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

5.3.3

2024-10-30 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 6.0.16-sb3 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Summary

  • Distributed File Upload: The file upload REST service is now available on query nodes.
  • Additional Measures: Added Pro-rata variation to “SA” measure, and Netted and Reported variations to the “Curvature Sb” measure.
  • Bug Fixes

Known issues

None.

Dependency versions

Component Version
Adjustments Services API 4.0.1
Atoti Server 6.0.16-sb3
Atoti UI 5.1.x
Common Library 2.0.3-AS6.0
Data Connectors 4.2.0-AP6.0
Datastore Helper 3.3.0-AS6.0
Java JDK17
Sign-Off API 4.0.1
Solutions Tools BOM 2.2-AS6.0
UI Components 5.0.43
What-If 3.0.4-AS6.0

ISDA version

This release is compliant with ISDA v.3.4.1.

Added

Issue Key Details
FRTB-3166 Added Pro-rata variation to the SA measure.
FRTB-3216 Added Netted and Reported variations of the “Curvature Sb” measures.
FRTB-3281 File upload what-if REST endpoint now supported on query nodes. Query nodes will act as a proxy to the REST service on the data nodes.

Changed

Issue Key Details
FRTB-3228 Netted measures are now calculated independently for IRT and non-IRT Desks, in addition to the netting sets.
FRTB-3241 In the IRT Desk Groups input files and datastore table, the rows setting the IRT Desk flag to “N” are now optional.

Fixed

Issue Key Details
FRTB-3277 Reinstated appending the risk-weight to Curvature risk-factors when only a single risk-weight is used per input file line.

5.3.2

2024-10-21

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 6.0.16-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

  • Upgrade to Atoti Server 6.0.16-sb3
  • Bug Fixes

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-3277 For Curvature input files, if a row only contains a single risk-weight, it is not appended to the risk-factor name. This can cause problems if multiple risk-weights are spread over multiple rows.

Dependency versions

Component Version
Adjustments Services API 4.0.1
Atoti Server 6.0.16-sb3
Atoti UI 5.1.x
Common Library 2.0.3-AS6.0
Data Connectors 4.2.0-AP6.0
Datastore Helper 3.3.0-AS6.0
Java JDK17
Sign-Off API 4.0.1
Solutions Tools BOM 2.2-AS6.0
UI Components 5.0.41
What-If 3.0.4-AS6.0

ISDA version

This release is compliant with ISDA v.3.4.1

Changed

Issue Key Details
FRTB-3253 Upgrade to Atoti Server 6.0.16-sb3
FRTB-3258 \ BAST-1110 Upgrade to What-If 3.0.4-AS6.0

Fixed

Issue Key Details
FRTB-3218 Fixed support for Equity funds in SA DRC.
FRTB-3229 Removed old offline documentation from /static/documentation. Added configuration option to specify offline documentation location.
FRTB-3245 The FX Divider field is now correctly populated when loading FX Delta files.
FRTB-3249 The FX Divider field is now used correctly in Delta stripping.
FRTB-3259 Fixed expected payload for Book-Desk Switch What-If.
FRTB-3271 Fixed IRT Desk being ignored for combined book parent child files.
FRTB-3287 Fixed registration of ReferenceLevel context value in start-up sequence.
FRTB-3289 Fixed some “(reported)” measures which were ignoring the corresponding “(imported)” measures.

5.3.1

2024-08-01

Download the distribution files here

The distribution files comprise the following zipped artifacts:

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

    note

    The Atoti Server 6.0.15-sb3 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Summary

  • Distributed what-if configuration: Additional options to configure distributed what-if.
  • Upgrade to Atoti Server
  • What-if performance: Reconfigured what-if engine to improve performance

Known issues

Issue Key Details
Updated 2024-08-08:
BAST-1110 		In distributed deployments, what-if thread ends up unauthenticated, preventing other what-ifs.

