Migration notes 2.3.0

Migration notes

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

Migrate to 2.3.0

Upgrading from version 2.2.1. - See FRTB Accelerator 2.3.0 Release Notes.

The Accelerator is now using ActivePivot 5.8.8 (jdk8 or jdk11) and ActiveUI 4.3.7. For new features and fixes included in these releases, please see the ActiveUI documentation and ActiveUI Migration Notes, and the release notes for ActivePivot.

For clients licensed to use ActiveMonitor, a skeleton module based on version 5.8.8 is included with the FRTB Accelerator 2.3.0 release.

Input file formats

Added

File	Details
CRIF	Support for the CRIF file format, as described in ISDA's Risk Data Standards document.

Modified

File	Details
IMA DRC Summary	The Obligor and Seniority columns have been removed from the IMA DRC Summary files (these columns are still present in the trade-level files).

Configuration files

Files Added

File	Details
Adjunct_Currencies.csv	* The new Adjunct Currencies configuration file is used to specify which currencies should be considered "adjunct" and provides an FX Delta Risk Weight for each currency. * The configuration file provided with the accelerator is populated with the DKK currency for CRR2

Files Modified

File	Modification	Details
frtb-data-load.properties	Added	adjunct-currencies.file-pattern=\*\*/Adjunct\_Currencies\*.csv\
	Removed	csr.sec-ctp.bucket.correlations.file-pattern
frtb.properties	Added	crif-reporting-currency=USD
	Changed	maturity-converter.drc=simple
frtb-config.properties	Added	\# Cube level for Books book.level=Book\@Books\@Booking \# Organisational hierarchy for books book.hierarchy=BookHierarchy\@Organization \# Cube level for legal entities legal-entity.level=Legal Entity\@Legal Entities\@Organization \# Organisational hierarchy for legal entities legal-entity.hierarchy=LegalEntityHierarchy\@Organization
FRTBParameters.csv	Added	CRR2 parameters sa.csr-nonsec.bucket.covered-bonds,10,2016-01-01,CRR2 sa.other.bucket.csr.ns,18,2016-01-01,CRR2 sa.other.bucket.csr.secctp,18,2016-01-01,CRR2 sa.index.buckets.csr-ns,19;20,2016-01-01,CRR2 sa.girr.delta.adjunct-ccy.correlation,0.8,2015-01-01,CRR2
CSRNS_Bucket_Correlation.csv	Added	CRR2 correlations
CSR_BucketsRiskWeights_NON_SEC.csv	Added	CRR2 risk weights
	Removed	BCBS 352 risk weights
CSR_BucketsRiskWeights_SECCTP.	Added	CRR2 risk weights
FX_Special_Crosses.csv	Removed	Redundant currency pairs (implied as 1st order crossed): EUR/JPY, EUR/GBP. EUR/CHF, JPY/AUD
ParameterSet.csv	Added	CRR2
	Removed	BCBS 352

Files Removed

CSR_Sec_CTP_Bucket_Correlation.csv

Datastores

Modified

Store	Details
DRCIMASummaryBase	Remove Obligor and Seniority

Cube schema

Modified

Cube	Details
IMADRCSummaryCube	Remove Obligor and Seniority

Measures

Added

Cube	Measure name
IMA and IMA Summary cubes	ES (Model Variation)
FRTBCombined cube	ES (Model Variation) avg
SA cube	SBM Correlation Scenario

Context values

Added

Name	Details
ES Model Variation Lookback	Default value 12W