Changelog

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6.0.10

2026-10-02

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Added

• FRTB-4796 Pro-Rata: Added the frtb.pro-rata.multi-hierarchy-totals property (default false). Enabled, with ProRataHierarchy = BookHierarchy;Risk Classes, the Total column becomes the sum of the risk classes. See the Migration Guide.
• FRTB-4830 RRAO: Added the RRAO Notional (All Trades) measure to the SA cube RRAO folder: the gross notional of every trade bearing residual risk, exempt trades included.
• FRTB-4862 EU-DA: Added the SBM Risk Charge (transitional) measure, SBM Risk Charge times the new sa.sbm-risk-charge.multiplier parameter (default 1.0, 0.9 under the new EU-DA parameter set). Portfolio Risk Charge and SA are built from it.
• FRTB-4863 EU-DA: Added the frtb.eu-da.rrao-zero-risk-weight.enabled property (default false), gating an RRAO Zero Risk Weight flag under which a position keeps its notional but contributes 0 to the RRAO charge. See EU-DA support.
• FRTB-4864 EU-DA: Added the sa.commodity.rho-tenor.correlation.bucket-divisors parameter to FRTBParameters, dividing the Commodity Delta tenor correlation per bucket. EU-DA ships 3a=0.991, per Article 495r. See EU-DA support.
• FRTB-4865 EU-DA: Added commodity bucket 3b (Energy-non-EU ETS carbon trading) under the EU-DA parameter set and relabeled 3a to Energy-EU ETS carbon trading. Other parameter sets are unchanged. See EU-DA support.
• FRTB-4866 EU-DA: Added DKK, the ERM II currency, to the GIRR major currencies under EU-DA only, in the new GIRR_Major_Currency_EU-DA.csv, which the existing file pattern picks up. See EU-DA support.
• FRTB-4870 EU-DA: Added the frtb.eu-da.drc-contractual-maturity.enabled property (default false), adding a ContractualMaturity field to SASensitivities and a DRC Contractual Maturity level, reporting the maturity before reassignment. No measure reads it. See EU-DA support.
• FRTB-4875 What-If: Added parentBranch to POST /services/rest/whatif/{operationId}/submit: a new target branch is created from it instead of from the current head. See the Migration Guide.
• FRTB-4886 Optionality: Added the optionality-service.align-with-curvature-shift property (default false). When true, OptionalityService matches GIRR by Bucket on Yield curves, Equity by Underlying on Spot risk factors, and never overwrites an existing Y. Capital numbers can change. In 6.1.0 this behavior becomes the only one and the property is removed.