Workaround: Upgrade the what-if tool version in the Solution’s pom.xml to 3.0.4-AS6.0
FRTB-3143 For DRC non-Sec, the new US-NPR interpretation of considering covered bonds as a separate seniority class is not yet implemented for CRIF files.
FRTB-3245 \nFRTB-3249 The FX Divider field is not being correctly used when Delta stripping.
FRTB-3259 The Book-Desk Switch What-If was expecting an incorrect payload.

Dependency versions

Component Version
Adjustments Services API 4.0.1
Atoti Server 6.0.15-sb3
Atoti UI 5.1.x
Common Library 2.0.3-AS6.0
Data Connectors 4.2.0-AP6.0
Datastore Helper 3.3.0-AS6.0
Java JDK17
Sign-Off API 4.0.1
Solutions Tools BOM 2.2-AS6.0
UI Components 5.0.41
What-If 3.0.3-AS6.0

ISDA version

This release is compliant with ISDA v.3.4.1.

Distributed What-If

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

What-If Performance

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

Changed

Issue Key Details
FRTB-2922 Update what-if engine configuration to use JDBC database for persisting simulation status.
FRTB-3025 Upgraded Data Connectors to 4.2.0-AP6.0.
FRTB-3144 Added configuration options for distributed what-if.

Fixed

Issue Key Details
FRTB-3121 Fixed calculation of reported and netted measure variations to pick the SBM scenario per netting set.
FRTB-3152 Fixed currency used for RRAO Notional.
FRTB-3167 Fixed key fields for SBM Delta, SBM Curvature, and SA DRC summary files to avoid duplicates.
FRTB-3173 Fixed issue with unload operations for the topic aliases OrganisationData, ALLSA, and ALLIMADaily when Categories hierarchy is disabled.
FRTB-3199 Fixed loading of RRAO files and updated sample files.
FRTB-3208 Fixed generation of risk-factor name for DRC non-Sec when using the zero-risk-weight flag.

5.3.0

2024-06-12

Download the distribution files here

The distribution files comprise the following zipped artifacts:

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

    note

    The Atoti Server 6.0.14-sb3 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Summary

  • EBA Reporting : Additional fields, measures, and bookmarks have been added to support new EBA reporting templates.
  • Spring Boot 3 : Upgraded to Spring Boot 3.2.
  • Spring Profiles : Profile-based configuration has been replaced with properties (backwards compatible).
  • UI Activation : An import of react-query is required when 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.
Updated 2024-07-23:
FRTB-3173 		When Categories hierarchy is disabled unload operations for the topic aliases OrganisationData, ALLSA, and ALLIMADaily would fail.

Dependency versions

Component Version
Adjustments Services API 4.0.0
Atoti Server 6.0.14-sb3
Atoti UI 5.1.x
Common Library 2.0.3-AS6.0
Data Connectors 4.0.3
Datastore Helper 3.3.0-AS6.0
Java JDK17
Sign-Off API 4.0.0
Solutions Tools BOM 2.2-AS6.0
UI Components 5.0.39
What-If 3.0.0

ISDA version

This release is compliant with ISDA v.3.4.1.

EBA Reporting Template Updates

New bookmarks are being added to match the new EBA reporting templates. New fields have also been added to the data model for the SA cube to collect the additional information required for the templates.

The additional fields are not used in the calculations, but they allow the data to be categorized as required by the reporting templates.

The additional fields are:

  • RRAO exemption reason
  • RRAO asset class
  • DRC non-Sec Instrument Type (derivative or non-derivative)
  • GIRR cross currency basis curve counter currency (USD or EUR)

DirectQuery IMA Support

DirectQuery can now be used with the InternalModelApproachCube cube. This cube is used to store the IMA-ES P&L vectors and is used in the IMA-ES calculations which can now be performed against data sourced from a remote database when using DirectQuery.

The cube is populated by DirectQuery and is used in the same way as the StandardizedApproachCube.

For more, see the DirectQuery Migration Notes.

