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What's New

This page provides a brief overview of the new features and improvements in the latest version of the FRTB Accelerator.

For a detailed list of all changes, see our Changelog.

3.1.1

Known issues

  • Updated 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.

  • Update 2021-09-02: The CSR non-Sec Curvature Risk Position calculations may return incorrect results for CRR2 if the “Parameter Set” hierarchy is included on the rows or columns of the query. In this case, the accelerator will mistakenly treat bucket 16 as the “other” bucket, instead of bucket 18. Similarly for CSR Sec CTP.

  • Real-time queries are not updated with changes to the static data overrides.

Summary

CRR2 support has the following improvements:

  • Three different interpretations of the zero risk-weight exposures for DRC non-Sec (see CRR2 DRC non-Sec Risk Weights)
  • The ability to turn off the 3-month floor for DRC non-Sec matuirty scaling when offsetting (see CRR2 DRC non-Sec Maturity Scaling 3-Month Floor)
  • The “risk-class Delta Sensitivities” measures have been added to the imported measure variations (as the sum of the Long and Short imported measures).
  • Performance improvements for DRC non-Sec queries.

See the migration guide for details.

New features

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

The risk-factor description now includes a flag to indicate if an exposure should have zero risk-weight. For DRC non-Sec, the exposure (risk-factor) description can now be overridden per jurisdiction. In particular, the zero risk-weight flag can be specified per exposure and per jurisdiction.

See the migration guide for details.

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

You can now turn off the 3-month floor for maturity scaling when offsetting is possible, which results in the maturity scaling step being combined with the offsetting step in the calculations.

See the migration guide for details.

3.1.0+1

Known issues

  • Updated 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.

  • Update 2021-09-02: The CSR non-Sec Curvature Risk Position calculations may return incorrect results for CRR2 if the “Parameter Set” hierarchy is included on the rows or columns of the query. In this case, the accelerator will mistakenly treat bucket 16 as the “other” bucket, instead of bucket 18. Similarly for CSR Sec CTP.

  • Real-time queries are not updated with changes to the static data overrides.

  • DLC Rest endpoints are not exposed by default. FRTBConfig must include FRTBRestServicesConfig.class in order to expose these REST endpoints.

Summary

  • FRTB 3.1 introduced a bug so that it was not possible to save dashboards. This has been fixed with this release and you can now save dashboards.

3.1

Known issues

  • Updated 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.

  • Update 2021-09-02: The CSR non-Sec Curvature Risk Position calculations may return incorrect results for CRR2 if the “Parameter Set” hierarchy is included on the rows or columns of the query. In this case, the accelerator will mistakenly treat bucket 16 as the “other” bucket, instead of bucket 18. Similarly for CSR Sec CTP.

  • Real-time queries are not updated with changes to the static data overrides.

Summary

  • Added support for subsidiaries (netting sets and imported capital charges) to CRR SA Reporting
  • Added multi-jurisdictional support that includes static data overrides (ability to change DRC obligor rating, CSR bucketing, or Equity market cap per jurisdiction)
  • Updated the SA Data-model to include Direct Bucket Mappings (SBM) and improvements for DRC and RRAO
  • Upgrade to ActivePivot 5.9.6 and ActiveUI 4.3.13

See the migration guide for details.

New features

Support for subsidiaries

The new, optional “netted” and “imported” measure variations added in this release provide the ability to meet the CRR2 required reporting where capital charges are independently calculated and then summed when the netting of positions between different legal entities does not apply. An additional “reported” measure variation has also been added, that includes the impact of the netting sets and imported values. The imported values do not appear when you drill in or drill down on calculations as they are designed for reporting purposes only.

See the migration guide and Netted and Imported for details.

3.0.1

Known issues

  • Updated 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.

  • 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.

Summary

  • Data-Connectors upgraded to 1.2.0 to resolve concurrency issues with DLC.

3.0

Known issues

  • Updated 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.

  • FRTB-2148 Concurrent DLC operations result in NPEs.

Summary

New features

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.

