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Migration notes 5.3

This page explains the changes required to migrate to the stated version of Atoti FRTB.

Migrate to 5.3.0-M1

Upgrading from version 5.2.0, see Atoti FRTB 5.3 Release Notes.

Atoti FRTB uses Atoti Server 6.0.11-sb3 and Atoti UI 5.1.x. For new features and fixes included in these releases, please see the Atoti UI documentation and Atoti UI Migration Notes, and the release notes for Atoti Server.

For clients licensed to use ActiveMonitor, a skeleton module based on version 6.0.11-sb3 is included with the Atoti FRTB 5.3.0-M1 release.

Headline announcement

  • EBA Reporting : Additional fields have been included to support new EBA reporting templates
  • Spring Boot 3 : Upgraded to Spring Boot 3
  • Spring Profiles : Profile-based configuration has been replaced with properties (backwards compatible).

Profile-based Configuration

The code in Atoti FRTB will no longer change behavior based directly on Spring profiles. Instead, the behavior will be determined by properties. The properties can be set by profile-selected configuration files. Default properties files are included to preserve backwards compatibility with the use of profiles.

In particular, instead of the profiles dist-data-node, dist-query-node, and forceNetty (and the property directquery.enabled), we have the following properties:

Property Description Values
starter.deployment.type Specifies the nature of the database used for the cube. It can take three values:
  • in-memory (default): The in-memory datastore is used.
  • direct-query: An external database is used. This replaces the directquery.enabled property.

    note

    An in-memory datastore is still used for configuration data and caching.

  • query-node: No database is used. This can contain the FRTBCombinedCube and the StandardisedApproachCube (support for IMA cubes will be in a future version).
starter.deployment.transport Specifies the messenger to use for communication between cubes. It can take two values:
  • local (default): For communication only within a single machine. It cannot be used for distribution, but is faster if distribution isn’t needed.
  • netty: For jgroups communication between machines in a distributed deployment.
combined.disable=false An existing flag which turns the FRTBCombinedCube polymorphic cube on or off.

The following configuration files have been added to match the behavior of the profiles:

Spring profile Configuration file starter.deployment.type starter.deployment.transport combined.disable
default in-memory local unset (false)
dist-data-node application-dist-data-node.yaml in-memory netty true
dist-query-node application-dist-query-node.yaml query-node netty unset (false)
forceNetty application-forceNetty.yaml unset (in-memory) netty unset (false)

See the Externalized Configuration section of the Spring boot documentation for more information on profiles and property management.

Input file formats

Modified

Modification File Field Optional Description
Added DRC_Trade.csv Instrument Type Y Reported Instrument Type (“Equity” or “Debt”).
Added DRC_Summary.csv Instrument Type Y Reported Instrument Type (“Equity” or “Debt”).
Added RRAO_Trade.csv Residual Risk Y Is this position subject to RRAO.\nDefault = ‘Y’.
Added RRAO_Trade.csv Exemption Reason Y Reported reason why the position is exempt from RRAO.
Added RRAO_Trade.csv Asset Class Y Reported asset class.
Added RRAO_Summary.csv Residual Risk Y Is this position subject to RRAO.\nDefault = ‘Y’.
Added RRAO_Summary.csv Exemption Reason Y Reported reason why the position is exempt from RRAO.
Added RRAO_Summary.csv Asset Class Y Reported asset class.
Added RRAO_Overrides.csv Exemption Reason Y Reported reason why the position is exempt from RRAO.
Added RRAO_Overrides.csv Asset Class Y Reported asset class.
Added SBM_Delta_Sensitivities.csv GIRR Basis Ccy Y The counter currency for GIRR cross-currency basis curves (USD or EUR).
Added SBM_Summary_Delta_Sensitivities.csv GIRR Basis Ccy Y The counter currency for GIRR cross-currency basis curves (USD or EUR).
Added SBM_Vega_Sensitivities.csv GIRR Basis Ccy Y The counter currency for GIRR cross-currency basis curves (USD or EUR).
Added SBM_Summary_Vega_Sensitivities.csv GIRR Basis Ccy Y The counter currency for GIRR cross-currency basis curves (USD or EUR).

Configuration files

Files Modified

hibernate.properties

New properties:

Property Name Comment Value
content-service.db.jakarta.persistence.jdbc.driver Replaces content-service.db.driverClassName org.h2.Driver

Deleted properties:

Property Name Comment
content-service.db.driverClassName Replaced by content-service.db.jakarta.persistence.jdbc.driver
application.yaml

New properties:

Property Name Comment Value
starter.deployment.type The type of database used for the cube. in-memory (default), direct-query or query-node. “in-memory”
starter.deployment.transport The messenger to use for communication between cubes. local (default) or netty. “local”

Deleted properties:

Property Name Comment
directquery.enabled Replaced by starter.deployment.type=direct-query
frtb.properties

New properties:

Property Name Comment Value
tracing.enabled Enable OpenTelemetry Configuration true
open-telemetry.zipkin-span-exporter.url URL to use for zipkin SpanProcessor bean
open-telemetry.logging-span-exporter.enabled Enable SpanProcessor bean with LoggingSpanExporter

Datastores

Modified stores

Modification Store Field Type Description
Added SaSensitivities Instrument Type String For DRC non-Sec only. Reported Instrument Type (“Equity” or “Debt”).
Added RRAO Exemption Reason String Reported reason why the position is exempt from RRAO.
Added RRAO Asset Class String Reported asset class.
Added RRAOOverrides Exemption Reason String Reported reason why the position is exempt from RRAO.
Added RRAOOverrides Asset Class String Reported asset class.
Added UnderlyingDescription GIRR Basis Ccy String GIRR only. The counter currency for GIRR cross-currency basis curves (USD or EUR).

Databases

Modified tables

Modification Table Field Type Description
Added SASENSITIVITIES INSTRUMENT_TYPE STRING For DRC non-Sec only. Reported Instrument Type (“Equity” or “Debt”).
Added RRAO EXEMPTION_REASON STRING Reported reason why the position is exempt from RRAO.
Added RRAO ASSET_CLASS STRING Reported asset class.
Added RRAOOVERRIDES EXEMPTION_REASON STRING Reported reason why the position is exempt from RRAO.
Added RRAOOVERRIDES ASSET_CLASS STRING Reported asset class.
Added UNDERLYING_DESCRIPTION GIRR_BASIS_CCY STRING GIRR only. The counter currency for GIRR cross-currency basis curves (USD or EUR).

Cube schema

Added

Cube Dimension Hierarchy Levels Datastore fields Details
SA Default Risk Charge [DRC non-Sec Instrument Type] DRC non-Sec Instrument Type SaSensitivities.Instrument Type Reported type of the instrument, equity or debt.
SA Risk [RRAO Exemption Reason] RRAO Exemption Reason RRAO.Exemption Reason Reported reason why the position is exempt from RRAO.
SA Risk [RRAO Asset Class] RRAO Asset Class RRAO.Asset Class Reported asset class for the position.
SA Risk [GIRR Basis Ccy] GIRR Basis Ccy UnderlyingDescription.GIRR Basis Ccy The counter currency for GIRR cross-currency basis curves.