Added

Issue Key Details
FRTB-2766 Add bookmarks to match EBA reporting templates.
FRTB-2965 Add Query Cubes for the IMA and IMA-DRC Cubes. Measures that span multiple dates that were previously only available in the combined cube are now also available in the individual query nodes. See migration notes for complete list of measures.
FRTB-2966 Add fields to data model to support EBA reporting.
FRTB-2975 Add measures to support EBA reporting. “Imported” measures used for the old EBA reporting have been deprecated.
FRTB-2997 Added DDL scripts to upgrade DirectQuery database from 5.2.
FRTB-3075 Reinstate the Categories hierarchy (requires property categories-hierarchy.enabled=true).
FRTB-3085 Add support for multiple membership groups for IRT Desk.

Changed

Issue Key Details
FRTB-2845 SpringBootApplication is now used for FRTBApplication and properties are now read from application.properties instead of frtb.properties.
FRTB-2892 Now autowiring the interface IDataLoadController in FileUploadRestServiceController rather than the DataLoadController implementation.
FRTB-2944 Upgraded to Spring Boot 3.2.
FRTB-2952 Upgraded to Solutions Common Library 2.0.
FRTB-2957 Added configuration option for drillthrough maximum rows.
FRTB-2977 Moved IRT_Desk field from the DeskDescription store to the BookDescription store to support book level IRT flag.
FRTB-2993 ProblemDetails responses are now used for rest responses in the File Upload REST service in case of errors, and GlobalExceptionHandler has been added to handle exceptions being thrown by REST services.
FRTB-2995 Updated Admin UI to 5.1.8.
FRTB-2996 Updated Springdoc version to 2.5.0.
FRTB-3011 ProblemDetails responses are now used for all What-If endpoints.
FRTB-3069 Allow for easier customizations of the JwtAuthenticationConfigurer class by making use of IJwtConfig instead of JwtConfig.
FRTB-3142 Update CSR non-Sec gamma correlations for UK-PRA to now include ratings component for index buckets.
UIACL-931 React-query is now handled as a peer dependency. See UI activation for more details.

Removed

Issue Key Details
FRTB-3111 PeriodicActivePivotSchemaRebuilder has been disabled, and will be removed in a future release.

Fixed

Issue Key Details
FRTB-2398 Fixed sample data
FRTB-2937 Fixed distribution workaround that was required for Curvature Risk Weights Map measures.
FRTB-2939 Fixed Duplicate checkbox when scaling trades.
FRTB-3023 Fixed intermittent FX translation risk calculations.
FRTB-3024 The IMA Multiplier category is now accessible through the Parameter Sets widget.
FRTB-3031 Fixed filtering of FX Delta sensitivities which have set the flag FXComplexTrade=Y.
FRTB-3037 Fixed creation of risk-factor name by correctly including the tenor.
FRTB-3074 Fixed What-If Service not being available on query node.
FRTB-3093 Fixed FX Delta when translating from the base currency to the reporting currency with FXComplexTrade==N and Optionality=Y.
FRTB-3094 Fixed Curvature queries when the risk-factor is in the location and there is only a single risk-factor in the results.
FRTB-3110 Fixed an issue where currency from RRAO trade files was not being published to the SASensitivities store
FRTB-3117 Create TradeMapping tuples for summary RRAO.

5.2.2

2024-05-23

Download the distribution files here

The distribution files comprise the following zipped artifacts:

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

    note

    The Atoti Server 6.0.13 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Summary

  • Bug fixes

Known issues

None.

Dependency versions

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

ISDA version

This release is compliant with ISDA v.3.3.1.

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

Removed

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

Fixed

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

5.2.1

2024-04-30

Download the distribution files here

The distribution files comprise the following zipped artifacts:

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

    note

    The Atoti Server 6.0.13 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Summary

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

Known issues

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

Dependency versions

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

ISDA version

This release is compliant with ISDA v.3.3.1.

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

Changed

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

Fixed

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

5.2.0

2023-12-13

Download the distribution files here

The distribution files comprise the following zipped artifacts:

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

    note

    The Atoti Server 6.0.9 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Summary

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

Known issues

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

Dependency versions

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

ISDA version

This release is compliant with ISDA v.3.3.1.

