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Changelog

For user-facing changes, refer to the What’s New page. For information on upgrading from previous versions, see the Atoti FRTB Migration Notes

5.2.4

2024-09-25

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The distribution files comprise the following zipped artifacts:

UI source code.
UI build that does not require an installation and can be directly deployed.
Source files that can be used to build the module.
Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.16 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
Offline documentation that can be served by the module.

Summary

Upgrade to Atoti Server 6.0.16
Bug fixes and security updates

Known issues

None.

Dependency versions

Component	Version
Adjustments Services API	2.2.0
Atoti Server	6.0.16
Atoti UI	5.1.x
Data Connectors	4.0.3
Java	JDK17
Sign-Off API	2.1.0
UI Components	5.0.29
What-If	2.1.5

ISDA version

This release is compliant with ISDA v.3.3.1.

Additionally, this release has been reconciled with a beta release of 3.4.0.

Changed

Issue Key	Details
FRTB-3253	Upgrade to Atoti Server 6.0.16

Fixed

Issue Key	Details
FRTB-3245	The FX Divider field is now correctly populated when loading FX Delta files.
FRTB-3249	The FX Divider field is now used correctly in Delta stripping.
FRTB-3259	Fixed expected payload for Book-Desk Switch What-If.

5.2.3

2024-08-15

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The distribution files comprise the following zipped artifacts:

UI source code.
UI build that does not require an installation and can be directly deployed.
Source files that can be used to build the module.
Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.15 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
Offline documentation that can be served by the module.

Summary

Distributed what-if configuration: Additional options to configure distributed what-if.
Upgrade to Atoti Server 6.0.15
What-if performance: Reconfigured what-if engine to improve performance
Bug fixes and security updates

Known issues

Issue Key	Details
FRTB-3245 FRTB-3249	The FX Divider field is not being correctly used when Delta stripping.
FRTB-3259	The Book-Desk Switch What-If was expecting an incorrect payload.

Dependency versions

Component	Version
Adjustments Services API	2.2.0
Atoti Server	6.0.15
Atoti UI	5.1.x
Data Connectors	4.0.3
Java	JDK17
Sign-Off API	2.1.0
UI Components	5.0.29
What-If	2.1.5

ISDA version

This release is compliant with ISDA v.3.3.1.

Additionally, this release has been reconciled with a beta release of 3.4.0.

Distributed What-If

The distributed what-if configuration has been improved by adding additional options to configure the communication with the data nodes. The data nodes can now provide more information to the query node on how to connect to the REST endpoints. This includes the data node REST endpoint protocol and host name.

What-If Performance

The what-if engine has been reconfigured to improve performance of what-if simulations. Instead of persisting the simulation statuses to the datastore, they are now stored in a JDBC database. The default configuration uses an in-memory h2 database.

Changed

Issue Key	Details
FRTB-2922	Updated what-if engine configuration to use JDBC database for persisting simulation status.
FRTB-3144	Added configuration options for distributed what-if.
FRTB-3229	Removed old offline documentation from `/static/documentation`. Added configuration option to specify offline documentation location.

Fixed

Issue Key	Details
FRTB-3121	Fixed calculation of reported and netted measure variations to pick the SBM scenario per netting set.
FRTB-3128	Fixed support for Equity funds in SA DRC.
FRTB-3152	Fixed currency used for RRAO Notional.
FRTB-3167	Fixed key fields for SBM Delta, SBM Curvature, and SA DRC summary files to avoid duplicates.
FRTB-3208	Fixed generation of risk-factor name for DRC non-Sec when using the zero-risk-weight flag.
FRTB-3227	Updated dependencies to address security alerts.

5.2.2

2024-05-23

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The distribution files comprise the following zipped artifacts:

UI source code.
UI build that does not require an installation and can be directly deployed.
Source files that can be used to build the module.
Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.13 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
Offline documentation that can be served by the module.

Summary

Bug fixes

Known issues

None.