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Changed

• FRTB-4821 Migration helper: Migrated the migration helper to the Common Library implementation, adding the GET /migrationHelper/sqlSchema endpoint and the frtb.migration.export.enabled and frtb.migration.export.base-dir properties.
• FRTB-4828 Calculations: CSRNSDeltaCalculations.bucketIndices and CSRSecCTPDeltaCalculations.bucketIndices return the new Trove-based BucketIndices class instead of IDictionary<Object>, and frtb-core declares a direct dependency on net.sf.trove4j:trove4j. See the Migration Guide.
• FRTB-4828 Calculations: AggregatesMap.Key.set and Key.map no longer insert unmapped coordinates; Key.accumulate, AggregatesMap.lookupKey and AggregatesMap.publish are added. Code calling Key.set then add throws IllegalStateException at query time, and publish() must be called before a map is shared. See the Migration Guide.
• FRTB-4848, GENACL-1488 Dependencies: Upgraded to Common Library 2.1.17-AS6.1. Renamed the activepivot-impl and activepivot-intf Maven artifacts to core; projects declaring either explicitly must update. See the Migration Guide.
• FRTB-4853 ETL: Optionality and OriginalOptionality are set to Y for Vega and Curvature sensitivities; Delta is unchanged. The Optionality hierarchy is visible in the SA cube, and the eight SBM Curvature dashboard views add a Curvature Delta Sensitivities breakdown.
• FRTB-4863 Input files: ALL_FIELDS of the RRAO, DRC, book description and trade attributes file constants is unmodifiable. A column added by a property is appended to the FileColumnsConfig bean only, so getColumnIndex returns -1 for it. See the Migration Guide.
• FRTB-4869, FRTB-4932 Dependencies: Upgraded to Atoti Server 6.1.24, with common-parent-pom and common-dependencies-bom 2.6.0. The Atoti Server BOM is imported first, so its pins win; H2 stays pinned and Hibernate tracks Spring Boot. See the Migration Guide.
• FRTB-4875 Dependencies: Renamed the Sign-Off API and Adjustments Services Maven group IDs from com.activeviam.solutions to com.activeviam.modules, artifact IDs unchanged, and made signoff-api.version and adjustments-services.version default to ${activepivot.version}. See the Migration Guide.
• FRTB-4880 Query performance: FRTBFilter.getLevelCondition builds an InCondition for levels with several selected members instead of an OrCondition of EqualConditions, improving FRTBCombinedCube ACR queries.
• FRTB-4891 SBM: A bucket with no correlation in the parameter set is logged by the Curvature Risk Position measures; the reported NaN is unchanged.
• FRTB-4891 Post-processors: Post-processors across frtb-core implement IDistributedPostProcessor, changing which measures the query cube pushes down and restricting some partitioning levels. FrtbTracing gives the accelerator its own OpenTelemetry scope, atoti.frtb. The deprecated DiagnosticsRedirectController is removed. See the Migration Guide.
• FRTB-4929, PAM-203 DirectQuery: Changed the shipped Snowflake configuration to key-pair authentication, through directquery.database.snowflake.additional-options.private-key-base64 or SNOWFLAKE_PRIVATE_KEY_BASE64, instead of SNOWFLAKE_PASSWORD.
• FRTB-4949 Crypto 2a: Custom risk-weight post-processors describing Crypto 2a without a risk class service throw an ActiveViamRuntimeException naming the risk class instead of a NullPointerException.
• FRTB-4974 Datastore: The datastore customization list injects every DatastoreConfiguratorConsumer bean by type; the SP_QUALIFIER__CUSTOMISATIONS qualifier is deprecated for removal and an unqualified bean is applied. See the Migration Guide.

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Deprecated

• FRTB-3616 What-If: Deprecated TradeDuplicateAndRescaleSimulationDefinition for removal; TradeDuplicateSimulationDefinition and TradeScalingSimulationDefinition replace it.
• FRTB-4849 RRAO: Deprecated the two-argument TradesTuplePublisher constructor for removal; it passes rrao.use-trade-attributes as false.
• FRTB-4886 Optionality: Deprecated OptionalityService; the property and the legacy matching are removed in 6.1.0.
• FRTB-4891 Post-processors: Deprecated the postProcessorPartitioningManagerFactory, postProcessorPartitioningManagerAllAddedLevelDescriptions and postProcessorPartitioningManagerAllRemovedLevelDescriptions beans for removal.
• FRTB-4974 Datastore: Deprecated SP_QUALIFIER__CUSTOMISATIONS for removal; datastore customizations are injected by type.

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Removed

• FRTB-4834 Crypto 2b: Removed the Crypto 2b Risk Weight and Crypto 2b measures, so Portfolio Risk Charge no longer includes the Crypto 2b term. The remaining Crypto 2b measures move under StandardisedApproach\Crypto 2b. Crypto 2b Exposure Max returns an empty value instead of 0 when both exposures are empty.
• FRTB-4846 Context values: Removed the ReferenceCurrency context value, which can no longer be set; currency conversion follows the displayCurrency hierarchy. See the Migration Guide.

