Changelog
For user-facing changes, refer to the What’s New page. For information on upgrading from previous versions, see the FRTB Accelerator Migration Notes
3.0.1
2021-04-28
For directions to download the distribution files, click here
Known issues
In order to ensure proper connection of the UI to the AP Server, the ActivePivotServicesConfig.class must be replaced with APMActivePivotServicesConfig.class in the configuration imports of FRTBConfig.java.
You can find an example FRTBConfig file on our artifactory page here.
-
Update 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.
-
Update 2021-10-08: The FX Delta Sensitivities Long/Short measures (used for CRR2 reporting), do not work properly if you are using FX sensitivity translations.
-
A
NullPointerExceptionmay occur when loading or unloading data due to a race-condition in the Data Load Controller. This has been fixed in version 1.2.1-AP5.9 of the Data-Connectors (FRTB accelerator version 3.0.1 uses 1.2.0-AP5.9).Manual Fix: Upgrade Data-Connectors to version 1.2.1-AP5.9 by updating the properties near the beginning of the top-level pom.xml:
<dataconnectors.version>1.2.1-AP5.9</dataconnectors.version>
-
When unloading SA DRC data, entries in the DRCBase store are not removed. This is due to the incorrect store being referenced.
Manual Fix: Change the store from
IMA_DRC_STOREtoDRC_BASE_STOREwhen unloading theTOPIC_DRCtopic. Lines 313-314 ofDataLoadControllerConfig.javain the frtb-starter module should be:case DRCFileConstants.TOPIC_DRC:
return new BaseStoresAsOfDateConditionConverter(topic, Arrays.asList(SourceConfig.DRC_BASE_STORE, SourceConfig.TRADE_BASE_STORE)) {
-
The CSV processing is rejecting SA DRC lines with a missing maturity, even though these lines should be supported for cash equities whose maturity is determined by the parameter
sa.drc.maturity.default.
Summary
-
Data-Connectors upgraded to 1.2.0 to resolve concurrency issues with DLC.
Added
None
Changed
| Issue Key | Details |
|---|---|
| PST-691 | Data-Connectors upgraded to from 1.1.0 to 1.2.0 |
Removed
None
Fixed
| Issue Key | Details |
|---|---|
| FRTB-2148 | Fixed Concurrent DLC operations resulting in NPE |
Security
None
3.0.0
2021-03-19
For directions to download the distribution files, click here
Known issues
-
Update 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.
-
Update 2021-10-08: The FX Delta Sensitivities Long/Short measures (used for CRR2 reporting), do not work properly if you are using FX sensitivity translations.
Summary
- IMA Performance improvements
- Upgrade to ActivePivot 5.9 and accelerator-sdk 4.1.0
- Replaced XML Cube Configuration
- Integrated Data Connectors component (which includes DLC and DEE)
- Additional CRR2 support
- Documentation on extending the Accelerator
Replaced XML Cube Configuration
The XML configuration of the ActivePivot Cube schemas and hierarchies has been replaced by ActivePivot's fluent API java configuration. As part of this, some properties file configuration has been added to more easily modify the configuration for different environments.
See the migration guide for details.
Negative Values in Square Root in Risk Charge Formula
In some cases it is possible to have a negative value inside the square root of the SBM Delta and Vega Risk Charge formula MAR 21.4 (5).
And, this can occur even with the alternative Sb and Sc values from MAR 21.4 (5) (b).
For example, this can happen for Equity Delta in the high correlation scenario, see test class EquityDeltaNegEVIT.java for example sensitivities.
In this release, the value inside this square root is now floored at zero (after trying the MAR 21.4 (5) (b) alternative). This is a similar treatment to the Risk Position formula in MAR 21.4 (4).
CRR2 Support
For details on CRR2 support see the CRR2 page. The following items have been added for supporting CRR2.