Dependency versions

Component	Version
Adjustments Services API	2.2.0
Atoti Server	6.0.13
Atoti UI	5.1.x
Data Connectors	4.0.3
Java	JDK17
Sign-Off API	2.1.0
UI Components	5.0.29
What-If	2.1.1

ISDA version

This release is compliant with ISDA v.3.3.1.

Additionally, this release has been reconciled with a beta release of 3.4.0.

Removed

Issue Key	Details
FRTB-3112	PeriodicActivePivotSchemaRebuilder has been disabled, and will be removed in a future release

Fixed

Issue Key	Details
FRTB-3097	Fixed an issue where currency from RRAO trade files was not being published to the SASensitivities store
FRTB-3093	Fixed FX Delta when translating from the base currency to the reporting currency with FXComplexTrade==N and Optionality=Y.
FRTB-3094	Fixed Curvature queries when the risk-factor is in the location and there is only a single risk-factor in the results.

5.2.1

2024-04-30

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The distribution files comprise the following zipped artifacts:

UI source code.
UI build that does not require an installation and can be directly deployed.
Source files that can be used to build the module.
Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.13 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
Offline documentation that can be served by the module.

Summary

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

Known issues

Issue Key	Details
FRTB-3093	The FX Delta translations from the base currency to the reporting currency don’t always work when FXComplexTrade==N and Optionality=Y.
FRTB-3094	Some Curvature queries don’t work when the risk-factor is in the location and there is exactly one risk-factor in the results.

Dependency versions

Component	Version
Adjustments Services API	2.2.0
Atoti Server	6.0.13
Atoti UI	5.1.x
Data Connectors	4.0.3
Java	JDK17
Sign-Off API	2.1.0
UI Components	5.0.29
What-If	2.1.1

ISDA version

This release is compliant with ISDA v.3.3.1.

Additionally, this release has been reconciled with a beta release of 3.4.0.

Changed

Issue Key	Details
FRTB-3030	Upgrade to Atoti Server 6.0.13.
FRTB-3069	Improved customization of JwtAuthenticationConfigurer by using interfaces where possible.

Fixed

Issue Key	Details
FRTB-2939	Fixed the Duplicate checkbox to work when scaling trades.
FRTB-3023	Fixed intermittent FX translation risk calculations.
FRTB-3031	Fixed filtering of FX Delta sensitivities which have set the flag `FXComplexTrade=Y`.
FRTB-3037	Fixed creation of risk-factor name by correctly including the tenor.

5.2.0

2023-12-13

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The distribution files comprise the following zipped artifacts:

UI source code.
UI build that does not require an installation and can be directly deployed.
Source files that can be used to build the module.
Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.9 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
Offline documentation that can be served by the module.

Summary

US FRB Jurisdictions: Added support for NPR from US FRB, including new US-NPR parameter set and reconciliation with a beta version of the ISDA unit tests. See US FRB support.
Stress Calibration P&L Vector : The P&L vector for the stress calibration calculations has been replaced with a PV vector and a base PV value. This change is backwards compatible.
SA Summary Data: SA summary files can now be loaded into the SA cube. These files can be created by exporting data from the SA cube.
Upgraded CRIF file format: Upgraded CRIF file format to ISDA FRTB-SA version 1.6.
- Added support for DRC Sec non-CTP Variant 2 in CRIF file format.
Java 17: Java 17 is now required to run Atoti FRTB.
Spring Security: Upgraded to version 5.8.7 to resolve vulnerabilities.
Atoti Server 6.0.9: Upgraded to the latest version of Atoti Server
Database Schema: Removed unnecessary tables from the DirectQuery database schema.
Configuration data re-organization: Reference configuration data for non-BCBS Parameter sets have been separated into their own folders. Additionally, file names for separated data have suffixes denoting parameter set.