  • Support for DRC non-Sec adjustments
  • Added BGN and HRK to CRR2 ERM II currencies (FX risk-weight overrides)
  • Added flag to exclude GIRR inflation and cross-currency basis curves when dividing major currency risk weights by sqrt 2.
  • Added support for scaling SBM sensitivities to support CRR2 underwriting
  • Replaced Adjunct Currencies with FX risk-weight overrides and GIRR correlation overrides

Previous Releases

2.4.1

Known issues

  • Updated 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.

2.4.0

Known issues

  • Updated 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.

New features

ISDA tests and CRIF format
  • Added support for loading the ISDA FRTB-SA CRIF file format (v4 r9)
  • Added ISDA Unit tests (version 2.5.1), these can be run when compiling the accelerator
  • Added support for starting up the accelerator with a copy of the ISDA test data, loaded from a CRIF file

For details, see CRIF files

CRR2 Support
  • Added Long and Short Sensitivity measures for the EBA reporting template
  • Added CRR2 ISDA unit tests (version 2.5.1)
  • Added support for Yellow and Orange PLAT zones

For details, see CRR2 Support

Improvements

  • SBM performance improvements, by converting the correlation matrix into a block diagonal form (with a block per underlying) and using multi-threaded matrix multiplication.
  • Improved performance of default cube configuration
  • Added DRC Sec non-CTP Region and Asset Class fields to SA cube

2.3.0

Known issues

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

New features

CRR2 Support

A few items have been added to support CRR2.  See CRR2 Changes for a detailed description of the difference between the BCBS and CRR2 specifications.

  • A CRR2 parameter set has been added to the configuration files shipped with the accelerator.  This parameter set contains the risk weights and correlations used in CRR2.

  • The concept of "adjunct currencies" has been added to the accelerator.  These are currencies that receive special treatment relative to the reporting currency.  This is aimed at the ERM II mechanism (i.e. the DKK currency).

For details, see CRR2 Support

CRIF file format support

In addition to the existing file formats, SA sensitivities may also be loaded using the CRIF file format which is described in ISDA's Risk Data Standards document.

Note, some functionality in the accelerator is not available when using the CRIF file format.  This includes:

  • Base currency and multi-jurisdiction support for the FX risk class

  • Control over which Delta sensitivities are used when Delta stripping in the Curvature calculations.

For details, see CRIF files

New measures

  • IMA ES ratio to track if the reduced set of risk-factors explains at least 75% of the variation of the full set). For details, see ES (Model Variation)

  • SBM Scenario: to track which SBM scenario (low, medium, or high) is used. For details, see SBM Correlation Scenario

Improvements

  • Fixed Curvature calculations when no Delta sensitivities are loaded.
  • SA DRC performance improvements.

2.2.1

Known Issues

ActivePivot incompatible 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)

New features

None

Improvements

None

2.2.0

warning! Version 2.2.1 of the FRTB Accelerator has been released.  This is a maintenance release and fixes known issues with version 2.2.0.  We recommend upgrading to 2.2.1.

Known issues

ActivePivot incompatible 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)
Fixed Issues

The following issues have all been fixed in 2.2.1:

  • There is a calculation error for Commodity Curvature when the "other commodity" bucket contains more than one risk-factor (FRTB-1822)

  • The BeyondBasel/What-If bookmark is using a wrong container key for one of its widgets. To fix this issue, change "containerKey" : "accelerator_ParentChild" to "containerKey" : "ParentChild"

  • The sample data set still has the incorrect risk weight for SEC-ERBA (long term, senior) BB-. (FRTB-1830)

  • Due to a bug in the react-script module, frtb-activeui hangs after the tests run instead of carrying on with the maven build. As a workaround, update the "test-build" script in frtb-activeui/package.json file. The correct script is "react-scripts test --env=jsdom --no-watch".

  • Due to a bug in the react-script module, the frtb-activeui development server will not start (e.g. $ yarn start). The workaround is to upgrade the version of react-scripts in package.json from 3.3.0 to 3.4.0

New features

Offline documentation

The accelerator documentation is now bundled with the accelerator so that it is accessible without needing Internet access.  A copy of the documentation still remains on activeviam.com.

Data Load Controller

The Data Load Controller (DLC) introduced in 2.1.0 has been improved to support ETL auditing.

