Migration notes 2.3.0

Migration notes

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

Migrate to 2.3.0

Upgrading from version 2.2.1. - See FRTB Accelerator 2.3.0 Release Notes.

The Accelerator is now using ActivePivot 5.8.8 (jdk8 or jdk11) and ActiveUI 4.3.7. For new features and fixes included in these releases, please see the ActiveUI documentation and ActiveUI Migration Notes, and the release notes for ActivePivot.

For clients licensed to use ActiveMonitor, a skeleton module based on version 5.8.8 is included with the FRTB Accelerator 2.3.0 release.

Input file formats

Added

File Details
CRIF Support for the CRIF file format, as described in ISDA's Risk Data Standards document.

Modified

File Details
IMA DRC Summary The Obligor and Seniority columns have been removed from the IMA DRC Summary files (these columns are still present in the trade-level files).

Configuration files

Files Added

File Details
Adjunct_Currencies.csv * The new Adjunct Currencies configuration file is used to specify which currencies should be considered "adjunct" and provides an FX Delta Risk Weight for each currency.
* The configuration file provided with the accelerator is populated with the DKK currency for CRR2

Files Modified

File Modification Details
frtb-data-load.properties Added adjunct-currencies.file-pattern=\*\*/Adjunct\_Currencies\*.csv\
Removed csr.sec-ctp.bucket.correlations.file-pattern
frtb.properties Added crif-reporting-currency=USD
Changed maturity-converter.drc=simple
frtb-config.properties Added \# Cube level for Books
book.level=Book\@Books\@Booking
\# Organisational hierarchy for books
book.hierarchy=BookHierarchy\@Organization
\# Cube level for legal entities
legal-entity.level=Legal Entity\@Legal Entities\@Organization
\# Organisational hierarchy for legal entities
legal-entity.hierarchy=LegalEntityHierarchy\@Organization
FRTBParameters.csv Added CRR2 parameters
sa.csr-nonsec.bucket.covered-bonds,10,2016-01-01,CRR2
sa.other.bucket.csr.ns,18,2016-01-01,CRR2
sa.other.bucket.csr.secctp,18,2016-01-01,CRR2
sa.index.buckets.csr-ns,19;20,2016-01-01,CRR2
sa.girr.delta.adjunct-ccy.correlation,0.8,2015-01-01,CRR2
CSRNS_Bucket_Correlation.csv Added CRR2 correlations
CSR_BucketsRiskWeights_NON_SEC.csv Added CRR2 risk weights
Removed BCBS 352 risk weights
CSR_BucketsRiskWeights_SECCTP. Added CRR2 risk weights
FX_Special_Crosses.csv Removed Redundant currency pairs (implied as 1st order crossed):
EUR/JPY, EUR/GBP. EUR/CHF, JPY/AUD
ParameterSet.csv Added CRR2
Removed BCBS 352

Files Removed

CSR_Sec_CTP_Bucket_Correlation.csv

Datastores

Modified

Store Details
DRCIMASummaryBase Remove Obligor and Seniority

Cube schema

Modified

Cube Details
IMADRCSummaryCube Remove Obligor and Seniority

Measures

Added

Cube Measure name
IMA and IMA Summary cubes ES (Model Variation)
FRTBCombined cube ES (Model Variation) avg
SA cube SBM Correlation Scenario

Context values

Added

Name Details
ES Model Variation Lookback Default value 12W