Known issues

Issue Key	Details
FRTB-2939	Selecting the Duplicate checkbox when scaling trades results in an error.
FRTB-3023	There are intermittent errors in the FX translation risk calculations.
FRTB-3031	FX Delta sensitivities with the flag `FXComplexTrade=Y` are always filtered by the base currency, even if the base currency isn’t used. The workaround is to set `sa.fx.base-currency` equal to `sa.fx.reporting-currency` when not using the base currency.
FRTB-3037	When loading sensitivities one per row without supplying a risk-factor name, the tenor is missed from the generated risk-factor name. A potential workaround is to set `sbm.risk-factor.always-append-tenor=true`
FRTB-3093	The FX Delta translations from the base currency to the reporting currency don’t always work when FXComplexTrade==N and Optionality=Y.
FRTB-3094	Some Curvature queries don’t work when the risk-factor is in the location and there is exactly one risk-factor in the results.

Dependency versions

Component	Version
Adjustments Services API	2.2.0
Atoti Server	6.0.9
Atoti UI	5.1.x
Data Connectors	4.0.3
Java	JDK17
Sign-Off API	2.1.0
UI Components	5.0.29
What-If	2.1.1

ISDA version

This release is compliant with ISDA v.3.3.1.

Additionally, this release has been reconciled with a beta release of 3.4.0.

Added

Issue Key	Details
FRTB-1864	Added RRAO input file and deprecated RRAO fields in the trade attributes file.
FRTB-2594	Added extraction procedures and loading topics for StandardisedApproachCube summary data.
FRTB-2851	Added support for NPR from US FRB, including new US-NPR parameter set.

Changed

Issue Key	Details
FRTB-2601	Changed Equity gamma correlation configuration.
FRTB-2602	Changed CSR gamma correlation configuration.
FRTB-2738	Split Stress Calibration P&L vector into a PV vector and a base PV value.
FRTB-2847	Changed variable names and references for the topic configs.
FRTB-2876	Updated CRIF file format to ISDA FRTB-SA version 1.6.
FRTB-2881	Updated Admin UI to 5.1.2.
FRTB-2889	Moved to Java 17.
FRTB-2890	Upgraded to Spring Security 5.8.7.
FRTB-2905	Removed NRL currency from reference dataset (imaginary currency used in ISDA tests).
FRTB-2910	Upgraded to Atoti Server 6.0.9.
FRTB-2912	Split configuration files by jurisdiction.

Removed

Issue Key	Details
FRTB-2600	Removed technical “DRC Seniority Ranking” level.
FRTB-2603	Removed technical “Category” hierarchies for SBM Equity and CSR.

Fixed

Issue Key	Details
FRTB-2879	Fixed issue with GIRR sensitivities being lost when UnderlyingMaturity vectors were of length one for multiple trades under the same underlying.
FRTB-2901	Fixed autogenerated overrides.
FRTB-2923	Fixed issue with combined parent child files (now deprecated) not triggering book hierarchy topic.
FRTB-2924	Fixed issue with risk weights being merged with duplicate curvature tuples.
FRTB-2929	Fixed issue with risk factors containing “%” character and corrected issue where tenor would not be added to non vectorized data if `sbm.risk-factor.always-append-tenor` was set to true.

5.1.3

2024-06-05

Download the distribution files here

The distribution files comprise the following zipped artifacts:

UI source code.
UI build that does not require an installation and can be directly deployed.
Source files that can be used to build the module.
Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.13 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
Offline documentation that can be served by the module.

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.

Known issues

Issue Key Details

Updated 2023-09-26:
BAS-1456 When Sign-Off is enabled, the DEE template orders generate duplicate rows.

This occurs because the Sign-off Status slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported.

Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location:Feed@Sign-off Status@Sign-off=LATEST
Note: Levels must be separated by semi-colons.

This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.

FRTB-2868 There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release.

Dependency versions

Component	Version
Adjustments Services API	2.2.0
Atoti Server	6.0.13
Atoti UI	5.1.x
Common Library	1.15.0-AS6.0
Data Connectors	4.0.2
Java	JDK11
Sign-Off API	2.1.0
UI Components	5.0.29
What-If	2.1.1

Added

Issue Key	Details
FRTB-3075	Reinstated the Categories hierarchy (requires property `categories-hierarchy.enabled=true`).