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Fixed

• FRTB-3616 What-If: Fixed the trade-scaling What-If dropping the original trade when duplicating; the branch keeps it and adds the scaled copy. A duplication request without a suffix returns 400 Bad Request.
• FRTB-4849 RRAO: Fixed the deprecated RRAO columns of Trade_Attributes.csv overwriting the RRAO notional loaded from RRAO_Trade.csv. They are no longer read by default; rrao.use-trade-attributes=true restores the old behavior until 6.1.0.
• FRTB-4850 Optionality: Fixed OptionalityService throwing a NullPointerException for a Delta or Curvature sensitivity with no resolvable Underlying; such rows are skipped.
• FRTB-4891 SBM: Fixed FX Vega being computed with the Equity vertex configuration instead of the FX one; figures change where the two differ.
• FRTB-4891 SBM: Fixed the FX Delta and Curvature risk weight measures resolving a risk weight for the N/A bucket; they and the Equity ones now report a blank value.
• FRTB-4891 SBM: Fixed a length mismatch between the double sums and correlations vectors failing the whole query; the risk charge measures now report a blank cell and log it.
• FRTB-4891 SBM: Fixed a correlation vector containing NaN failing the query with IllegalArgumentException; the risk position and risk charge measures now report a blank cell.
• FRTB-4891 Post-processors: Fixed the ApplyScenario and TailVaR formula operators using the JVM default locale instead of Locale.ROOT.
• FRTB-4891 Post-processors: Fixed the SQUARE operation of the SIMPLE_MATH post-processor returning its input instead of the square.
• FRTB-4891 Configuration: Fixed parent-child.book-depth and parent-child.legal-entity-depth below 1 failing later with a ClassCastException; they are now rejected at startup.
• FRTB-4891 Data Load Controller: Fixed merging a CSV topic description overridden through configuration properties leaving the merged parser’s columns() null.
• FRTB-4891 P&L attribution: Fixed the Kolmogorov-Smirnov backtest failing with ArrayIndexOutOfBoundsException when the two P&L vectors have different lengths.
• FRTB-4891 ETL: Fixed a CRIF row with an unrecognized RiskType aborting the load with a NullPointerException; the row is now logged and skipped.
• FRTB-4891 What-If: Fixed the file upload accepting a staged file name outside the upload directory, and returning 500 instead of 404 for a staged file with a dangling link.
• FRTB-4932 Distribution: Atoti Server 6.1.24 no longer aborts distributed discovery when a data-cube measure never joins the cluster; the query-cube measure falls back to the Object type. See the Migration Guide.
• FRTB-4936 DirectQuery: Fixed OverrideLocationShift not walking up the parameter-set tree under DirectQuery, which lost overrides inherited from an intermediate ancestor and could change bucket, quality or sector.
• FRTB-4943 Euler: Fixed the CSR analytical Euler capital allocation measures sharing one bucket-correlation cache across risk classes and parameter sets. See the Migration Guide.
• FRTB-4947 SBM: Fixed queries throwing a NullPointerException when a risk class has no configured vertices or a GIRR delta vertex has no weighting; affected cells are empty.
• FRTB-4948 Post-processors: Fixed measures using the TailVaR operator throwing on a NaN entry; NaN entries are skipped and logged, and an all-NaN vector returns null.
• FRTB-4963 Euler: Fixed the SBM analytical Euler risk charge measures failing the query with a NullPointerException when a bucket had no risk position; such a bucket contributes nothing.
• FRTB-4972 Data Load Controller: Fixed unloading through the UnloadSA or UnloadAllData alias, or the RRAO topic, sometimes leaving RRAO store rows in place on 6.0.8 and 6.0.9. See Unload topic aliases.
• FRTB-4975 Pro-Rata: Fixed pro-rata allocation below a ReferenceLevel on the pro-rata hierarchy; allocation now walks down level by level instead of against the reference node, changing those numbers. See the Migration Guide.
• FRTB-4987 Atoti Limits: Fixed the application failing at startup with an Ambiguous mapping error when the Atoti Limits connector is added.
• GENACL-1470 Datastore: Fixed datastore customizations being dropped when Atoti Sign-Off or the categories hierarchy was enabled, which failed startup on 6.0.5 to 6.0.9 with frtb.crypto-2a.exchange-stored=true. See the Migration Guide and Crypto 2a exchange bean moved.

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Security

• FRTB-4932 Dependencies: Atoti Server 6.1.24 carries forward CVE fixes for embedded Tomcat, Netty and the Spring Boot baseline that the accelerator BOM’s older pins overrode. See the Atoti Server 6.1 changelog.
• FRTB-4935 Dependencies: Upgraded org.postgresql:postgresql from 42.7.8 to 42.7.11 in the root POM, fixing CVE-2026-42198.

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6.0.9

2026-05-11

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Changed

• FRTB-4813, FRTB-4831: Upgraded to Atoti Server 6.1.19 and Common Library 2.1.15-AS6.1. Refactored distributed messaging to use the platform CommunicationRegistration API. Removed BusinessDayCalendarMessageHandler, FrtbCoreMessageHandlerRegistrar, and DatastoreMetadataMessenger in favor of inline handler registration via CommunicationRegistration.startRegistering().

