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What's New

This page provides a brief overview of the user-facing new features and improvements in the latest version of Atoti FRTB.

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For the list of issues covered in this release, and known issues, see the Changelog.
For information on upgrading from previous versions, see the Atoti FRTB Migration Guide.

6.0.5

Summary

New features

New features

Support for Crypto assets Group 2a

The new ‘Crypto 2a’ risk class specified in SCO60 has been added to the capital requirements calculations.

Details of the implementation and notes on the interpretation can be found in Crypto 2a. The Crypto 2a Risk Charge is included in the SBM Risk Charge measure.

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This is a minimum viable product (MVP) implementation and focused on the capital requirements calculations. Specifically the following features are not supported in this release:

  • Variants of the measures (e.g. incremental, pro-rata, Euler)
  • Loading in sensitivities from the summary files
  • Direct query

User control over SBM correlation scenarios

Users can now directly control which correlation scenario (high, medium, or low) is applied in the SBM Risk Charge and related measures. This can be used to avoid changes to the correlation scenario in standalone calculations when drilling down on data.

The selection is managed through a newly introduced Correlation Scenario hierarchy, enabling users to choose from predefined scenario options that reflect different levels of correlation. This ensures consistent and transparent scenario application across locations and reference points.

Filtering and sorting added to What-If Manager

The What-If Manager now includes filtering and sorting capabilities, making it easier for users to identify branches and simulations. This enhancement streamlines the workflow for users working with multiple what-if scenarios, helping them quickly locate and analyse the simulations that matter most.

6.0.4

Summary

New features

New features

What-If upgrade

The Atoti What-If module has been upgraded to support parallel what-if submissions. You can now submit multiple what-if scenarios concurrently.

This new version also includes fixes for permissioning issues and provides enhanced error handling.

6.0.3

Summary

New features

Improvements

New features

Curvature CVR measure

A new Curvature CVR measure has been added. This measure is either the Curvature CVR Up or Curvature CVR Down measure depending on if the up or down scenario is used for the bucket.

HKMA and MAS jurisdictions

Added initial support for HKMA and MAS jurisdictions.

Cryptoassets Group 2b

Support for Cryptoassets Group 2b has been added.

Foreign zero risk-weight public sector exposures

For DRC non-Sec, when a foreign regulator allows a public sector exposure to have a risk-weight of zero, OSFI will allow the exposure to have a risk-weight of 0.5%. This is now supported in the Atoti FRTB module.

The implementation note for the zero risk-weight exposures has been updated to accommodate these non-zero risk-weights.

DirectQuery incremental refresh support

Added support to handle incremental refresh operations for DirectQuery data sources.

Improvements

Improved stability and performance of distributed what-if simulations

Improvements have been made to the performance and stability of distributed what-if simulations.

Improved load performance

Fixed a regression in the performance of data loading.

6.0.2

Summary

  • Upgraded to Data Connectors 5.0.7
  • Upgraded to Atoti Server 6.1.9
  • Upgraded to Common Library 2.1.7-AP6.1
  • The number of levels in the Book and LegalEntity hierarchies are now configurable.

6.0.1

Summary

  • Upgraded to Data Connectors 5.0.4

6.0.0

Summary

  • Ability to customize your native jurisdiction
  • Improved use of Spring boot for configuration and customization
  • Added trade filtering to support loading banking book and speculative trades, without them being automatically included in the capital calculations
  • Improved CRIF file format support
  • Upgraded to version 5.0 of Data Connectors, with improved configurability of the file formats and ETL.
  • Upgraded to Atoti Server 6.1.7 and Atoti UI 5.2.x
  • Added support for defining what-if simulations through configuration files.
  • Added support for loading FX translation risk for multiple reporting currencies.
  • Added support for DirectQuery aggregate tables, for improved startup time and reduced database computation costs.