Changed

Issue Key	Details
FRTB-3098	PeriodicActivePivotSchemaRebuilder has been disabled, and will be removed in a future release

Fixed

Issue Key	Details
FRTB-3093	Fixed FX Delta when translating from the base currency to the reporting currency with FXComplexTrade==N and Optionality=Y.
FRTB-3094	Fixed Curvature queries when the risk-factor is in the location and there is only a single risk-factor in the results.

5.1.2

2024-04-16

Download the distribution files here

The distribution files comprise the following zipped artifacts:

UI source code.
UI build that does not require an installation and can be directly deployed.
Source files that can be used to build the module.
Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.13 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
Offline documentation that can be served by the module.

Summary

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

Known issues

Issue Key	Details
Updated 2023-09-26: BAS-1456	When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the `Sign-off Status` slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported. Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location:`Feed@Sign-off Status@Sign-off=LATEST` Note: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.
FRTB-2868	There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release.
FRTB-3093	The FX Delta translations from the base currency to the reporting currency don’t always work when FXComplexTrade==N and Optionality=Y.
FRTB-3094	Some Curvature queries don’t work when the risk-factor is in the location and there is exactly one risk-factor in the results.

Dependency versions

Component	Version
Adjustments Services API	2.2.0
Atoti Server	6.0.13
Atoti UI	5.1.x
Common Library	1.15.0-AS6.0
Data Connectors	4.0.2
Java	JDK11
Sign-Off API	2.1.0
UI Components	5.0.29
What-If	2.1.1

Changed

Issue Key	Details
FRTB-3038	Upgrade to Atoti Server 6.0.13.

Fixed

Issue Key	Details
FRTB-3023	Fixed intermittent FX translation risk calculations.
FRTB-3031	Fixed filtering of FX Delta sensitivities which have set the flag `FXComplexTrade=Y`.
FRTB-3037	Fixed creation of risk-factor name by correctly including the tenor.

5.1.1

2023-12-14

Download the distribution files here

The distribution files comprise the following zipped artifacts:

UI source code.
UI build that does not require an installation and can be directly deployed.
Source files that can be used to build the module.
Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.7 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
Offline documentation that can be served by the module.

Known issues

Issue Key	Details
Updated 2023-09-26: BAS-1456	When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the `Sign-off Status` slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported. Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location:`Feed@Sign-off Status@Sign-off=LATEST` Note: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.
FRTB-2868	There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release.
FRTB-3023	There are intermittent errors in the FX translation risk calculations.
FRTB-3031	FX Delta sensitivities with the flag `FXComplexTrade=Y` are always filtered by the base currency, even if the base currency isn’t used. The workaround is to set `sa.fx.base-currency` equal to `sa.fx.reporting-currency` when not using the base currency.
FRTB-3037	When loading sensitivities one per row without supplying a risk-factor name, the tenor is missed from the generated risk-factor name. A potential workaround is to set `sbm.risk-factor.always-append-tenor=true`
FRTB-3093	The FX Delta translations from the base currency to the reporting currency don’t always work when FXComplexTrade==N and Optionality=Y.
FRTB-3094	Some Curvature queries don’t work when the risk-factor is in the location and there is exactly one risk-factor in the results.

Summary

This release fixes some bugs.

Dependency versions

Component	Version
Adjustments Services API	2.2.0
Atoti Server	6.0.7
Atoti UI	5.1.x
Data Connectors	4.0.1
Java	JDK11
Sign-Off API	2.1.0
UI Components	5.0.29
What-If	2.1.1

Fixed

Issue Key	Details
FRTB-2879	Fixed issue with GIRR sensitivities being lost when UnderlyingMaturity vectors were of length one for multiple trades under the same underlying
FRTB-2901	Fixed autogenerated overrides
FRTB-2923	Fixed issue with combined parent child files (now deprecated) not triggering book hierarchy topic
FRTB-2924	Fixed issue with risk weights being merged with duplicate curvature tuples
FRTB-2929	Fixed issue with risk factors containing “%” character and corrected issue where tenor would not be added to non vectorized data if `sbm.risk-factor.always-append-tenor` was set to true.
FRTB-2941	Fixed issue with `FRTB Desk=N` flag being interpreted as `Y` in BookParentChild.v1.csv.