| Issue Key | Details |
|---|---|
| FRTB-2065 | Support for DRC non-Sec adjustments |
| FRTB-2037 | Add BGN and HRK to CRR2 ERM II currencies (FX risk-weight overrides) |
| FRTB-2066 | Add flag to exclude GIRR inflation and cross-currency basis curves when dividing major currency risk weights by sqrt 2. |
| FRTB-2018 | Add support for scaling SBM sensitivities to support CRR2 underwriting |
| FRTB-2072 | Replace Adjunct Currencies with FX risk-weight overrides and GIRR correlation overrides |
Added
| Issue Key | Details |
|---|---|
| FRTB-1996 | Add customisation for sparse vector block size |
| FRTB-2068 | Parameterize cube configuration |
| FRTB-2040 | Swap capability for DRC IMA |
| FRTB-2047 | Add configuration option to change FX sensitivity translation scale factor |
| FRTB-2085 | Parameterize the column name in the Trade Attributes file that is used as the RRAO flag |
| FRTB-1959 | Support STC for SEC-ERBA risk weights (DRC Sec non-CTP) |
| FRTB-1975 | Support loading DRC risk weights at the obligor/tranche level |
Changed
| Issue Key | Details |
|---|---|
| FRTB-2058 | Support negative values in square root in Risk Charge formula |
| FRTB-2039 | Move cube description from xml to java configuration |
| FRTB-2023 | Update ISDA unit tests to v3.1.0 |
| FRTB-2019 | Change default behavior: FXComplexDelta=Y |
| FRTB-2012 | Upgrade to ActivePivot 5.9 |
| FRTB-2045 | Improve trigger for building the book and legal entity hierarchies |
| FRTB-1963 | Replace unit-test framework for post-processors |
| FRTB-2057 | Integrate Data Connectors (including DLC upgrade) |
| FRTB-2089 | Upgrade UI to accelerator-sdk 4.1.0 |
Fixed
| Issue Key | Details |
|---|---|
| FRTB-2077 | Fix startup sequence for query nodes, so that ReferenceCurrency context value can be used |
| FRTB-2041 | Long IMCC startup |
| FRTB-2042 | High heap usage for DRC load |
| FRTB-2083 | FRTB-IMA PLSummaryCube - Lookback issues |
| FRTB-2059 | Fix concurrency issue that caused Data Load Controller to freeze |
| FRTB-2027 | Fix IllegalArgumentException: Unknown value for level FX Curvature Divider Eligibility: Y |
| FRTB-2069 | Missing entries in Parameters Widget |
| FRTB-2030 | UI Parameter Set widget broken with Kerberos Integration |
| FRTB-2048 | SA DRC data is not being scaled in the Trade Scaling What-If |
Documentation
| Issue Key | Details |
|---|---|
| FRTB-2022 | List of key fields for Equity risk factors is incorrect |
| FRTB-1968 |
Documentation on extending the Accelerator |
Security
None
2.4.1
2021-08-30 Download the distribution files here
Known issues
-
Update 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.
-
Update 2021-10-08: The FX Delta Sensitivities Long/Short measures (used for CRR2 reporting), do not work properly if you are using FX sensitivity translations.
Summary
- Support for https protocol when sharing bookmark URL's through bookmark tree.
- Support for multiple content servers when sharing bookmark URL's through bookmark tree.
- Support for multiple content servers when sharing bookmark URL's through File submenu.
Fixed
| Issue Key | Details |
|---|---|
| GENACL-481 | Added support for multiple content servers |
2.4.0
2020-12-10
Download the distribution files here
Known issues
-
Update 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.
-
Update 2021-10-08: The FX Delta Sensitivities Long/Short measures (used for CRR2 reporting), do not work properly if you are using FX sensitivity translations.
IMA Performance Regression
The addition of the Aggregate Provider configuration for the IMA cube in InternalModelApproachCube.xml can have a significant impact on performance, both in load times and query performance. If you have not customized your Aggregate Provider configuration and are using the default configuration, we recommend you revert to the 2.3.0 configuration. i.e. remove the <aggregateProvider>…</aggregateProvider> clause from InternalModelApproachCube.xml.
Summary
- ISDA Unit Tests and CRIF: Added ISDA unit tests and support for FRTB-SA CRIF file format.
- CRR2 Support: Added Long/Short Sensitivity measures for EBA reporting template and support for PLAT Yellow and Orange zones.
- SBM performance improvements: By converting the correlation matrix into a block diagonal form (with a block per Underlying) and using multi-threaded matrix multiplication.
