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

4.0.0+1

2022-01-27

To download the FRTB 4.0.0+1 UI-only distribution file, click here.

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.

Summary

• Update 2022-01-27: Technical upgrade to ActiveUI 5.0.7 to integrate bug fixes. See ActiveUI release notes

4.0.0

2022-01-18

Download the distribution files here

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 2022-06-07: We’ve identified a bug in the Frequent Value Compression ActivePivot feature (new since AP 5.10). FRTB 4.0.* depends on ActivePivot 5.10.6 and is therefore impacted. We strongly recommend disabling Frequent Value Compression by setting the following property when launching ActivePivot: -Dactiveviam.chunk.compression.enabledFrequentValue=0. The next maintenance release of FRTB will include an upgrade to ActivePivot, which resolves this issue.
• Regulatory calculations for DRC Sec CTP have been added, but the “Beyond Basel” calculations are missing for incremental and marginal measures, and multi-jurisdictional overrides.
• Lookback Rank measures do not work with Desk filters. As a result, PLA bookmark KS Test tab Desk filter will break charts.
• The custom Book Hierarchy widget has not been ported to ActiveUI5 yet. For now, this functionality can be achieved by using the File Upload widget. See UI Upgrades.
• Deleting a what-if simulation in the What-If Manager deletes the branch.
• You cannot switch a desk model back to what it was on the master branch.
• When switching a desk’s model, the new model does not default to the opposite of the current model.

Summary

• Upgrade to ActivePivot 5.10.6 and ActiveUI 5.0.6

• Added support for DRC Sec CTP calculations

• Removed support for DSViewer. The functionality has been replaced by two new functionalities: the Admin UI allows tech users to view data store contents, and the File Upload widget lets you run what ifs by loading scenario files. See UI Upgrades

• File Upload Widget - A new widget that will allow users to override any data by uploading a simulated file and seeing the impact in a what-if branch

• Removed ES Tool and reporting server

• Improvements to PL cubes for PLAT and Backtesting

• Initial CRR3 parameter set added

• Support has been added for exporting sensitivities in CRIF format for hypothetical portfolio exercises

• Support for Sign-Off Module and adjustments. For more details, see Sign-off API implementation in FRTB

• Alpha support for adding the additional SES capital requirement calculations as specified by the EBA

Dependency versions

Component	Version
ActivePivot	5.10.6
ActiveUI	5.0.7
Data Connectors	2.2.2
Java	JDK11
What-if	1.7.0
accelerator-sdk	5.0.3
Sign-Off API	1.4.0

Improvements to the UI (ActiveUI 5)

The major overhaul of the UI that we present in this release, provides the following benefits:

• Better performance: consumes 10 times less memory and bandwidth. Together, this makes the experience smoother for an end user.
• Easier to extend: the API is much cleaner and simpler to use to create custom components.
• Better user experience: it now takes half the number of clicks to perform the same tasks compared to AUI4.
• Easy to upgrade: uses a module federated application which means that developers will only need to upgrade their own custom components.
• Easier for the developers to learn: all plugin definitions return a React component. For example, a custom context menu plugin in AUI4 was both complex and unintuitive. In AUI5, the actual React component for the menu item is created which provides custom functionality so that any UI developer with React knowledge can use this SDK.

For details of ActiveUI 5, see the ActiveUI 5 changelog.

Improvements to PL cubes for PLAT and Backtesting

The PL and PL Summary cubes now have similar inputs and hierarchies, and have the same measures. The only remaining difference between these two cubes is that the PL cube loads data at the trade level, while the PL Summary cube loads historical data at the book + legal entity level.

These changes include:

• Loading 1-day VaR P&L vectors into the PL summary cube so that VaR can be calculated at query time, allowing us to support desk switching what-if scenario
• Supporting the organizational hierarchies in the PL Summary cube
• Query-time calculation of the VaR and p-values in the PL Summary cube
• Addition of APL, HPL, and RTPL measures to the trade-level PL cube
• Calculation of p-values and exceptions in the trade-level PL cube
• Backtesting and PLAT measures spanning multiple dates have been moved to the combined cube where they use data from both the trade-level PL cube and PL Summary cube

Measure Customization

Preview support was added to allow underlying measures to be customized before they are used in the calculation chains in the accelerator. This initial support was added for the underlying SBM sensitivity measures and for the SES capital requirement measures.

This can be used to calculate the SES capital requirement according to the EBA’s RTS on the capitalisation of non-modellable risk factors.