5.1.0

2023-08-17

Download the distribution files here

The distribution files comprise the following zipped artifacts:

UI source code.
UI build that does not require an installation and can be directly deployed.
Source files that can be used to build the module.
Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.5 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

Offline documentation that can be served by the module.

Known issues

Issue Key	Details
Updated 2023-12-05: FRTB-2929	ETL breaks for risk-factor names containing “%”.
Updated 2023-09-26: BAS-1456	When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the `Sign-off Status` slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported. Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location:`Feed@Sign-off Status@Sign-off=LATEST` Note: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.
FRTB-2868	There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release.
FRTB-3023	There are intermittent errors in the FX translation risk calculations.
FRTB-3031	FX Delta sensitivities with the flag `FXComplexTrade=Y` are always filtered by the base currency, even if the base currency isn’t used. The workaround is to set `sa.fx.base-currency` equal to `sa.fx.reporting-currency` when not using the base currency.
FRTB-3037	When loading sensitivities one per row without supplying a risk-factor name, the tenor is missed from the generated risk-factor name. A potential workaround is to set `sbm.risk-factor.always-append-tenor=true`
FRTB-3093	The FX Delta translations from the base currency to the reporting currency don’t always work when FXComplexTrade==N and Optionality=Y.
FRTB-3094	Some Curvature queries don’t work when the risk-factor is in the location and there is exactly one risk-factor in the results.

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

Dependency versions

Component	Version
Adjustments Services API	2.2.0
Atoti Server	6.0.5
Atoti UI	5.1.x
Data Connectors	4.0.1
Java	JDK11
Sign-Off API	2.1.0
UI Components	5.0.24
What-If	2.1.1

DirectQuery

Parent-child table support with DirectQuery: You can now use the LegalEntityParentChild and BookParentChild tables to directly populate the LegalEntityHierarchy and BookHierarchy tables respectively. See Legal Entity Hierarchy and Book Hierarchy for details.
Overrides With DirectQuery: Overriding risk-factor descriptions for different Parameter Sets is now supported with DirectQuery. See Overrides With DirectQuery for details.
DirectQuery Schema Validation: Schema can be validated at startup or on-demand through the DirectQuery REST service. DirectQuery Application Refresh: Application can be refreshed to be in sync with the remote database through the DirectQuery REST service.
DirectQuery REST Service: REST service to interact with DirectQuery and perform health checks.
New DirectQuery Properties: Properties have been added to:
- wait for DirectQuery data loading on startup
- validate remote database schema on startup
- specify a feedingWarehouse for Snowflake
- set clustering properties to improve database query times
Added Clustering to DirectQuery: Clustering fields can be specified to improve query performance on remote databases when using DirectQuery.
DirectQuery Annotations: Annotations for use with DirectQuery have been added to help make defining beans and configuration classes easier when using DirectQuery.
Microsoft SQL Support: Support for connecting to a Microsoft SQL Database has been added.
Customizable Date Filters: A new bean has been added that allows for customizing which dates to include in your DirectQuery data node.
DirectQuery nodes work with InMemory Sign-off enabled nodes: A DirectQuery data node can now be connected to nodes with Sign-off enabled.

Other Changes

Simplified combining UIs: Introduction of Atoti UI 5.1 simplifies how to activate and configure UI features in Atoti FRTB and across combined Atoti Business Solutions. See Configuring the UI for details.
Added SA Query Cube : With this query cube, you can now query data across multiple data nodes in the StandardisedApproachCube. See the SA Query Cube section in the migration notes for more.
Added SA measure : The new “SA” measure is the “Portfolio Risk Charge” measure calculated independently for IRT and non-IRT desks, then summed.
IMA ES P&L Vector : The P&L vector for the IMA ES calculations has been replaced with a PV vector and a base PV value. This change is backwards compatible. See IMA ES FX Conversions for details.
Parameter Adjustments: Update parameters to match ISDA unit tests in all data sets.
Added Underlying field to SASensitivities store: This new field is used in store partitioning to improve performance of ETL and queries.
Add support for summary data in SA Cube: Added “TradeKey” field to SASensitivities store to support summary data in the SA Cube.

