Supported sign-off adjustments in FRTB

This page details the adjustment types available in the FRTB Accelerator, together with details of the execution workflow.

Adjustment types

Multiple adjustment types are available out of the box in the FRTB Accelerator.

Cube Metric Adjustment type Description Input value type Base value type
StandardisedApproachCube Default Risk Charge Add-one Add-on value. Results in a single new row per adjustment. Scalar value Scalar
StandardisedApproachCube Default Risk Charge Scaling Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. Scalar value Scalar
StandardisedApproachCube Default Risk Charge Override Override of the base value. Results in two rows, for the inversion of the base value and the new value. Scalar value Scalar
InternalModelApproachCube IMCC Scaling Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. Date Vector

Execution details

Functional workflow

Executing an adjustment should conform to the following steps:

Step Details
Retrieve supported adjustments from the appropriate REST endpoint The adjustment requests need to conform to the specification returned by the supported adjustments service, but once the requests are created, this step isn’t necessary.
Initiate the sign-off task The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘INITIATED’.
Request adjustment. Adjustment requests will be executed asynchronously on the sign-off snapshot. There is no limit to the number of adjustments that can be requested for a snapshot.
Approve the sign-off task The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘APPROVED’.
Retrieve the status of an adjustment execution As adjustments are executed asynchronously, a service is provided for retrieving the status of a given adjustment execution. Any errors in the execution of an adjustment will result in a FAILED status being returned by the status service.