UI Upgrades

What-If Widget Changes

What-If Manager & Branch Manager

As part of the upgrade to ActiveUI5, the What-If Manager and Branch Manager widgets have been replaced with the brand new What-If Manager. All functionality has been retained in this new widget, which we believe will be more useful for users than the previous two separate widgets were.

The new What-If Manager allows you to audit, investigate, and delete all branches that have been previously constructed.

Datastore Viewer

As part of the upgrade to ActiveUI5, the Datastore Viewer has been removed. In its place we now have the brand new Admin-UI, which is part of the core ActiveUI product. The Admin-UI is also replacing the Content Server UI. The Admin UI allows authorized users to log in to a separate webapp where they will be able to see both the familiar Content Server UI and also the new Datastore Viewer. The new Datastore Viewer is strictly a viewer, it does not allow modification to datastore values or what-if simulations. What-If simulations can be done through the File Upload widget.

Book Hierarchy

The Book Hierarchy widget is not included in the current release. To run what-if simulations moving books between desks, a new hierarchy file can be uploaded using the file upload widget (in the reference implementation this would be the BookParentChild.csv). For more information on configuring this widget, see File Upload.

File Upload

The File Upload widget is a new feature that lets you create or append a WhatIf scenario by uploading CSV files into the cube. For more information on using this widget, see File Upload.

Added

Issue Key	Details
FRTB-2247	Added data extraction template orders for exporting trade level data into summary cubes
FRTB-2366	Added alternative PV field to Curvature sensitivities files. Deprecated use of trade attributes PV and notional for Curvature and DRC
FRTB-2315	Add configuration option to automatically set the delta “optionality” flag, by matching the delta and curvature sensitivities in the ETL
FRTB-2314	Added data extraction template order for crif format export of sensitivities
FRTB-2348	Add Lookback measures for PLAT & Backtesting Exception and p-value measures
FRTB-2319	Added support to specify a staging directory through a new “scenarios” scope key for DLC requests. The value of this scope key is the directory name where the data is located.
PST-735	Added support for BranchPermissions on WhatIf branches.
FRTB-2331	Added CRR3 parameter set
FRTB-2330	Preview support for measure customization (alpha)
FRTB-2319	Add File Upload Widget
FRTB-2288	Add initial support for DRC Sec CTP
FRTB-2339	Added support for DRC Sec CTP risk class in crif files
FRTB-2323	Integration of sign-off module
FRTB-2282	Sign-off module adjustments

Changed

Issue Key	Details
FRTB-1826	Improvements to PL Cubes (for backtesting and PLAT)
FRTB-2253	PLAT and Backtesting measures have been moved to Combined Cube
FRTB-2275	Upgraded to AP 5.10.6
FRTB-2302	Added backtesting zone KPI for Bank-wide (MAR 32.9) and modified existing KPIs for Trading desk level (MAR 32.19)
GENACL-503	The Branch Manager and WhatIf Manager screens have been combined into a single WhatIf Manager Widget. This widget shows all created branches with the audit details and the ability to show differences against the master branch. Users will also be able to delete branches from this screen. Please note: the merge functionality has been removed.
FRTB-2329	Date filters on day-to-day measures are now only applied to the “current” date and not the “previous” date.
FRTB-2301	Fix Backtesting exception count measures
GENACL-591	Standardized WhatIf’s RESTful response messages to UI.
FRTB-2346	Replaced “ReferenceCurrency” context value with “displayCurrency” hierarchy.
FRTB-1292	PL cube and PL Summary cube improvements
FRTB-1957	Improved performance of incremental and marginal measures
FRTB-2212	Move topics “BookHierarchy” and “LegalEntityHierarchy” to the “OrganisationData” topic alias
FRTB-1977	Turn on range sharing in the aggregates provider for the SA cube
FRTB-2312	Always log message and skip sensitivity file lines missing either sensitivity or currency

Removed

Issue Key	Details
FRTB-2309	Remove ES Tool (frtb-es-tool module)
FRTB-2308	Remove Reporting Server (frtb-reportserver module)

Fixed

Issue Key	Details
FRTB-2267	Fix CSR non-Sec Curvature Risk Position Calculations for multiple parameter sets
FRTB-2287	Fix Long/Short measures for FX Delta Sensitivities
FRTB-2285	Fix potential Cross Site Scripting issues

3.1.1

2021-08-30

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.