ISDA version

This release is compliant with ISDA v.3.3.1.

Added

Issue Key	Details
FRTB-2833	Added Underlying field to SASensitivities store.
FRTB-2831	Microsoft SQL Support: Support for connecting to a Microsoft SQL Database has been added.
FRTB-2781	DirectQuery data nodes are compatible with in-memory data nodes with sign-off enabled.
FRTB-2779	Added ability to refresh a DirectQuery application to account for updates to the remote database.
FRTB-2779	Added ability to validate a remote database schema.
FRTB-2779	Added configuration properties to wait for DirectQuery to finish data loading before cube starts.
FRTB-2779	Added REST service to refresh and validate the DirectQuery remote database data on-demand.
FRTB-2769	Added `sbm.risk-factor.always-append-tenor` configuration option to always append the tenor to the risk factor name in the ETL.
FRTB-2751	Add UK-PRA parameter set to default configuration files.
FRTB-2750	Support UK-PRA in ISDA unit tests.
FRTB-2747	All REST services are now listed in the versions endpoint.
FRTB-2721	Overriding risk-factor descriptions for different Parameter Sets is now supported with DirectQuery.
FRTB-2716	Added directQueryDatesToIncludeFilter bean to customize which dates to include in your DirectQuery data node.
FRTB-2690	Added ability to populate LegalEntityHierarchy table from a LegalEntityParentChild relationship table in DirectQuery through SQL Views.
FRTB-2666	Add SA query node to support horizontal distribution of SA cube.
FRTB-2588	Support curvature PV ladder in DirectQuery.
FRTB-2567	Improved support for remote content server.
FRTB-2486	Report “NaN” for DRC Net JTD when seniority ranking is missing.
FRTB-2468	Added `CSRNonSec_HighRatings.csv` configuration file to specify which ratings are considered “high” for CSR non-Sec covered bonds.

Changed

Issue Key	Details
FRTB-2790	Upgrade to Atoti Server 6.0.5.
FRTB-2784	Fix memory use by merging the stores `TradeBase`, `Delta`, `Vega`, `Curvature`, and `DRCBase` into a single `SASensitivities` store.
FRTB-2772	Upgrade to AdminUI 5.1.1.
FRTB-2763	Tighten security for default configuration of Spring boot actuator and require admin role.
FRTB-2740	Moved DirectQuery code out of `preview` package.
FRTB-2738	Split IMA ES P&L vector into a PV vector and a base PV value.
FRTB-2735	Moved IMAMultiplier.csv file from daily files to configuration files.
FRTB-2713	Support version 3.3.1 of the ISDA unit test.
FRTB-2713	Support version 1.4 of the ISDA FRTB-SA CRIF file format.
FRTB-2711	Change ChannelParameters to follow fluent conventions instead of having a POJO which has multiple constructors.
FRTB-2698	Similar to ACR, calculate “Portfolio Risk Charge” independently for IRT and non-IRT desks.
FRTB-2694	Upgrade to version 2.0 of What-If tool.
FRTB-2689	Regulatory desks are now independent of the multi-level book hierarchy.
FRTB-2688	Stabilize DRC non-Sec Net JTD calculations by treating near-zero aggregated values of Scaled Gross JTD as zero. Configured using the existing `aggregated-double-precision` configuration options.
FRTB-2575	Make SA compatible with summary data.
FRTB-2574	Support customizations replacing the measures representing the underlying IMA ES P&L vectors. Update the annotations used for customizing measures.
FRTB-1890	Update default parameter values to match ISDA unit tests.

Removed

Issue Key	Details
FRTB-2811	The SBM CSR and Equity “Category” hierarchies have been deprecated (and hidden).
FRTB-2584	Stop using (previously deprecated) trade-level PV and notional for SA DRC and Curvature.

