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
5.3.1
2024-08-01
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 6.0.15-sb3 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
- What-if performance: Reconfigured what-if engine to improve performance
Known issues
Issue Key | Details |
---|---|
Updated 2024-08-08: BAST-1110 |
In distributed deployments, what-if thread ends up unauthenticated, preventing other what-ifs. Workaround: Upgrade the what-if tool version in the Solution’s pom.xml to 3.0.4-AS6.0 |
FRTB-3143 | For DRC non-Sec, the new US-NPR interpretation of considering covered bonds as a separate seniority class is not yet implemented for CRIF files. |
Dependency versions
Component | Version |
---|---|
Adjustments Services API | 4.0.1 |
Atoti Server | 6.0.15-sb3 |
Atoti UI | 5.1.x |
Common Library | 2.0.3-AS6.0 |
Data Connectors | 4.2.0-AP6.0 |
Datastore Helper | 3.3.0-AS6.0 |
Java | JDK17 |
Sign-Off API | 4.0.1 |
Solutions Tools BOM | 2.2-AS6.0 |
UI Components | 5.0.41 |
What-If | 3.0.3-AS6.0 |
ISDA version
This release is compliant with ISDA v.3.4.1.
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 | Update what-if engine configuration to use JDBC database for persisting simulation status. |
FRTB-3025 | Upgraded Data Connectors to 4.2.0-AP6.0. |
FRTB-3144 | Added configuration options for distributed what-if. |
Fixed
Issue Key | Details |
---|---|
FRTB-3121 | Fixed calculation of reported and netted measure variations to pick the SBM scenario per netting set. |
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-3173 | Fixed issue with unload operations for the topic aliases OrganisationData , ALLSA , and ALLIMADaily when Categories hierarchy is disabled. |
FRTB-3199 | Fixed loading of RRAO files and updated sample files. |
FRTB-3208 | Fixed generation of risk-factor name for DRC non-Sec when using the zero-risk-weight flag. |
5.3.0
2024-06-12
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 6.0.14-sb3 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
- EBA Reporting : Additional fields, measures, and bookmarks have been added to support new EBA reporting templates.
- Spring Boot 3 : Upgraded to Spring Boot 3.2.
- Spring Profiles : Profile-based configuration has been replaced with properties (backwards compatible).
- UI Activation : An import of
react-query
is required when usingfrtb-sdk
. See UI activation for more details. - Databricks : DirectQuery support for connecting to a Databricks Database has been added.
- DirectQuery IMA Support: Added support for the IMA-ES cube, “InternalModelApproach”, via DirectQuery. See DirectQuery IMA Support for more details.
- IMA and IMA-DRC query cubes: The IMA and IMA-DRC query cubes have been added to the
InternalModelApproachCube
andInternalModelApproachDrcCube
respectively. These cubes contain measures that span multiple dates that were previously only available in the combined cube. A complete list of the moved measures can be found in the migration notes. - IRT Desk improvements: IRT Desk membership is now specified directly at the book level. Additionally, it is possible to dynamically change which books are members of the IRT Desk.
- Reinstating the Categories hierarchy: The Categories hierarchy that was removed in 5.1.0 can be re-instated with the configuration property
categories-hierarchy.enabled=true
.
Known issues
Issue Key | Details |
---|---|
FRTB-3143 | For DRC non-Sec, the new US-NPR interpretation of considering covered bonds as a separate seniority class is not yet implemented for CRIF files. |
FRTB-3144 | What-if widgets do not work in a distributed environment. |
Updated 2024-07-23: FRTB-3173 |
When Categories hierarchy is disabled unload operations for the topic aliases OrganisationData , ALLSA , and ALLIMADaily would fail. |
Dependency versions
Component | Version |
---|---|
Adjustments Services API | 4.0.0 |
Atoti Server | 6.0.14-sb3 |
Atoti UI | 5.1.x |
Common Library | 2.0.3-AS6.0 |
Data Connectors | 4.0.3 |
Datastore Helper | 3.3.0-AS6.0 |
Java | JDK17 |
Sign-Off API | 4.0.0 |
Solutions Tools BOM | 2.2-AS6.0 |
UI Components | 5.0.39 |
What-If | 3.0.0 |
ISDA version
This release is compliant with ISDA v.3.4.1.
