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

5.3.0

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 using frtb-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 and InternalModelApproachDrcCube 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.

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 (equity or debt)
  • 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:
  • 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 aggregated-double-precision configuration options.

FRTB-2575 Make SA compatible with summary data.
FRTB-2574 Support customizations replacing the measures representing the underlying IMA ES P&L vectors.
Update the annotations used for customizing measures.
FRTB-1890 Update default parameter values to match ISDA unit tests.

Removed

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

Fixed

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

5.0.1+1

2023-03-23

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

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

note

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

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

For instructions on downloading the artifacts, click here.

Known issues

Issue Key Details
Updated 2023-12-05:
FRTB-2935
ETL breaks for risk-factor names containing “%”.
Updated 2023-09-26:
BAS-1456
When Sign-Off is enabled, the DEE template orders generate duplicate rows.

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

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

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

Summary

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

    5.0.1


2023-03-15

Download the distribution files here

The distribution files comprise the following zipped artifacts:

  • UI source code.
  • UI build that does not require an installation and can be directly deployed.
  • Source files that can be used to build the module.
  • Maven repository required to build the project and run the tests.

    note

    The Atoti Server 6.0.3 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Known issues

Issue Key Details
Updated 2023-12-05:
FRTB-2935
ETL breaks for risk-factor names containing “%”.
Updated 2023-09-26:
BAS-1456
When Sign-Off is enabled, the DEE template orders generate duplicate rows.

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

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

This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.
Updated 2023-03-20: The What-If Manager does not show Parameter Sets widget changes.
LIM-581 FRTB 5.0.1 is not compatible with the Limits Module.

Summary

  • Switch Desk Model improvements : Redundant fields have been removed and minor defects preventing the form from being populated correctly have been fixed.
  • ClickHouse Database Support : Added support to connect to a ClickHouse Database.
  • Feature Flags : Added configuration options to turn off or hide unused features.
  • Fix ETL Customization Support : Fixed and updated support for customizing the ETL.

Dependency versions

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

Added

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

Changed

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

Fixed

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

5.0.0

2022-12-19

Download the distribution files here

The distribution files comprise the following zipped artifacts:

  • UI source code.
  • UI build that does not require an installation and can be directly deployed.
  • Source files that can be used to build the module.
  • Maven repository required to build the project and run the tests.

    note

    The ActiveViam 6.0.1 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Known issues

Issue Key Details
Updated 2023-12-05:
FRTB-2935
ETL breaks for risk-factor names containing “%”.
Updated 2023-09-26:
BAS-1456
When Sign-Off is enabled, the DEE template orders generate duplicate rows.

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

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

This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.
Updated 2023-03-20: The What-If Manager does not show Parameter Sets widget changes.
Updated 2023-02-27:
FRTB-2682
The documented mechanism for customizing the ETL is not working.
Updated 2023-02-14:
FRTB-2701
Distribution is not working for IMA. It is only working for SA.
LIM-581 FRTB 5.0.0 is not compatible with the Limits Module.

Summary

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

Dependency versions

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

DirectQuery Preview (FRTB-SA)

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

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

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

CSR Sec non-CTP tranche overlaps

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

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

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

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

Merge Summary and Trade-Level cubes

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

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

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

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

Sensitivity Storage and Interpolation

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

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

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

Added

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

Changed

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

Fixed

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

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:

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:

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

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 to DRC_BASE_STORE when unloading the TOPIC_DRC topic. Lines 313-314 of DataLoadControllerConfig.java in the frtb-starter module should be:

    case DRCFileConstants.TOPIC_DRC:
        return new BaseStoresAsOfDateConditionConverter(topic, Arrays.asList(SourceConfig.DRC_BASE_STORE, SourceConfig.TRADE_BASE_STORE)) {
  • The CSV processing is rejecting SA DRC lines with a missing maturity, even though these lines should be supported for cash equities whose maturity is determined by the parameter sa.drc.maturity.default.

Summary

  • Data-Connectors upgraded to 1.2.0 to resolve concurrency issues with DLC.

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

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