Dependency versions

Component	Version
ActivePivot	5.9.6
ActiveUI	4.3.17
Data Connectors	1.2.2
Java	JDK11
What-if	1.5.0
accelerator-sdk	4.1.1

Summary

• Improved support for CRR2:

  • Three different interpretations of the zero risk-weight exposures for DRC non-Sec (see CRR2 DRC non-Sec Risk Weights)
  • Ability to turn off the 3-month floor for DRC non-Sec maturity scaling when offsetting (see CRR2 DRC non-Sec Maturity Scaling 3-Month Floor)
  • 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

Distribution

To access the distribution folder, click here.

Or, to download the distribution files individually, click the links below:

• A zip of the ui - we recommend building with a frozen lockfile. Both a lockfile for npm and yarn can be found in the lockfiles folder.
• A zip of the source files that can be used to build the reference implementation (including sample queries).
• A zip of the NPM Dependencies.
• A zip of the FRTB 3.1.1 deployment .
• A zip of the maven repository .

Migration Guide

See the migration guide for details.

Change Log

Issue Key	Details
FRTB-2245	Add support for three different interpretations of zero risk-weight exposures for DRC non-Sec (CRR2)
FRTB-2228	Add support for turning off 3-month floor for DRC non-Sec maturity scaling when offsetting (CRR2)
FRTB-2241	Add “Delta Sensitivities” measures (sum of long and short) to imported measure variations
FRTB-2254	DRC non-Sec performance improvements

Bug Fixes

Issue Key	Details
FRTB-2239	Fix Curvature risk-weights when overriding buckets
FRTB-2220	Add missing stores to CrifTuplePublisher.getTargetStores()
FRTB-2260	Add missing stores to DefaultRiskChargeTuplePublisher.getTargetStores()
FRTB-2219	Added missing import of FRTBRestServicesConfig to FRTBConfig

3.1.0+1

2021-08-03

To download the FRTB 3.1.0+1 UI-only distribution file, click here.

For instructions on downloading the artifacts, click here.

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.

3.1.0

2021-06-25
To access the distribution folder, click here.

Or, to download the distribution files individually, click the links below:

• A zip of the ui - we recommend building with a frozen lockfile. Both a lockfile for npm and yarn can be found in the lockfiles folder.
• A zip of the source files that can be used to build the reference implementation (including sample queries).
• A zip of sample bookmarks
• A zip of the offline documentation that can be served by the accelerator.
• A spreadsheet of the ISDA tests contained in this release

For instructions on downloading the artifacts, click here.

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.

Dependency versions

Component	Version
ActivePivot	5.9.6
ActiveUI	4.3.17
Data Connectors	1.2.2
Java	JDK11
What-if	1.5.0
accelerator-sdk	4.1.1

Known Issues

• 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

• CRR2 SA Reporting: Support for subsidiaries (netting sets and imported capital charges)
• Multi-jurisdictional support
  • Static data overrides, for example, change DRC obligor rating, CSR bucketing, or Equity market cap per jurisdiction
• SA Data-model changes:
  • SBM: Direct Bucket Mappings
  • Improvements for DRC and RRAO

SA DRC Data Model Changes

The SA DRC data model has been improved to support trades that have multiple maturities for the same obligor, for example, indices, and to facilitate the multi-jurisdictional support.

• The SA DRC data model is now more aligned with the SBM data model (i.e. with a risk-factor and underlying).
• The fields required to calculate the Gross JTD remain specific to the sensitivity.
• The sensitivity now includes a risk-factor reference. The risk-factor (from the SBM) is now used for the maturity, the seniority (DRC non-Sec), and for identifying the obligor or tranche.
• The obligor and tranche descriptions are mostly unchanged.

The DRC input files have changed slightly in that the “obligor” and “tranche” fields have been replaced with “risk-factor” and “underlying” fields. As with the SBM, the risk-factor field is optional and will be populated in the ETL if not provided.

RRAO Data Model Changes

The RRAO data model has been improved to facilitate the multi-jurisdictional support.

An optional “RRAO Category” field has been added to the trade attributes file. This category is not used directly in the calculations, but is used to identify the set of RRAO attributes for the trade, i.e. if the trade has RRAO, if the trade is exotic (or not). For example, the instrument type could be used as the category.

The RRAO Category also represents the key for jurisdiction-based modification of the RRAO attributes. For example, if a particular instrument type qualifies for RRAO in one jurisdiction but not another. Additionally, the flag for RRAO inclusion is now exposed in the cube.