EBA Reporting Template Updates
New bookmarks are being added to match the new EBA reporting templates. New fields have also been added to the data model for the SA cube to collect the additional information required for the templates.
The additional fields are not used in the calculations, but they allow the data to be categorized as required by the reporting templates.
The additional fields are:
- RRAO exemption reason
- RRAO asset class
- DRC non-Sec Instrument Type (derivative or non-derivative)
- GIRR cross currency basis curve counter currency (USD or EUR)
DirectQuery IMA Support
DirectQuery can now be used with the InternalModelApproachCube
cube. This cube is used to store the IMA-ES P&L vectors and is used in the IMA-ES calculations which can now be performed against data sourced from a remote database when using DirectQuery.
The cube is populated by DirectQuery and is used in the same way as the StandardizedApproachCube
.
For more, see the DirectQuery Migration Notes.
Added
Issue Key | Details |
---|---|
FRTB-2766 | Add bookmarks to match EBA reporting templates. |
FRTB-2965 | Add Query Cubes for the IMA and IMA-DRC Cubes. Measures that span multiple dates that were previously only available in the combined cube are now also available in the individual query nodes. See migration notes for complete list of measures. |
FRTB-2966 | Add fields to data model to support EBA reporting. |
FRTB-2975 | Add measures to support EBA reporting. “Imported” measures used for the old EBA reporting have been deprecated. |
FRTB-2997 | Added DDL scripts to upgrade DirectQuery database from 5.2. |
FRTB-3075 | Reinstate the Categories hierarchy (requires property categories-hierarchy.enabled=true ). |
FRTB-3085 | Add support for multiple membership groups for IRT Desk. |
Changed
Issue Key | Details | |
---|---|---|
FRTB-2845 | SpringBootApplication is now used for FRTBApplication and properties are now read from application.properties instead of frtb.properties. |
|
FRTB-2892 | Now autowiring the interface IDataLoadController in FileUploadRestServiceController rather than the DataLoadController implementation. |
|
FRTB-2944 | Upgraded to Spring Boot 3.2. | |
FRTB-2952 | Upgraded to Solutions Common Library 2.0. | |
FRTB-2957 | Added configuration option for drillthrough maximum rows. | |
FRTB-2977 | Moved IRT_Desk field from the DeskDescription store to the BookDescription store to support book level IRT flag. |
|
FRTB-2993 | ProblemDetails responses are now used for rest responses in the File Upload REST service in case of errors, and GlobalExceptionHandler has been added to handle exceptions being thrown by REST services. | |
FRTB-2995 | Updated Admin UI to 5.1.8. | |
FRTB-2996 | Updated Springdoc version to 2.5.0. | |
FRTB-3011 | ProblemDetails responses are now used for all What-If endpoints. | |
FRTB-3069 | Allow for easier customizations of the JwtAuthenticationConfigurer class by making use of IJwtConfig instead of JwtConfig. | |
FRTB-3142 | Update CSR non-Sec gamma correlations for UK-PRA to now include ratings component for index buckets. | |
UIACL-931 | React-query is now handled as a peer dependency. See UI activation for more details. |
Removed
Issue Key | Details |
---|---|
FRTB-3111 | PeriodicActivePivotSchemaRebuilder has been disabled, and will be removed in a future release. |
Fixed
Issue Key | Details |
---|---|
FRTB-2398 | Fixed sample data |
FRTB-2937 | Fixed distribution workaround that was required for Curvature Risk Weights Map measures. |
FRTB-2939 | Fixed Duplicate checkbox when scaling trades. |
FRTB-3023 | Fixed intermittent FX translation risk calculations. |
FRTB-3024 | The IMA Multiplier category is now accessible through the Parameter Sets widget. |
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. |
FRTB-3074 | Fixed What-If Service not being available on query node. |
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. |
FRTB-3110 | Fixed an issue where currency from RRAO trade files was not being published to the SASensitivities store |
FRTB-3117 | Create TradeMapping tuples for summary RRAO. |
5.2.2
2024-05-23
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
- 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
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
- 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
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 6.0.9 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-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-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 in-memory 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 |
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 |
4.1.0+1
2022-12-02
This is a UI-only release updating the following dependencies:
Component | Version |
---|---|
ActiveUI | 5.0.18 |
Accelerator-sdk | 5.0.13 |
frtb-sdk | 4.1.0-acc-sdk-5.0.13 |
note
No server-side changes were made. See the FRTB 4.1.0 release notes below for the latest server-side distribution files.