Added
| Issue Key | Details |
|---|---|
| FRTB-1891 | Long and Short Delta Sensitivity measures have been added for each risk class. |
| FRTB-1924 | Expose DRC Sec non-CTP Region and Asset Class in the SA Cube |
| FRTB-860 | SBM performance improvements |
| FRTB-1879 | Allow configurable PLA Zones (including CRR2 Yellow and Orange zones). |
| FRTB-1951 | Update ISDA FRTB-SA Unit Tests to 2.5.1 |
| FRTB-1883 | Support sparse vectors for IMA DRC summary cube |
| FRTB-1996 | Configuration for use of sparse vectors |
| FRTB-1997 | Configuration of DRC risk weights for CRR2 |
Changed
| Issue Key | Details |
|---|---|
| FRTB-1938 | FX Vega Buckets are based on currency pair, instead of a single currency |
| FRTB-1956 | Improve aggregates provider configuration, for better default (untuned) performance |
| FRTB-1961 | Set default timeout for queries to 5 minutes |
| FRTB-1972 | Upgraded to AP 5.8.15 |
| FRTB-1933 | Use Spring resolvers for content service DB |
| FRTB-1932 | Support for additional key fields in the sensitivity vectorization |
| FRTB-1949 | Updated CRIF file format to match ISDA FRTB-SA format |
| FRTB-1969 | The UI has been upgraded to ActiveUI 4.3.13 and Accelerators SDK 3.3.0-AUI4.3.13. |
Removed
| Issue Key | Details |
|---|---|
| FRTB-1910 | Remove unused IMA History store (and corresponding ETL) |
| FRTB-1861 | Hide Vector-valued measures |
Fixed
| Issue Key | Details |
|---|---|
| FRTB-1960 | NullPointerException when parsing missing dates |
| FRTB-1942 | FX Curvature Delta sensitivities being dropped, when divisor is not used but curvature prices set divisor flag |
| FRTB-1973 | Fix NullPointerException in Curvature Sb calculation at underlying level |
| FRTB-1947 | Duplicates in store list for ETL TuplePublishers |
| FRTB-1944 | Sensitivities from CRIF do not load when Risk Factor is empty |
Documentation
| Issue Key | Details |
|---|---|
| FRTB-1867 | Improve documentation of underlying fields for SBM |
| FRTB-1787 | Improve Datastore Schema documentation |
| FRTB-1976 | Clarify GIRR Curvature Delta documentation |
| FRTB-1978 | Document new SBM matrix multiplication |
| FRTB-1980 | Update documentation on DRC seniority |
| FRTB-1873 | Rename risk factor fields in sample files |
Security
None
2.3.0
2020-06-05
Download the distribution files here
Known issues
Menu item “Display as Columns”
In the UI, the Display as Columns menu item is showing up as “invalid”, moreover once selected there is no way to return to the Tree layout.
Internal reference: FRTB-1914
Status: Open
Last updated: 2020-09-20
Documentation landing page
On the documentation landing page, the Latest updates - activeviam.com link points to the 2.2.0 documentation instead of 2.3.0. The correct link is https://artifacts.activeviam.com/documentation/accelerators/frtb/2.3.0/online-help/documentation-measures/
Internal reference: FRTB-1917
Status: Fixed
Last updated: 2020-09-20
Added
| Issue key | Details |
|---|---|
| FRTB-1648 | Added ES (ModelVariation) measure (and 12 week average) to monitor how well the reduced set of risk factor explains the variation in the full set of risk factors (must be at least 75%). |
| FRTB-1878 | Added SBM Correlation Scenario measure, which can take values "low", "medium", or "high", depending on which correlation scenario is used for the SBM Risk Charge. |
| FRTB-1850 | Added support for CRR2 ERM II (i.e. DKK)currencies (adjunct currencies) |
Changed
| Issue key | Details |
|---|---|
| FRTB-1337 | By default, SA DRC now uses A/365 for converting maturities to a year fraction. |
| FRTB-1865 | DRC non-Sec performance improvement. Reduced the number of times the maturity is parsed (converted from string to year-fraction) at query time. |
| FRTB-1819 | Upgraded to ActivePivot version 5.8.8 |
| FRTB-1846 | Upgraded to latest version of DLC |
| FRTB-1844 | For FX complex trades (FXComplexDelta=Y in the delta sensitivities file), the FXDivisor field is now optional and, if not provided, will be filled from FXOtherCcy |
| FRTB-1894 | The UI has been upgraded to ActiveUI 4.3.7 and Accelerators SDK 3.0.0-AUI4.3.7. |
| FRTB-1769 | Use customizable datastore references in IMADatastoreConfig |
