1 that describes the tranche thickness. TrancheThickness applies only to Variant1 for DRC_SNC (SEC-ERBA).