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.
5.2.2
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. |