| FRTB-871 | The following IMA context values have been replaced by parameters in the FRTBParameters.csv file: ES, T, VaRConfidence, rho (IMCC) and rho (SES) |
Removed
| Issue key | Details |
|---|---|
| FRTB-1809 | Removed Obligor and Seniority from IMA DRC Summary cube (including input files) |
| FRTB-1831 | Removed some CSR Sec CTP configuration (for example the bucket level gamma correlations). Where BCBS 457 refers to CSR non-Sec for the CSR Sec CTP calculations, the accelerator uses the CSR non-Sec configuration. |
| FRTB-1352 | The following fields were removed from the datastore and cube: Commodity Time, Commodity Route, Commodity Grade, CSR Tranche. They are still present in the input file format, but are ignored. |
Fixed
| Issue key | Details |
|---|---|
| FRTB-1811 | Fixed bug when loading delta stripped curvature files and not loading any delta sensitivities. |
| FRTB-1875 | Fixed out-by-one error which shifted all the IMA DRC scenarios by one when expanding the P&L values along the DRC Scenarios hierarchy. |
| FRTB-1801 | Fixed Euler capital allocation for Delta and Vega "other" buckets. |
| FRTB-1783 | Fixed Equity Vega Risk Weight measure for buckets 11 and 13 |
Security
No issues
2.2.1
2020-03-20 Download the distribution files here
Known issues
Breaking change: ActivePivot incompatibility with latest OpenJDK
WARNING! ActivePivot 5.8.7 (and all earlier versions) are incompatible with the latest version of OpenJDK 11 (Version 11.0.6, released 2020-01-15). This is due to a breaking change in OpenJDK (JDK-8211919)
Added
None
Changed
| Issue Key | Details |
|---|---|
| FRTB-1857 | React test scripts were updated to prevent hanging during testing phase. |
| FRTB-1856 | Upgraded dependencies to ActiveUI 4.3.5 and Accelerator SDK 2.3.0-AUI4.3.5. |
| FRTB-1855 | What-if book move widget now uses the correct container key. |
| FRTB-1853 | Several custom actions that were using hardcoded level names have been updated to use settings.following keys and defaults are part of the frtb-sdk library:"frtb.trade-level.name": "TradeId""frtb.desk-level.name": "Desk""frtb.as-of-date-level.name": "AsOfDate" |
| FRTB-1851 | The react-scripts library has been upgraded to version 3.4.0 to fix bug with 'yarn start'. |
| FRTB-1832 | Improved testing framework to remove intermittent integration test failures. |
| FRTB-1818 | Stop filling Liquidity Horizon gaps for SES data (dataset column is empty) only apply the LH gap filling to IMCC data (dataset column is not empty). |
Removed
None
Fixed
| Issue Key | Details |
|---|---|
| FRTB-1863 | Fixed "Unknown Action" appearing in Popup Menu |
| FRTB-1843 | Fixed store list retrieval for Datastore Viewer |
| FRTB-1840 | Workaround issue in surefire testing by sending test output for files. Use -Dmaven.test.redirectTestOutputToFile=false on maven command line to send output to console instead. |
| FRTB-1838 | Fixed CSV Source configuration properties not being picked up |
| FRTB-1835 | Fixed incorrect calculation of Kolmogorov-Smirnov (KS) test metric. |
| FRTB-1830 | Fixed ERBA BB- risk weight used in sample data configuration file |
| FRTB-1821 | Fixed What-If Security Manager authorization |
| FRTB-1822 | Fixed calculation error in commodity curvature, when the "other commodity" bucket contained more than one risk factor. |
Security
None
2.2.0
2020-01-17
Download the distribution files here
Added
| Issue Key | Details |
|---|---|
| FRTB-1800 | Added support for multiple GIRR inflation curves per bucket (with 99.9% correlation). |
| FRTB-1217 | Added IMADRCSummary cube for historical IMA DRC data. IMA DRC is not calculated as the greater of the most recent DRC risk charge and the average of the DRC Risk charge over the previous 12 weeks as per MAR33.22. |
| FRTB-1763 | Added IMA DRC capital requirement bookmark, demonstrating aggregation of DRC VaR from simulate PL data and computation of IMA DRC average over the past 12 weeks |
| FRTB-1775 | Added support for highly rated covered bonds to CSR non-Sec Curvature |
| FRTB-1730 | Added support for jdk11, when building select "jdk11" profile (i.e. -P jdk11). |
