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.
5.3.3
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-queryis required when usingfrtb-sdk. See UI activation for more details. - Databricks : DirectQuery support for connecting to a Databricks Database has been added.
- DirectQuery IMA Support: Added support for the IMA-ES cube, “InternalModelApproach”, via DirectQuery. See DirectQuery IMA Support for more details.
- IMA and IMA-DRC query cubes: The IMA and IMA-DRC query cubes have been added to the
InternalModelApproachCubeandInternalModelApproachDrcCuberespectively. 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 | Add 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-2937 | Removed distribution workaround that was required for Curvature Risk Weights Map measures. |
| 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. |