Release notes and changelog

info

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

5.1.3

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.