| FRTB-1733 | Added Scenario Rank measures (expanded along the scenario hierarchies), to help with analytics on the P&L vectors. These measures represent the rank of the P&L values. |
| FRTB-1720 | Added SBM Implementation and Interpretation documentation |
Changed
| Issue Key | Details |
|---|---|
| FRTB-1779 | Updated GIRR Vega calculation for Basis and Inflation curves to match ISDA interpretation of [MAR21.93] and [MAR21.94] |
| FRTB-1729 | Imported common ActiveViam accelerator library and moved some functionality to this library. |
| FRTB-1751 | Upgraded to ActivePivot 5.8.4 |
| FRTB-1732 | Upgraded to ActiveUI 4.3 |
| FRTB-1761 | Hide risk position measures for analysis levels. |
| FRTB-1735 | Improved DLC event handling, to support ETL auditing. |
| FRTB-1406 | Maturity Scaling Factor measure now also works for DRC Sec non-CTP |
| FRTB-1731 | Upgraded to ActiveUI 4.3.1 and structure of the UI changed to be consistent with Monorepo |
| FRTB-1760 | Special bucket configuration is moved into parameter sets (index and other buckets, CSR non-Sec covered bonds bucket). See corresponding parameters in the FRTBParameters.csv file. |
| FRTB-1569 | Improved the data normalization by splitting the MarketDataDescription store into two: RiskFactorDescription and UnderlyingDescription. The risk-factor description includes the underlying and a few other fields that represent the other (non-underlying) dimensions of the risk-factor (e.g. type: spot vs repo, bond vs CDS, or commodity location). The underlying description is now shared between Delta, Vega, and Curvature, and describes the underlying (e.g. curve type, market cap, sector, rating). As part of this split, some cube levels have been renamed. Additionally the "Market Type" level has been split into "Risk Factor Type" (for equity and CSR) and "CIRR Curve Type" (for GIRR). |
| FRTB-1609 | The risk-factor cube level is now no longer directly used by the post-processors in calculations. Instead the underlying level and other relevant levels (e.g. type) are now consistently used as the post-processor leaf levels. |
| FRTB-1643 | Improved data normalization during the ETL, to avoid duplicate key warnings when underlying data is repeated in multiple files. |
| FRTB-1722 | Re-added automated integration tests based on queries extracted from bookmarks. |
| FRTB-1652 | In sample data, set RiskFactorCCy fields to empty for FX sensitivities (these fields were ignored). |
Removed
| Issue Key | Details |
|---|---|
| FRTB-896 | The following context values have been replaced by parameters in the FRTBParameters.csv file: CorrelationHighStress, CorrelationLowStress, FxMajorCcyPairAdjustment, GIRRMajorCurrencyAdjustment, ExoticResidualRiskWeight, NonExoticResidualRiskWeight |
Fixed
| Issue Key | Details |
|---|---|
| FRTB-1784 | Fixed Equity Vega risk weights for index and other buckets. |
| FRTB-1773 | Fixed rho correlation for CSR non-Sec Vega index buckets |
| FRTB-1778 | Fixed SEC-ERBA (long term, senior) BB- risk weight |
| FRTB-1723 | Fixed NaN results when changing org hierarchy in what-if |
Security
None
2.1.0
2019-09-09
Download the distribution files here
Added
| Issue Key | Details |
|---|---|
| FRTB-1567 | Added post-processor error handling API. The error handling in post-processors can now be overridden by replacing the errorHandler Spring bean (in FRTBPostProcessorConfig) with an alternative implementation of PostProcessorErrorHandler. |
| FRTB-1650 | A new analysis hierarchy has been added (DRC Scenario@DRC Scenarios@Risk) to the IMADRCCube. It's populated by the ScenarioId field of the DRCScenarios store. The new hierarchy is used by the DRC PnL Expand measure, it's expanding the PnL values along the scenarios. |
| FRTB-1636 | A new level has been added to the cube, TradeDate@TradeDates@Dates. It gets its value from the "Trade Date" column of the Trade_Attributes.csv file. This field shall contain trade date to be used for analytical purposes. No calculations or post-processors currently depend on it. |
| FRTB-1368 | Create a deployment .zip file when building accelerator |
Changed
| Issue Key | Details |
|---|---|
| FRTB-1601 | The CSR Tranche field is now ignored. For CSR Sec non-CTP, the Underlying field should be used to identify the tranche (as well as the underlying asset pool). |