Event monitoring has been added to the Data Load Controller DLC.

  • Results returned to the data orchestrator through the REST service are now JSON formatted and suitable for parsing to extract statistics about the data loading.

  • Additional events are generated by the tuple publishers and include information on how many tuples have been inserted into each store.

  • In additional to returning this information in the REST service, an internal component can also receive these events, for example LoggingDlcEventHandler.java

IRT Desk

Support has been added for calculating the capital charge separately for an IRT desk.

Support for Java 11

A jdk11 version of the accelerator is available with this release.

IMA DRC Summary Cube

The IMADRCSummaryCube has been added to calculate the 12 week IMA DRC average as specified in [MAR33.22].

  • This new cube is the same as the existing IMADRCCube, except that the trade level is absent.  Instead, the Book and Legal Entity levels are lowest levels available in the booking and organisation dimensions.

  • A REST service has been added to export daily data from the trade-level, ready for import into the summary cube. For details, see IMA Summary REST Service

Active UI 4.3

The new accelerator UI application is based on ActiveUI 4.3.4.

Implementation and Interpretation Documentation

New documentation has been added for each SBM risk class describing the accelerators implementation and interpretation of BCBS 457 for the risk class, this includes data model (and how it maps to the input files, datastore, and cube levels) and calculations (and how they map to measures in the cube).

For details, see FRTB Accelerator Interpretation and Implementation of BCBS 457

Improvements

Common Libraries

The FRTB accelerator now shares common accelerator code (both back-end and front-end) with other ActiveViam accelerators.

2.1.0

Known issues

None

New features

Measures Documentation

New documentation of all the measures has been added.  You can browse this documentation here.

Data Load Controller

The Data Load Controller has now been integrated into the accelerator.  It provides the ability to better manage loading (and unloading) data.  A REST service is provided, so that your data orchestration service (the process that is responsible for delivering data to the accelerator), can trigger the loading of data into ActivePivot.

The REST service will allow loading (and unloading) of topics (or groups of topics, called aliases) by scope.  Currently the scope allows the specification of an as-of date, however it can easily be customized to support, for example, desks or legal entities.  The scope helps the data load controller find the data when loading, and becomes the criteria for removing data when unloading.  For example, it is possible to load (or unload) all SBM sensitivities (the topic alias) for the as-of date 2019-08-09 (the scope).

Spring Boot

Starting from version 2.1.0, the frtb-starter and frtb-activemonitor projects have been migrated to Spring Boot. As an immediate consequence, building these projects will produce executable JAR files instead of WAR files, which are deployed as standalone applications. For more details regarding the project migration to Spring Boot, see the Migration Notes

Improvements

None

2.0.1

Known issues

None

New features

None

Improvements

None

2.0.0

Known issues

None

New features

BCBS 457 implementation

This release adds support for the IMA changes in BCBS 457, including:

  • New PLA test metrics (Spearman correlation metric and Kolmogorov-Smirnov test metric), and the RAG zones associated with the results of these tests.

  • The Capital Surcharge measure is introduced based on the PLA zones.

  • The SES calculations have been updated with the new formulas and additional Equity risk class for idiosyncratic non-modellable risk-factors.

  • The ACC measure has been updated to the ACR (Aggregated Capital Requirement) and associated RWA (risk-weighted assets).

Note: for purposes of the Capital Surcharge and ACR calculations, the PLA zone of a desk is determined quarterly, and also we expect that the PLA zone will be monitored daily (for internal use), Hence the ACR calculations use the PLA zone provided in the input files instead of using the results directly from the PLA tests.

Note: We have changed the default interpretation of [MAR21.71] (see FRTBParameters.csv changes in the migration guide) to match the BCBS 352 calculations.  Previously, we identified three different plausible interpretations of [MAR21.71], and used a "hybrid" approach as the default (see discussion in the 2.0.0-alpha release notes).  However, it has since been discovered that the adjustments in [MAR21.4](5)(b) to avoid taking the square root of a negative number do not always work for this hybrid approach (the value can remain negative).  All three configuration options are still available.

Improvements

None

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