ISDA SA-CVA CRIF File Specifications

R2026b

Since R2026b

The ISDA^® (International Swaps and Derivatives Association) SA-CVA (Standard Approach for Credit Valuation Adjustment) CRIF (Common Risk Interchange Format) file format is a proprietary model developed by the ISDA that facilitates the exchange of CVA risk factor sensitivity information between market participants and regulatory authorities. The format is a structured and consistent format for reporting key data elements related to SA-CVA capital calculations under the Basel MAR50 framework.

When you create an sacva object, the input you provide must be in the ISDA SA-CVA CRIF file format. You can use an existing file in this format, or create the file according to the specifications given below.

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

• CVA position sensitivities — This data includes Delta and Vega sensitivities of CVA positions to risk factors including interest rates, foreign exchange, counterparty credit spreads, reference credit spreads, equities, and commodities.

• Hedge position sensitivities — This data includes Delta and Vega sensitivities of hedge positions to the same risk factors, representing instruments used to mitigate CVA risk.

• Risk classification data — This data includes information about risk types, bucket assignments, qualifiers, and counterparty group identifiers used in the capital calculation.

The ISDA SA-CVA CRIF file format is based on industry-standard data formats, such as XML (extensible markup language) or CSV (comma-separated values). The file follows a predefined schema that specifies the structure and data elements required for reporting CVA risk sensitivities under the SA-CVA framework.

The ISDA SA-CVA CRIF file contains 12 columns, with the top row specifying the column names. You can distinguish an SA-CVA CRIF file from a BA-CVA CRIF file by examining the RiskType column. In an SA-CVA CRIF file, this column contains risk type identifiers such as "IR_DELTA", "FX_VEGA", and "CS_CPY_DELTA". For information on the BA-CVA CRIF file, see ISDA BA-CVA CRIF File Specifications.

Columns for ISDA SA-CVA CRIF File

The columns for an ISDA SA-CVA CRIF file are as follows:

• PortfolioID — The portfolio ID string (for example, "Port_001"). If this column is missing, then all sensitivities belong to the same portfolio.

• Variant — Not required for CVA. Leave this column blank.

• SensitivityID — The sensitivity ID string. For SA-CVA, specify the value to begin with "S_" followed by a specific identifier (for example, "S_IRD_a1" or "S_FXD_b1").

• RiskType — The risk type string indicating the type of risk factor sensitivity. Specify the value as one of the following:

  • "IR_DELTA" — Interest rate Delta risk

  • "IR_VEGA" — Interest rate Vega risk

  • "FX_DELTA" — Foreign exchange Delta risk

  • "FX_VEGA" — Foreign exchange Vega risk

  • "CS_CPY_DELTA" — Counterparty credit spread Delta risk

  • "CS_REF_DELTA" — Reference credit spread Delta risk

  • "CS_REF_VEGA" — Reference credit spread Vega risk

  • "EQ_DELTA" — Equity Delta risk

  • "EQ_VEGA" — Equity Vega risk

  • "COMM_DELTA" — Commodity Delta risk

  • "COMM_VEGA" — Commodity Vega risk

• Qualifier — The qualifier string describing the risk factor. The meaning depends on the value in the RiskType column:

  • For interest rate risk types, specify thehe currency (for example, "USD").

  • For foreign exchange risk types, specify the nonreporting currency (for example, "EUR").

  • For counterparty credit spread risk types, specify the counterparty ID (for example, "CPARTY_C").

  • For reference credit spread risk types, leave this column blank.

  • For equity risk types, leave this column blank.

  • For commodity risk types, leave this column blank.

• Bucket — The bucket number of the sensitivity, if applicable (for example, "2"). The meaning depends on the value in the RiskType column and corresponds to the bucket assignments defined in the Basel MAR50 framework.

• Label1 — Additional qualifier describing the risk factor. The meaning depends on the value in the RiskType column:

  • Specify a numeric value to represent the effective maturity "M" in years (for example, "5").

  • Specify the value "IR" to represent the interest rate risk factor (for interest rate risk types).

  • Specify the value "INFL" to represent the inflation risk factor (for interest rate risk types).

• Label2 — Additional qualifier indicating whether the sensitivity represents a CVA position or a hedge position. Specify the value as one of the following:

  • "CVA" — CVA position

  • "HDG" — Hedge position

• Amount — The sensitivity amount for the risk factor used in the capital computation, expressed in the currency described in the AmountCurrency column.

• AmountCurrency — The currency for the value in the Amount column, expressed using a standard three-letter ISO currency code (for example, "USD").

• AmountUSD — The sensitivity amount for the risk factor used in the capital computation, expressed in USD.

• Label3 — Counterparty group identifier, if applicable (for example, "CPARTY_GROUP_1"). Leave this column blank if the counterparty does not belong to a group.

• EndDate — Not required for CVA. Leave this column blank.

• CreditQuality — The credit quality of the counterparty, if applicable (for example, "IG" for investment grade or "HY_NR" for high yield or not rated). Leave this column blank if not applicable.

Rules for ISDA SA-CVA CRIF File Specification

The specification for the ISDA SA-CVA CRIF file format is defined by the rules given below:

Portfolios

• Each SA-CVA CRIF file must contain at least one portfolio with at least one sensitivity.

• The PortfolioID column specifies portfolios using portfolio IDs (for example, "Port_001"). If this column is missing, then all sensitivities belong to a single portfolio.

• Each row belonging to the same portfolio must have the same portfolio ID.

Sensitivities

• Each row in the SA-CVA CRIF file represents a single sensitivity (either a CVA position sensitivity or a hedge position sensitivity to a risk factor).

• Each sensitivity has a unique ID in the SensitivityID column, beginning with "S_" (for example, "S_IRD_a1", "S_FXD_b1").

• Each sensitivity must specify a RiskType indicating the risk class and measure (Delta or Vega).

CVA Positions vs. Hedge Positions

• The Label2 column distinguishes CVA positions from hedge positions:

  • "CVA" — Indicates the sensitivity belongs to a CVA position

  • "HDG" — Indicates the sensitivity belongs to a hedge position

• An SA-CVA portfolio can contain only CVA sensitivities, or a combination of CVA and hedge sensitivities.

Risk Types and Risk Classes

• The SA-CVA framework organizes risk factors into the following risk classes:

  • Interest Rate — "IR_DELTA" and "IR_VEGA"

  • Foreign Exchange — "FX_DELTA" and "FX_VEGA"

  • Counterparty Credit Spread — "CS_CPY_DELTA"

  • Reference Credit Spread — "CS_REF_DELTA" and "CS_REF_VEGA"

  • Equity — "EQ_DELTA" and "EQ_VEGA"

  • Commodity — "COMM_DELTA" and "COMM_VEGA"

• Delta sensitivities measure the first-order change in CVA or hedge value with respect to the risk factor.

• Vega sensitivities measure the sensitivity to changes in the volatility of the risk factor. The volatility shift applies to volatilities used for generating risk factor paths and volatilities used for pricing options.

Counterparty Groups

• Counterparties can optionally be assigned to groups using the Label3 column (for example, "CPARTY_GROUP_1").

• Counterparty groups affect the aggregation of sensitivities in the capital calculation.