| FRTB-1646 | FX Delta calculations now assume there is only a single FX Delta risk-factor per bucket. If multiple risk-factors are found (due to the base-currency and jurisdictional translations), the sensitivities from these risk factors are combined when calculating the FX Delta Risk Position. |
| FRTB-1301 | Reporting server waits until bookmark is fully loaded before taking screenshot |
| FRTB-1634 | Changed default Epoch Policy from Keep All to Keep Last. Old epochs are now garbage collected. |
| FRTB-1612 | DoctorPivot accessible at /frtb-starter/doctorpivot, now also linked directly from ActiveUI settings popover. |
| FRTB-1611 | The content server ui is now available at .../frtb-starter/content/ui/index.html |
| FRTB-1602 | Upgraded to ActivePivot 5.8.2-jdk8 |
| FRTB-1604 | Integrated Data Load Controller to manage loading (and unloading) data via a REST service. |
| FRTB-1605 | Migrated to Spring Boot to deploy using executable JAR file instead of a WAR file. |
Removed
None
Fixed
| Issue Key | Details |
|---|---|
| FRTB-1653 | Fixed display of FX Delta sensitivities when matching with FX Curvature shocked prices. |
| FRTB-1654 | Fixed Optionality=Y filter not working for FX risk class correctly. |
| FRTB-1663 | Fixed performance issue when loading IMCC data |
| FRTB-1666 | Fixed CORS configuration forAc tiveMonitor |
| FRTB-1628 | Fixed error when filtering tables in the DS Viewer widget. |
| FRTB-1673 | Fixed NullPointerException when evaluating the Portfolio Risk Charge numerical Euler calculations at the trade level. |
Security
None
2.0.1
2019-08-28
Download the distribution files here
Added
None
Changed
| Issue Key | Details |
|---|---|
| FRTB-1646 | FX Delta calculations now assume there is only a single FX Delta risk-factor per bucket. If multiple risk-factors are found (due to the base-currency and jurisdictional translations), the sensitivities from these risk factors are combined when calculating the FX Delta Risk Position. |
| FRTB-1301 | Reporting server waits until bookmark is fully loaded before taking screenshot. |
| FRTB-1612 | DoctorPivot accessible at /frtb-starter/doctorpivot, now also linked directly from ActiveUI settings popover. |
| FRTB-1611 | The content server ui is now available at .../frtb-starter/content/ui/index.html |
| FRTB-1652 | In sample data, set RiskFactorCCy fields to empty for FX sensitivities (these fields were ignored). |
| FRTB-1675 | Updated Gross JTD validation bookmarks to use correct measures. |
Removed
None
Fixed
| Issue Key | Details |
|---|---|
| FRTB-1653 | Fixed display of FX Delta sensitivities when matching with FX Curvature shocked prices. |
| FRTB-1654 | Fixed Optionality=Y filter not working for FX risk class correctly |
| FRTB-1663 | Fixed performance issue when loading IMCC data |
| FRTB-1628 | Fixed error when filtering tables in the DS Viewer widget. |
| FRTB-1673 | Fixed NullPointerException when evaluating the Portfolio Risk Charge numerical Euler calculations at the trade level. |
Security
None
2.0.0
2019-05-13
Download the distribution files here
Added
| Issue Key | BCBS Reference | Details |
|---|---|---|
| FRTB-1446 | [MAR32.36]to [MAR32.38] | Added measure and kpi for the Kolmogorov-Smirnov test metric defined in [MAR32.39] to [MAR32.41]. |
| FRTB-1445 | [MAR32.39] to [MAR32.41] | Added measure and kpi for the Spearman correlation metric defined in [MAR32.36] to [MAR32.38]. |
| FRTB-1336 | Added custom parsers for DRCBase store’s Maturity field. Added custom parsers for the FRTBParameter store’s Value field. | |
| FRTB-1409 | Added configuration option to set the maximum number of pending discoveries: maxPendingDiscoveries=6. | |
| FRTB-1548 | Added necessary dependencies for the spreadsheet services Excel add-in. | |
| FRTB-1409 | Added qfs.distribution.maxPendingDiscoveries configuration option for frtb.properties to help avoid distribution issues at startup (and in automated tests). | |
| FRTB-1336 | Added custom parsers for DRCBase store’s Maturity field. Added custom parsers for the FRTBParameter store’s Value field. | |