To download the FRTB 4.1.0+1 UI-only distribution file, click here.
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=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 2022-09-12: PIVOT-5759 |
Attempting to create partitions for reference stores causes a deadlock. |
Updated 2022-11-24: FRTB-2624 |
The release of Spring boot 3.0.0 compiled for Java 17 is preventing the Accelerator from compiling with Java 11. The workaround is to set the version of spring-boot-maven-plugin to 2.4.2 in the top level pom.xml . |
4.1.0
2022-07-27
Download the distribution files here
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=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 2022-09-12: PIVOT-5759 |
Attempting to create partitions for reference stores causes a deadlock. |
Updated 2022-11-24: FRTB-2624 |
The release of Spring boot 3.0.0 compiled for Java 17 is preventing the Accelerator from compiling with Java 11. The workaround is to set the version of spring-boot-maven-plugin to 2.4.2 in the top level pom.xml . |
Summary
- Upgrade to ActivePivot 5.10.10 and ActiveUI 5.0.14
- Added Stress Calibration Cube for identifying period with the highest capital requirements for IMCC and SES.
- Weekly omega values for IMCC
- Merged IMA ES trade-level and summary cubes
- SA DRC support for equity positions in high yield and distressed funds.
- Support for Limits Module integration
Dependency versions
Component | Version |
---|---|
ActivePivot | 5.10.10 |
ActiveUI | 5.0.14 |
Data Connectors | 2.2.3 |
Java | JDK11 |
What-if | 1.7.0 |
accelerator-sdk | 5.0.8 |
Sign-Off API | 1.5.0 |
Context Values setup is now customizable
The context value setup is now grouped in a specific class ContextValueConfig
that you can change to add any additional context value.
CSR Bucket override for CRR2/CRR3
The integration of CSR buckets for CRR2 and CRR3 has been simplified. If a CSR sensitivity input file ("**/SBM**_Sensitivities*(SECCTP|SECNONCTP|CSRNS).csv")
has no
selected bucket (the Bucket
field), the quality and sector (CSRQuality
and CSRSector
fields) are used to select the bucket.
For BCBS, the bucket is computed and set as usual on the UnderlyingDescription store. For other jurisdictions (CRR2 and CRR3), if the bucket is different from the BCBS one, an override entry is created automatically on the * UnderlyingDescriptionOverrides** store with the right bucket. As a result, registering the CRR2 or CRR3 buckets on the “**/Underlying_Desc_Overrides.csv” file is no longer needed if the bucket is not set on the sensitivity file.
The files “**/CSR_Bucket_NONSEC*.csv”, “**/CSR_Bucket_SECCTP*.csv”, and “**/CSR_Bucket_SECNONCTP*.csv” have been modified to handle the jurisdiction:
- An extra
ParameterSet
column has been added, allowing you to override the bucket selection for CRR2/CRR3 jurisdiction. - The
asOfDate
parameter now represents the start date on which the bucket definition takes effect, rather than the current asOfDate. - As the files are not daily files anymore, they are now located in the /resources/data/configuration folder.
- The files are now loaded at the very first stage of the initial load, under the ConfigurationData topic, which is not dependent on the asOfDate.
Handling of multiple hierarchies and level depths higher than 1 for sign-off scopes
Until version 3.1.0, the scope of a Sign-off task could only be defined for the first level of one hierarchy. Now the scope definition can contain multiple hierarchies, and within each hierarchy, a level at a depth that can be higher than 1. See Multiple/Parent-Child scopes in the Sign-Off documentation.
note
The hierarchies and levels that can be used in the scopes of the Sign-off task must be part of the ones defined in configuration properties. See details in signoff.properties.
