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What's New

This page provides a brief overview of the user-facing new features and improvements in the latest version of Atoti FRTB.

For bug fixes and developer-facing changes, see our Changelog.

5.1.4

Summary

  • What-If: Improved support for distributed what-if.
  • What-If: Improved performance of what-if.
  • Bug fixes This release fixes some known issues.

5.1.3

Summary

  • Reinstating the Categories hierarchy: The Categories hierarchy that was removed in 5.1.0 can be added back with a configuration property.
  • Bug fixes This release fixes some known issues.

5.1.2

Summary

  • Atoti Server version: Upgraded to 6.0.13
  • Bug fixes This release fixes some known issues.

5.1.1

Summary

This release fixes some bugs.

5.1.0

Summary

  • Complete DirectQuery implementation for SA
  • Support for FX conversions of IMA ES P&L vectors
  • The Interpretation and Implementation Guide has been expanded to include details for SA DRC.
  • Upgrade to What-If 2.0 with support for distributed deployments
  • Definition of regulatory desks is now independent of the organization hierarchy
  • Upgrade to ISDA unit tests v3.3.1 with the addition of UK-PRA
  • Upgrade to Atoti Server 6.0.5 and Atoti UI 5.1.x
  • Memory use improvements over 5.0
  • Microsoft SQL Support: DirectQuery support for connecting to a Microsoft SQL Database has been added

New features

Complete DirectQuery implementation for SA

The integration of DirectQuery that was previewed in 5.0 has been completed.

Capital analytics users can now effortlessly access historical data directly from their warehouse within Atoti FRTB. With this technology, market risk users can delve deep into the data and analyze trends without the need for the in-memory loading step. DirectQuery not only enables historical analysis but also optimizes system resources.

FX Conversions of IMA ES P&L vectors

IMA ES P&L vectors can now be converted to your regulatory currency.

We introduce a solution for how to aggregate IMA for local teams in their risk-free currency while enabling global teams to report in the currency of the group level. Previously a single FX rate was used for the P&L vectors. However, for the FX risk-class, the scenarios involved shocking the FX rates.

Now, you have the ability to provide simulated PV data instead of PL, and dynamically apply simulated FX rates to ensure accurate handling of the risk-free currency. The shocked PV can be converted using the shocked FX rate, while the base PV is converted using the base FX rate. This enhancement guarantees seamless IMA aggregation across multiple balance sheet currencies.

Separation of Regulatory Desks and Organization Hierarchy

We have introduced the concept of regulatory desks as distinct entities from the organizational hierarchies utilized for internal risk management. Recognizing that organizations often have multiple organizational hierarchies, our aim is to help simplify the management of these hierarchies.

With this update, every trade is now linked not only to one or more organizational structures via books but also to a regulatory desk. This linkage has a direct impact on the capital treatment of each trade, whether it falls under IMA or SA. This refined approach ensures greater flexibility and accuracy in managing trade-specific regulatory requirements while maintaining the integrity of organizational hierarchies.

What-if simulations on the organization hierarchy will not impact the desk-level calculations, and these simulations are no longer restricted by regulatory desks. Additionally, new what-if simulations can move books between desks without impacting the organization hierarchy.

Overrides With DirectQuery

Overrides can now be specified in remote Database tables to define overrides. The Override tables are outlined within the Database section of the docs. For a step-by-step walkthrough guide, see Overrides With DirectQuery.

Microsoft SQL Database Support

Atoti FRTB now supports connecting to a Microsoft SQL database as a data source through the use of DirectQuery. Please refer to the Using a Microsoft SQL Database section for a guide on how to connect to a Microsoft SQL database.

Improvements

  • ISDA unit tests v3.3.1: The distribution now contains updated ISDA unit tests, this includes the UK-PRA parameter set.
  • Reduced Memory Use: The memory use for the in-memory database is now closer to what it was in 4.1
  • Improved ETL performance: The ETL is faster and uses less memory.
  • What-If 2.0: The new version of the what-if simulations now support distributed deployments.

5.0.1+1

Known issues

  • LIM-581 - FRTB 5.0.1 is not compatible with the Limits Module.

Summary

  • Fixed known issue in 5.0.1 where What-Ifs created through the Parameter Sets widget were not visible in the What-If Manager widget. You can now view /delete them through the What-If Manager widget.

5.0.1

Known issues

  • Updated 2023-03-20: The What-If Manager does not show Parameter Sets widget changes.
  • LIM-581 - FRTB 5.0.1 is not compatible with the Limits Module.

Summary

  • Switch Desk Model improvements : Redundant fields have been removed and minor defects preventing the form from being populated correctly have been fixed.
  • Database Schema Update: Legal Entity Attributes database definition now includes Not Null fields.

5.0.0

Known issues

  • Updated 2023-03-20: The What-If Manager does not show Parameter Sets widget changes.
  • Updated 2023-02-27: FRTB-2682 - The documented mechanism for customizing the ETL is not working.
  • Updated 2023-02-14: FRTB-2701 - Distribution is not working for IMA. It is only working for SA.
  • LIM-581 - FRTB 5.0.0 is not compatible with the Limits Module.

Summary

  • Added preview support for the Standardised Approach with DirectQuery
  • Added support for overlapping tranches in CSR Sec non-CTP. New columns added to Delta, Vega, Curvature, and Underlying Description Overrides files
  • Merged summary and trade-level cubes. The IMADRCSummaryCube and the PLSummaryCube have been removed. Data are now in the IMADRCCube and the PLCube, respectively.

New features

DirectQuery Preview (FRTB-SA)

This version of Atoti FRTB includes a preview of DirectQuery support for the Standardised Approach.

This preview includes all SA calculations, but does not have full multi-jurisdictional support and has limited customizability.

Currently, DirectQuery does not support what-ifs, sign-off, or data updates. These features are only available using the in-memory datastore.

Summary cubes

The IMADRCSummaryCube and the PLSummaryCube have been removed. Data are now in the IMADRCCube and the PLCube, respectively. For details, see Migration Notes

CSR Sec non-CTP tranche overlaps

To determine when two tranches overlap, the Accelerator now collects additional details for each tranche: Pool, Attachment, and Detachment.

These fields can be provided in the Delta, Vega, Curvature, and Underlying Description Overrides. These fields are optional in all four files. In the Delta, Vega, and Curvature files, if the pool is not provided then the Tranche field is copied to the Pool field.