| FRTB-1540 | Added risk class column to GIRR Buckets store and use RiskFactorCcy + asOfDate + riskClass -> GIRR Bucket mapping to avoid FX facts being associated to GIRR buckets. | |
| FRTB-1463 | Added rewritten DoctorPivot (API and web app), replacing previous interface | |
| FRTB-1305 | Added What-If widget for Parameter Set manipulation |
Changed
| Issue Key | BCBS Reference | Details |
|---|---|---|
| FRTB-1543 | [MAR21.14] | Refactored and added improvements to the FX calculations to support the base currency approach. Brief description of the new model: Two types of FX Delta inputs are accepted: 1. Complex trades - FxComplexDelta=Y: * input line is filtered by FxCounterCcy=reporting/base currency condition (similar to FX Curvature inputs) * FxOtherCcy field is ignored * ReferenceToReportingCcy flag must be provided (defaults to “N” if left empty) for the FX Curvature Divisor to be applied correctly.(Can be omitted if the divisor is not used.) 2. Simple trades - FxComplexDelta=N (or FxComplexDelta column left empty) a. base currency approach is not used: * if the FxCounterCcy is not the reporting currency, an input of CCY1|CCY2 is split to original risk (CCY1|reportingCcy) and funding risk(CCY2|reportingCcy) * Fx divisor eligibility is determined at query time by checking if the trade is referencing the reporting currency. FxOtherCcy column can be used to specify the other half of the currency pair referenced originally by the trade in case it’s not the underlying+FxCounterCcy. b. base currency approach is used: * if FxCounterCcy is not the base currency, an input of CCY1|CCY2 is split to original risk (CCY1|baseCcy), funding risk (CCY2|baseCcy) and translation risk (reportingCcy|baseCcy) * Fx divisor eligibility is determined at query time by checking if the trade is referencing the base currency. FxOtherCcy column can be used to specify the other half of the currency pair referenced originally by the trade in case it’s not the underlying+FxCounterCcy. |
| FRTB-1061 | Supporting providing GIRR Delta sensitivities for inflation/basis curves without sensitivity dates. | |
| FRTB-1439 | [MAR33.43] to [MAR33.45] | Updated Aggregated Capital Charge measure as defined in [MAR33.43] to [MAR33.45] |
| FRTB-1411 | All liquidity horizons from table 1 in [MAR33.4] are used when filling gaps during ETL. Previously gaps will filled only for those liquidity horizons specific to the risk class (see table 2 in [MAR33.12]). For example, previously when filling gaps, no P&L vectors with LH=10 were added for CSR, now they are. | |
| FRTB-1438 | [MAR33.16] and [MAR33.17] | The SES calculations have been updated for the new formulas in BCBS 457. The non -modellable idiosyncratic risk factors now have a risk class of CSR or Equity. |
| FRTB-1521 | Updated generated FX Curvature Risk Factor to be underlying counterCcy to allow multiple lines of inputs for the same trade per reporting currency. | |
| FRTB-1459 | [MAR21.53] footnote [17] | Optionally use a different risk weight for CSR non-Sec covered bonds with high rating. |
| FRTB-1419 | Don’t create IMA DRC Linear fact (row in DRCIMABase) if recovery rates or recovery values aren’t provided. | |
| FRTB-1578 | The DRC non-Sec LGD measure no longer requires the trade level in the cube location to work. | |
| FRTB-1416 | Improved flexibility of SBM risk weight measures to display values when enough cube levels to uniquely specify the risk weight are used. | |
| FRTB-1532 | Improved performance for sparse vectors (used by IMA DRC linear recovery values) | |
| FRTB-1442 | Remove unwanted log messages | |
| FRTB-1061 | The input file format no longer requires a vertex for GIRR Delta inflation and basis curve sensitivities. | |
| FRTB-1527 | Upgraded ActiveUI to 4.2.10 | |
| FRTB-1573 | Increased ActiveUI default quantity of search results to 30 |
Removed
None
Fixed
| Issue Key | BCBS Reference | Details |
|---|---|---|
| FRTB-1496 | Fixed trade scale what-if use case to work correctly with IMADRC measure. | |
| FRTB-1519 | Fixed threading bug when loading IMA DRC linear vectors | |
| FRTB-1485 | Fixed bookmark import/export for empty folders and special characters |
Security
None