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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 ISDABenchmarking@isda.org.

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

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.

AreaVariant 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 ClassDeltaVegaCurvature
    General interest-rate risk (GIRR)GIRR_DELTAGIRR_VEGAGIRR_CURV
    Credit spread risk: non-securitizations (CSR_NS) CSR_NS_DELTACSR_NS_VEGACSR_NS_CURV
    Credit spread risk: securitizations (non-correlation trading portfolio (non-CTP)) (CSR_SNC)CSR_SNC_DELTACSR_SNC_VEGACSR_SNC_CURV
    Credit spread risk: securitizations (correlation trading portfolio (CTP)) (CSR_SC)CSR_SC_DELTACSR_SC_VEGACSR_SC_CURV
    Equity risk (EQ)EQ_DELTAEQ_VEGAEQ_CURV
    Commodity risk (COMM)COMM_DELTACOMM_VEGACOMM_CURV
    Foreign exchange risk (FX)FX_DELTAFX_VEGAFX_CURV

  • For DRC risk class:

    DRC Risk ClassAll Variants
    Non-securitization portfoliosDRC_NS
    Securitization portfolio (non-CTP)DRC_SNC

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

    RRAO Risk ClassRisk Type
    ExoticRRAO_1_PERCENT
    Other residual riskRRAO_01_PERCENT

Qualifier

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

RiskTypeMeaning

GIRR_DELTA ,GIRR_CURV, FX_DELTA, FX_CURV

ISO currency code, for example, USD
CSR non-securitizationIssuer, index name, or ID
CSR securitization non-CTPIssuer, tranche, or index name or ID
CSR securitization CTPIssuer, tranche, or index name or ID
EquityIssuer, index name, or ID
CommodityCommodity name or ID
FX_VEGAISO currency code of FX pair, for example, EURCLP
DRC non-securitizationIssuer name or ID
DRC securitization non-CTPIssuer 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.

RiskTypeType 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_CURVInteger, for example, 1
CSR_SC_DELTA, CSR_SC_VEGA, CSR_SC_CURVInteger, for example, 1
CSR_SNC_DELTA, CSR_SNC_VEGA, CSR_SNC_CURVInteger, for example, 1
EQ_DELTA, EQ_VEGA, EQ_CURVInteger, for example, 1
COMM_DELTACOMM_VEGA, COMM_CURVInteger, for example, 1
DRC_NSString denoting the DRC_NS bucket, for example, "SOVEREIGNS"
DRC_SNCString 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.

RiskTypeMeaningType and Example

GIRR_DELTA

Tenor (year fraction)Scalar numeric, for example, 1
GIRR_VEGAOption tenorScalar numeric, for example, 0.5
GIRR_CURV, Rate shift for calculating the CVRScalar numeric, for example, 0.01
CSR_NS_DELTA, CSR_SNC_DELTA, CSR_SC_DELTATenor (year fraction)Scalar numeric, for example, 1
CSR_NS_VEGA, CSR_SNC_VEGA, CSR_SC_VEGAOption tenorScalar numeric, for example, 1
CSR_NS_CURV, CSR_SNC_CURV, CSR_SC_CURVRate shift for calculating the CVRScalar numeric, for example, 0.01
EQ_DELTA, FX_DELTAN/A<blank>
EQ_VEGA, FX_VEGAOption tenorScalar numeric, for example, 0.5
EQ_CURV, FX_CURVRate shift for calculating the CVRScalar numeric, for example, 0.01
COMM_DELTATenor (year fraction)Scalar numeric, for example, 1
COMM_VEGAOption tenorScalar numeric, for example, 1
COMM_CURVShift for calculating the CVRScalar numeric, for example, 0.01
DRC_NS, DRC_SNCN/A<blank>

Label2

The meaning of this field depends on the associated RiskType.

RiskTypeMeaningType and Example

GIRR_DELTA

Name of the curveString, for example, "Libor3m"
GIRR_VEGAUnderlying maturity tenorScalar numeric, for example, 0.5
CSR_NS_DELTA, CSR_SNC_DELTA, CSR_SC_DELTAIssuer credit spread curveString, for example, "BOND"
EQ_DELTAIndicates if the sensitivity is related to "SPOT" equity risk factor or against an equity "REPO" rateString, for example, "SPOT" or "REPO"
COMM_DELTACommodity delivery location String, for example, "LONDON"
DRC_NSInstrument LGD categoryString, 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).

See Also

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