Fixed

Issue Key	Details
FRTB-2835	For Scenario FX rates, log error and return NaN when missing base FX rate.
FRTB-2830	Improve performance of ETL.
FRTB-2820	Improve memory use.
FRTB-2748	CRIF file export now populates Variant column.
FRTB-2734	Fixed Exception when invoking drillin REST endpoint.

5.0.1+1

2023-03-23

The FRTB 5.0.1+1 release is a UI-only release updating the following dependencies:

Component	Version
Accelerator-sdk	5.0.18
frtb-sdk	frtb-sdk-5.0.1-ui-update-1

note

No server-side changes were made. See the FRTB 5.0.1 release notes below for the latest server-side distribution files.

To download the FRTB 5.0.1-ui-update-1 UI-only distribution file, click here.

For instructions on downloading the artifacts, click here.

Known issues

Issue Key Details

Updated 2023-12-05:
FRTB-2935 ETL breaks for risk-factor names containing “%”.

Updated 2023-09-26:
BAS-1456 When Sign-Off is enabled, the DEE template orders generate duplicate rows.

This occurs because the Sign-off Status slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported.

Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location:Feed@Sign-off Status@Sign-off=INTRA-DAY
Note: Levels must be separated by semi-colons.

This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.

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

2023-03-15

Download the distribution files here

The distribution files comprise the following zipped artifacts:

UI source code.
UI build that does not require an installation and can be directly deployed.
Source files that can be used to build the module.
Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.3 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
Offline documentation that can be served by the module.

Known issues

Issue Key	Details
Updated 2023-12-05: FRTB-2935	ETL breaks for risk-factor names containing “%”.
Updated 2023-09-26: BAS-1456	When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the `Sign-off Status` slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported. Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location:`Feed@Sign-off Status@Sign-off=INTRA-DAY` Note: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.
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.
ClickHouse Database Support : Added support to connect to a ClickHouse Database.
Feature Flags : Added configuration options to turn off or hide unused features.
Fix ETL Customization Support : Fixed and updated support for customizing the ETL.

Dependency versions

Component	Version
Atoti Server	6.0.3
ActiveUI	5.0.21
Data Connectors	4.0.0
Java	JDK11
What-If	1.8.0
Accelerator SDK	5.0.17
Sign-Off API	2.1.0

Added

Issue Key	Details
FRTB-2591	Added feature flags for hiding Capital allocation and Incremental Analysis measures.
FRTB-2592	Added feature flags for disabling each What-If analysis REST endpoint.
FRTB-2655	Added support to connect to a ClickHouse Database using DirectQuery.
FRTB-2593	Added Bookmark filtering functionality when importing bookmarks from a folder based on disabled features.

Changed

Issue Key	Details
UIACL-137	Removed “From Branch” from the “Switch Desk Model” popup and fixed minor defects that caused
the popup fields to be populated incorrectly.
FRTB-2453	Changed file-pattern property values in frtb-data-load.properties to end in `*.csv{,.gz}` to
support loading gzipped files.
FRTB-2682	Simplified and standardized ETL configuration to use ChannelParameter beans which are easier
customize.
FRTB-2678	Overhauled client extensibility documentation to highlight the use of ChannelParameters Beans
introduced by FRTB-2682
FRTB-2663	Added endpoint to Parameter Sets widget to replace the one previously exposed by the
Datastore Viewer (removed in FRTB 5.0.0)

Fixed

Issue Key	Details
FRTB-2709	Fixed bug where the SBMCorrelationScenario postprocessor was incorrectly typed to a double.
FRTB-2705	Fixed bug in optionality service

5.0.0

2022-12-19

Download the distribution files here

The distribution files comprise the following zipped artifacts:

UI source code.
UI build that does not require an installation and can be directly deployed.
Source files that can be used to build the module.
Maven repository required to build the project and run the tests.
note
The ActiveViam 6.0.1 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
Offline documentation that can be served by the module.