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

Added

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

Changed

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

Removed

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

Fixed

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

5.1.3

2024-06-05

Download the distribution files here

The distribution files comprise the following zipped artifacts:

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

    note

    The Atoti Server 6.0.13 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Summary

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

Known issues

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

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

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

This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.
FRTB-2868 There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release.

Dependency versions

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

Added

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

Changed

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

Fixed

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

5.1.2

2024-04-16

Download the distribution files here

The distribution files comprise the following zipped artifacts:

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

    note

    The Atoti Server 6.0.13 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Summary

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

Known issues

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

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

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

This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.
FRTB-2868 There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release.
FRTB-3093 The FX Delta translations from the base currency to the reporting currency don’t always work when FXComplexTrade==N and Optionality=Y.
FRTB-3094 Some Curvature queries don’t work when the risk-factor is in the location and there is exactly one risk-factor in the results.

Dependency versions

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

Changed

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

Fixed

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

5.1.1

2023-12-14

Download the distribution files here

The distribution files comprise the following zipped artifacts:

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

    note

    The Atoti Server 6.0.7 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Known issues

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

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

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

This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.
FRTB-2868 There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release.
FRTB-3031 FX Delta sensitivities with the flag FXComplexTrade=Y are always filtered by the base currency, even if the base currency isn’t used.
The workaround is to set sa.fx.base-currency equal to sa.fx.reporting-currency when not using the base currency.
FRTB-3093 The FX Delta translations from the base currency to the reporting currency don’t always work when FXComplexTrade==N and Optionality=Y.
FRTB-3094 Some Curvature queries don’t work when the risk-factor is in the location and there is exactly one risk-factor in the results.

Summary

This release fixes some bugs.

Dependency versions

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

Fixed

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

5.1.0

2023-08-17

Download the distribution files here

The distribution files comprise the following zipped artifacts:

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

    note

    The Atoti Server 6.0.5 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

  • Offline documentation that can be served by the module.

Known issues

Issue Key Details
Updated 2023-12-05:
FRTB-2929 		ETL breaks for risk-factor names containing “%”.
Updated 2023-09-26:
BAS-1456 		When Sign-Off is enabled, the DEE template orders generate duplicate rows.

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

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

This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member.
FRTB-2868 There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release.
FRTB-3023 There are intermittent errors in the FX translation risk calculations.
FRTB-3031 FX Delta sensitivities with the flag FXComplexTrade=Y are always filtered by the base currency, even if the base currency isn’t used.
The workaround is to set sa.fx.base-currency equal to sa.fx.reporting-currency when not using the base currency.
FRTB-3037 When loading sensitivities one per row without supplying a risk-factor name, the tenor is missed from the generated risk-factor name.
A potential workaround is to set sbm.risk-factor.always-append-tenor=true
FRTB-3093 The FX Delta translations from the base currency to the reporting currency don’t always work when FXComplexTrade==N and Optionality=Y.
FRTB-3094 Some Curvature queries don’t work when the risk-factor is in the location and there is exactly one risk-factor in the results.

Summary

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

Dependency versions

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

DirectQuery

  • Parent-child table support with DirectQuery: You can now use the LegalEntityParentChild and BookParentChild tables to directly populate the LegalEntityHierarchy and BookHierarchy tables respectively. See Legal Entity Hierarchy and Book Hierarchy for details.
  • Overrides With DirectQuery: Overriding risk-factor descriptions for different Parameter Sets is now supported with DirectQuery. See Overrides With DirectQuery for details.
  • DirectQuery Schema Validation: Schema can be validated at startup or on-demand through the DirectQuery REST service. DirectQuery Application Refresh: Application can be refreshed to be in sync with the remote database through the DirectQuery REST service.
  • DirectQuery REST Service: REST service to interact with DirectQuery and perform health checks.
  • New DirectQuery Properties: Properties have been added to:
  • 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