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Migration notes 3.1.1

This page explains the changes required to migrate to the stated version of the FRTB Accelerator.

Migrate to 3.1.1

Upgrading from version 3.1.0 See FRTB Accelerator 3.1.1 Release Notes.

Note: Generally, maintenance releases do not require migration guides. However, to support CRR2 in a timely manner, this maintenance release does include changes to the input files and configuration. These changes are backwards compatible, and input files for 3.1.0 can be loaded into 3.1.1.

Breaking Changes

  • For CRR2, by default, the 3-month floor is not applied to the DRC non-Sec maturity scaling when offsetting is possible. Additionaly, the measure “DRC non-Sec Scaled Gross JTD” is no longer an intermediate measure in the calculations (as it always includes the 3-month floor).

Summary

  • Improved support for CRR2:
    • Three different interpretations of the zero risk-weight exposures for DRC non-Sec
    • Ability to turn off the 3-month floor for DRC non-Sec maturity scaling when offsetting
  • Added “risk-class Delta Sensitivities” measures to the imported measure variations (as the sum of the Long and Short imported measures)
  • Performance improvements for DRC non-Sec queries

Zero Risk-Weight Exposures for DRC non-Sec (CRR2)

  • The sa.drc.use-zero-risk-weight parameter was added to indicate that Zero Risk-Weight exposures should be treated according the interpretation chosen in sa.drc.zero-risk-weight-mode.

  • The DRC Trade Level file now includes a flag to indicate if an exposure should have zero risk-weight or not.

  • For DRC non-Sec, the Zero Risk-Weight flag in the exposure (risk-factor) description can now be overridden per jurisdiction using the new Risk-Factor Description Overrides file.

    • In particular, the zero risk-weight flag can be specified per exposure and per jurisdiction.

  • The sa.drc.zero-risk-weight-mode configuration property chooses between three different interpretations:

    • hbr (default) - The offsetting is applied twice. The first time, the ZRW exposures are included in the HBR calculation. The second time, the ZRW exposures are excluded from the DRC formula.
    • ignore - The ZRW exposures are ignored from the offsetting and calculations.
    • weighted - A new risk weight is determined for the obligor. This is the average risk-weight for the obligor, weighted by Gross JTD (per exposure/risk-factor).

3-Month Floor for DRC non-Sec Maturity Scaling (CRR2)

The sa.drc.no-maturity-floor-when-offsetting parameter was added to turn off the 3-month floor for maturity scaling when offsetting is possible.

When this parameter is set to true (default for CRR2), then the maturity scaling step is combined with the offsetting step in the calculations. As these two steps are no longer independent in this mode, the measure “DRC non-Sec Scaled Gross JTD” is not an intermediate measure in the calculations (as it always includes the 3-month floor).

Input file formats

Modified

Modification File Field Optional Description
Added DRC Trade Level Zero Risk-Weight Y Flag indicating if the exposure qualifies for a zero risk-weight (default = N)

Added

File Required Purpose
Risk-Factor Description Overrides N Alternative descriptions of the DRC non-Sec exposures, per jurisdiction

Configuration files

Modified

frtb-config.properties
Modification Property Default Description
Added sa.drc.zero-risk-weight-mode hbr How to interpret the CRR2 specification for zero risk-weight exposures
  • hbr zero-risk weight exposures are used for HBR only (otherwise ignored)
  • ignore zero risk-weight exposures are filtered out (ignored)
  • weighted use the weighted average of risk-weights
This only applies to parameter sets where sa.drc.use-zero-risk-weight=true.
Added drc.zero-risk-weight.level DRC Zero Risk Weight Cube level for the zero risk-weight flag
FRTBParameters.csv
Modification Parameter Type Default Description
Added sa.drc.use-zero-risk-weight boolean false Set to true to handle Zero Risk Weight DRC non-Sec exposures differently (true for CRR2)
Added sa.drc.no-maturity-floor-when-offsetting boolean false Set to true to turn off the DRC non-Sec Maturity Scaling 3M floor when offsetting (true for CRR2)
frtb-data-load.properties
Modification Parameter Default Description
Added risk-factor-desc.overrides.file-pattern **/RiskFactor_Desc_Overrides*.csv File matching pattern for the Risk-Factor Description Overrides file

Datastores

Added

Store Details
RiskFactorDescriptionOverrides Alternative descriptions of the DRC non-Sec exposures, per jurisdiction.

Modified

Modification Store Field Type Description
Added RiskFactorDescription Zero Risk Weight Y/N Flag indicating if the exposure qualifies for a zero risk-weight (default = N)

Cube schema

Added

Cube Field / Level Details
SA [Default Risk Charge].[DRC Zero Risk Weight] Flag indicating if the exposure qualifies for a zero risk-weight

Measures

Added

Cube Measure Details
SA risk-class Delta Sensitivities (imported) Sum of Long and Short measures
SA risk-class Delta Sensitivities (netted) Sum of Long and Short measures
SA risk-class Delta Sensitivities (reported) Sum of Long and Short measures

Modified

Cube Measure Details
SA DRC non-Sec Scaled Gross JTD No longer an intermediate value in the DRC calculations when sa.drc.no-maturity-floor-when-offsetting=true

Context values

No change.

Topic Aliases

Modified

Modification Alias Topic Details
Added SAOverrides RiskFactorDescriptionOverrides Load Risk-Factor Description Overrides

Spring Configuration

No change.

Other Changes

N/A

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