Known issues

Issue Key	Details
Updated 2023-12-05: FRTB-2935	ETL breaks for risk-factor names containing “%”.
Updated 2023-09-26: BAS-1456	When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the `Sign-off Status` slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported. Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location:`Feed@Sign-off Status@Sign-off=INTRA-DAY` Note: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.
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

Upgrade to ActivePivot 6.0.1
Preview support for the Standardised Approach with DirectQuery
Added support for overlapping tranches in CSR Sec non-CTP
Merged summary and trade-level cubes
Moved SBM sensitivity interpolation to query time and store sensitivities as scalars

Dependency versions

Component	Version
ActivePivot	6.0.1
ActiveUI	5.0.15
Data Connectors	4.0.0
Java	JDK11
What-if	1.8.0
Accelerator SDK	5.0.15
Sign-Off API	2.1.0

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.

CSR Sec non-CTP tranche overlaps

In MAR 21.68, it is possible for two different risk-factors to have a correlation of 1 if they represent different tranches which overlap by more than 80%. Moreover, it is possible to have three tranches (from the same pool) with two pairs overlapping, while the third pair doesn’t.

Two tranches are considered to overlap if they belong to the same pool, and there is an 80% overlap of notional, as determined from the attachment and detachment points. Tranches in the same pool are checked for overlap at query time.

If no pool is specified for a tranche, then it will not be checked for overlap with other tranches.

To facilitate this, three additional fields–pool, attachment, and detachment–have been added to the Delta, Vega, Curvature, and Underlying Description Overrides input files. These three fields are also available as levels in the cube.

Merge Summary and Trade-Level cubes

The summary cubes have been removed. Instead the current trade-level cubes are now capable of holding summary data.

There are no changes to the file formats. The trade-level files will still be loaded as normal. The summary files will also be loaded into the same cube.

On the combined cube, some of the measures will have a suffix removed (e.g. .IMAMeasures). We no longer support loading data for the same as-of date simultaneously at the trade-level and summary level.

Additionally, the measures in the stress calibration cube were renamed to avoid a naming conflict with the IMA ES measures. Those measure which represent calculations over a one year window have the suffix .Window appended.

Sensitivity Storage and Interpolation

Previously, we stored vectors of sensitivities in the datastore. These vectors were indexed by the prescribed maturities and interpolated from the input sensitivities in the ETL.

Now, we store sensitivities as scalars using the original maturities. We perform the interpolation to the prescribed maturities at query time.

This also changes the definitions of the risk-factors used in the cube. Previously, the risk-factors did not include the maturity and represented a vector indexed by maturity. Now, the risk-factors include the original (input) maturity. So where there was previously a single risk-factor representing a vector, there are now multiple risk-factors.

Added

Issue Key	Details
FRTB-2657	Added the `user-detail-filename` property for loading user detail service from a file.
FRTB-2570	Added the SBM Risk Charge (reference scenario) measure to help with reporting.
FRTB-2500	Add support for overlapping tranches in CSR Sec non-CTP
FRTB-2568	Added Kolmogorov-Smirnov Test p-value measure.
FRTB-2634	Added `aggregated-double-precision` property to define the precision when testing equality of up and down curvature risk position scenarios

Changed

Issue Key	Details
FRTB-2583	Moved SBM sensitivity interpolation to query time
FRTB-2461	Add `AsOfDate` placeholder to included DEE template orders
FRTB-2606	In ETL, stop modifying risk-factor type for SBM Vega sensitivities
FRTB-2581	Remove liquidity horizon gap filling for IMA ES. All liquidity horizons now need to be listed.
FRTB-2571	Merge summary cubes into trade-level cubes
FRTB-2644	Migrated REST services from CXF to Spring MVC and changed the return types of methods from Response to the underlying objects. For details, refer to the Swagger interface.

Fixed

Issue Key	Details
FRTB-2624	Explicitly specify the version of `spring-boot-maven-plugin`.
FRTB-2495	Fix marginal and incremental measures for CRR2 (when using overrides)
FRTB-2631	Fix overrides for Equity Curvature delta stripping
FRTB-2648	Fix formatting of IMADRCavg measure