Possibility to define Sign-off DEE export templates by cube-measure pairs
On top of being defined by cube names, DEE templates used for Sign-off export can now be defined by cube name and measures. See Using DEE Template Orders
Added
Issue Key | Details |
---|---|
FRTB-2310 | Created Stress Calibration Cube to identify IMCC and SES stress periods (replaces ES Tool) |
FRTB-2483 | Added properties to disable sets of cubes |
FRTB-2442 | Create datastore calendar |
GENACL-663 | Customizable date location shift post-processor |
FRTB-859 | Weekly IMA Constrained Vectors |
FRTB-2316 | Added ReferenceLevelVisualTotalsMode context value to force visual or non-visual totals for incremental and marginal measures. |
FRTB-2464 | Exceptions for missing SBM risk weights and weighted-sensitivities will now return NaN instead of null when risk weight is missing |
FRTB-2160 | Added Capital Coverage Ratio Measure |
FRTB-2360 | Added support for equity position in High Yield & Distressed funds in DRC non-Sec |
FRTB-2272 | Added support for customizing calculation of p-values |
FRTB-2537 | Added configuration options to change query result size limits |
Changed
Issue Key | Details |
---|---|
FRTB-2440 | Merge IMA and SummaryIMA cubes |
FRTB-2421 | Renamed ContentServerResourceServerConfig to FRTBContentServerResourceServerConfig to fix naming conflict with core class |
FRTB-2471 | Add option to ignore context values stored in content server (improves performance for remote content servers) |
FRTB-2465 | When parsing CSV files, support tenors that include both years and months (e.g. “1y6m”) |
FRTB-2435 | Make Context Values setup customizable |
FRTB-2469 | Support cases where DRC non-Sec Gross JTD is negative (positive) for long (short) positions. |
FRTB-2364 | Upgrade to ActivePivot 5.10.10 and ActiveUI 5.0.14. |
GENACL-706 | Level depths higher than 1 in a given hierarchy in the Sign-off scope definition are now supported. |
FRTB-2425 | Removed dependency on Spring Boot in favor of inheriting version from AP core |
FRTB-2333 | Removed bucket and underlying level filtering from Risk Charge and Risk Position |
Fixed
Issue Key | Details |
---|---|
FRTB-2403 | Fix Lookback Rank measures when filtering by desk |
FRTB-2313 | Create CSR bucket overrides for different mappings depending on the jurisdiction |
FRTB-2427 | Fix risk weights not showing for correct locations when used with multi-jurisdiction overrides |
FRTB-2463 | When checking FX pairs for dividing by sqrt(2), compare with base currency (if used) instead of reporting currency |
FRTB-2422 | Fix Book Hierarchy building when using File Upload widget |
FRTB-2481 | DLC was sometimes deleting entries from too many stores on unload |
FRTB-2400 | Fix DRC Sec CTP seniority for CRIF files |
4.0.0+1
2022-01-27
note
The FRTB 4.0.0+1 release is a UI-only release, and no server-side changes were made. See the FRTB 4.0.0 release notes below for the latest server-side distribution files.
To download the FRTB 4.0.0+1 UI-only distribution file, click here.
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=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 2022-09-12: PIVOT-5759 |
Attempting to create partitions for reference stores causes a deadlock. |
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
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=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 2022-09-12: PIVOT-5759 |
Attempting to create partitions for reference stores causes a deadlock. |
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 | 5.0.6 |
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
note
This is an initial implementation.
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.
-
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
note
The FRTB 3.1.0+1 release is a UI only release, and no server-side changes were made. See the FRTB 3.1 release notes below for the latest server-side distribution files.
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.
-
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
warning
If you are moving to FRTB 3.1 from a previous version, you should upgrade to FRTB 3.1.0+1 for the UI instead as it contains a UI patch fixing the ability to save dashboards.
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.
-
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.
note
This functionality is designed for reporting purposes, and the imported values do not appear when drilling in or drilling down on calculations.
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.
-
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
toDRC_BASE_STORE
when unloading theTOPIC_DRC
topic. Lines 313-314 ofDataLoadControllerConfig.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.
note
Please note that FRTB 3.0.1 uses ActivePivot 5.9, which requires Java 11.
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.
-
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
note
Please note that FRTB 3.0.0 uses ActivePivot 5.9, which requires Java 11.
- 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 Sb and Sc 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 customization 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.
- 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
Known issues
- Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock.
- 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
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://docs.activeviam.com/products/accelerators/frtb/2.3/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
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
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
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
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
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