Supported sign-off adjustments in FRTB
This page details the adjustment types available in the FRTB Accelerator, together with details of the execution workflow.
Adjustment types
Multiple adjustment types are available out of the box in the FRTB Accelerator.
| Cube | Metric | Adjustment type | Description | Input value type | Base value type |
|---|---|---|---|---|---|
| StandardisedApproachCube | Default Risk Charge | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Scalar |
| StandardisedApproachCube | Default Risk Charge | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Scalar |
| StandardisedApproachCube | Default Risk Charge | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Scalar |
| StandardisedApproachCube | Equity Delta Sensitivities, FX Delta Sensitivities | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Vector |
| StandardisedApproachCube | Equity Delta Sensitivities, FX Delta Sensitivities | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Vector |
| StandardisedApproachCube | Equity Delta Sensitivities, FX Delta Sensitivities | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Delta Sensitivities, CSR non-Sec Delta Sensitivities, CSR Sec CTP Delta Sensitivities, GIRR Delta Sensitivities | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Delta Sensitivities, CSR non-Sec Delta Sensitivities, CSR Sec CTP Delta Sensitivities, GIRR Delta Sensitivities | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Delta Sensitivities, CSR non-Sec Delta Sensitivities, CSR Sec CTP Delta Sensitivities, GIRR Delta Sensitivities | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Up, Commodity Curvature CVR Up, CSR Sec CTP Curvature CVR Up, Equity Curvature CVR Up, FX Curvature CVR Up, GIRR Curvature CVR Up | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Up, Commodity Curvature CVR Up, CSR Sec CTP Curvature CVR Up, Equity Curvature CVR Up, FX Curvature CVR Up, GIRR Curvature CVR Up | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Up, Commodity Curvature CVR Up, CSR Sec CTP Curvature CVR Up, Equity Curvature CVR Up, FX Curvature CVR Up, GIRR Curvature CVR Up | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Down, Commodity Curvature CVR Down, CSR Sec CTP Curvature CVR Down, Equity Curvature CVR Down, FX Curvature CVR Down, GIRR Curvature CVR Down | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Down, Commodity Curvature CVR Down, CSR Sec CTP Curvature CVR Down, Equity Curvature CVR Down, FX Curvature CVR Down, GIRR Curvature CVR Down | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Down, Commodity Curvature CVR Down, CSR Sec CTP Curvature CVR Down, Equity Curvature CVR Down, FX Curvature CVR Down, GIRR Curvature CVR Down | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Vega Sensitivities, CSR non-Sec Vega Sensitivities, CSR Sec CTP Vega Sensitivities, GIRR Vega Sensitivities, Equity Vega Sensitivities, FX Vega Sensitivities | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Vega Sensitivities, CSR non-Sec Vega Sensitivities, CSR Sec CTP Vega Sensitivities, GIRR Vega Sensitivities, Equity Vega Sensitivities, FX Vega Sensitivities | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Vega Sensitivities, CSR non-Sec Vega Sensitivities, CSR Sec CTP Vega Sensitivities, GIRR Vega Sensitivities, Equity Vega Sensitivities, FX Vega Sensitivities | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Vector |
| InternalModelApproachCube | IMCC | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Date | Vector |
Execution details
Functional workflow
Executing an adjustment should conform to the following steps:
| Step | Details |
|---|---|
| Retrieve supported adjustments from the appropriate REST endpoint | The adjustment requests need to conform to the specification returned by the supported adjustments service, but once the requests are created, this step isn’t necessary. |
| Initiate the sign-off task | The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘INITIATED’. |
| Request adjustment. | Adjustment requests will be executed asynchronously on the sign-off snapshot. There is no limit to the number of adjustments that can be requested for a snapshot. |
| Approve the sign-off task | The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘APPROVED’. |
| Retrieve the status of an adjustment execution | As adjustments are executed asynchronously, a service is provided for retrieving the status of a given adjustment execution. Any errors in the execution of an adjustment will result in a FAILED status being returned by the status service. |