Direct Bucket Mappings

An optional “bucket” column has been added to the sensitivities files, and to the UnderlyingDescription store. This allows the SBM (and DRC Sec non-CTP) underlyings to be mapped directly to buckets.

If this column is not filled, the bucket will be determined (during the ETL) from the other fields (e.g. sector, market cap, rating, etc). Additionally, if the bucket is provided, then these other fields become optional and can be filled (during the ETL) based on the bucket.

Support for Subsidiaries

CRR2 specifies when positions may be netted between different legal entities. When this netting does not apply, the capital charges must be calculated independently and added together for reporting.

The accelerator now supports this through two mechanisms.

• Netting Sets allows for the sensitivities to be kept separate and for the capital charges to be calculated independently per netting set.
• Imported Values allows for the capital charges to be calculated in an independent system and imported into the accelerator to be included in the reporting.

Currently, subsidiary support only applies to the SA calculations.

Because this feature was designed for the CRR2 reporting, the list of measures to which it applies are the ones requested in the CRR2 reporting template.

Netting Sets

A new (optional) file maps Legal Entities (and hence all sensitivities) to “netting sets”. The capital charges can be calculated independently for each netting set and summed.

Imported Capital Charges

A new (optional) file allows values to be imported for inclusion in the cube for reporting purposes. Each imported value is identified by legal entity and measures name. Each value will be added to the capital charge calculations whenever the corresponding legal entity is included.

Static Data Overrides

Some of the static data used to describe the risk factors can now be changed per jurisdiction.

The data which can be overridden includes:

• SBM: The underlying description (identified by Underlying), including the new bucket column.
• DRC non-Sec: The obligor description (identified by obligor id).
• DRC Sec non-CTP: The tranche description (identified by tranche id), including the new bucket column.
• RRAO: The new RRAO description (identified by the new RRAO category), including the new flag for RRAO inclusion.

Migration Guide

See the migration guide for details.

Change Log

Features

Issue Key	Details
FRTB-1900	SA DRC data model improvements
FRTB-2158	Map underlyings directly to buckets
FRTB-1948	Support for CRR2 reporting with subsidiaries (netting sets and imported values)
FRTB-2125	Support alternative underlying descriptions (including bucketing) using overrides

Added

Issue Key	Details
FRTB-2016	Add drillthrough columns to properly display sensitivity vectors
FRTB-2097	Integrate APM (ActivePivot Monitoring)
FRTB-2172	Improved support for additional datastore and cube configuration using Spring beans
FRTB-2122	Added flag for disabling the IMA cubes

Changed

Issue Key	Details
FRTB-2165	Upgrade Data Connectors to 1.2.2
FRTB-2026	Increased use of Acclerators common library
FRTB-2104	Change IMA liquidity horizon gap filling from datastore listener to DLC topic
FRTB-2204	Performance improvements converting SA DRC maturity to scaling factor

Fixed

Issue Key	Details
FRTB-2157	Entries in SA DRC Trade file with null maturity are no longer skipped
FRTB-2163	DRCBase store is now properly unloaded in DLC
FRTB-2122	Removed unwanted filters in Admin user’s UI settings.
FRTB-2126	Removed old context values from bookmarks
FRTB-2154	Fixed ActiveMonitor support in CustomActivePivotConfig

Documentation

The User and Reference Guides have been consolidated into one User & Reference Guide, which now includes the What’s New page, a high-level overview of the current release’s new functionality.

Security

None

3.0.1

2021-04-28
For directions to download the distribution files, click here

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.

• A NullPointerException may 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_STORE to DRC_BASE_STORE when unloading the TOPIC_DRC topic. Lines 313-314 of DataLoadControllerConfig.java in 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

• 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

• 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

• IMA Performance improvements
• Upgrade to ActivePivot 5.9 and accelerator-sdk 4.1.0
• Replaced XML Cube Configuration
• Integrated Data Connectors component (which includes the Data Load Controller (DLC) and Data Extract Engine (DEE))
• Additional CRR2 support
• Documentation on extending the Accelerator
• Starting with 3.0.0, the FX Complex Delta flag defaults to “Y” (use filtering) if not provided. Previously (2.4 and earlier), the default was N (use translations).

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 S_b and S_c 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	Topics on extending the Accelerator

Security

None

2.4.1

2021-08-30 Download the distribution files here

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.

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

• 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.

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 divider is not used but curvature prices set divider 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 FXDivider 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.\The 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 Divider to be applied correctly.(Can be omitted if the divider 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 divider 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 divider 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