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Fixed

• FRTB-3532: Renamed the OtherResidualRiskType column in the SACubeRRAOExport DEE template to RRAOCategory so the output header matches the underlying RRAO Category hierarchy.
• FRTB-3625: Fixed PV_LADDER defaulting in PublisherUtils. When a tuple has a null PV_LADDER and a non-null RISK_WEIGHT at publish time, PV_LADDER now defaults to the tuple’s TRADE_KEY value via the fieldsToOverride map before the record is written to the store.
• FRTB-4816: Fixed curvature shock interpolation in ShockInterpolationUtils.getShockedValueAtTargetRisk. The rewritten logic applies piecewise-linear interpolation: a target at or below the lowest data point interpolates from the origin to the first point; a target at or above the highest data point extrapolates using the last two points; otherwise the bracketing interval is used. Division-by-zero when riskWeight[0] is zero is now handled defensively. Note that extrapolation above the highest data point produces different numerical results compared to 6.0.8; SBM curvature outputs in that regime will change.
• FRTB-4817: Fixed file upload What-If simulation statuses not reflecting failures in data load operations. Previously, the simulation status was only correctly persisted by the Atoti What-If simulation engine, causing the simulation to remain marked as Completed after a failed upload.

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6.0.8

2026-03-04

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Added

• FRTB-3695: Added per-cube unload topic aliases (UnloadSA, UnloadIMA, UnloadIMADRC, UnloadPL, UnloadStressCalibration, UnloadCommon, UnloadParameters, UnloadAllData) for selective data unloading via DLC.

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Changed

• FRTB-4800: Upgraded to Atoti Server 6.1.17, Common Library 2.1.14-AS6.1, What-If 4.1.6-AS6.1, and Sign-Off API 4.2.1.
• FRTB-3690: Fixed Residual Risk Add On Pro-Rata and Default Risk Charge Pro-Rata measures to display correct values along the Correlation Scenario hierarchy.
• FRTB-3693: Upgraded to Adjustment Services 4.1.3. Updated supported adjustments configuration to use the new InputTypedFieldDTO builder API, adding user-facing labels (“Scaling factor”, “Add-on value”, “Override value”) and enabling inline input for scaling and add-on adjustment types across all SA sensitivity (delta, vega, curvature up/down, DRC) and IMA trade adjustments.
• FRTB-4784: Upgraded OpenTelemetry SDK from 1.49.0 to 1.56.0 and instrumentation from 1.33.0-alpha to 2.22.0. OpenTelemetry exporters are now disabled by default for reduced log verbosity. Added service.version resource attribute via Maven filtering.
• FRTB-4797: Updated High Risk Charge Pro-Rata, Medium Risk Charge Pro-Rata, and Low Risk Charge Pro-Rata measures to display correct values along the Correlation Scenario hierarchy and allow propagation above reference level.
• FRTB-4798: Bumped third-party dependencies: JUnit 5.14.3, Logback 1.5.32, Springdoc 2.8.15, Lombok 1.18.42.
• FRTB-4809: Refactored distributed messaging to use the platform IMessageHandlerRegistrar pattern. BusinessDayCalendarMessage handler logic extracted to new BusinessDayCalendarMessageHandler class, registered via FrtbCoreMessageHandlerRegistrar using @AtotiExtendedPluginValue.
• GENACL-1418: Deprecated the fx-rates.leaf-levels property. Extra leaf levels for FX rate post-processors are now registered automatically. Removed the unused property from frtb-config.properties and simplified the FX post-processor configuration in ReportedValuesConfig.
• GENALC-1425: Replaced AtotiAuthToken with SharedSecretAuthToken in JGroups protocol configuration files.
• FRTB-3670: The Risk Weight measure for DRC non-sec now displays the appropriate risk weight based on the Zero Risk Weight flag, matching the values used in calculations.

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Fixed

• FRTB-4785: Fixed context values not being applied to SA, IMA DRC, PL, and Stress Calibration query cubes in distributed deployments. Query cubes now correctly use the same context value beans as their corresponding data cubes.
• FRTB-4782: Fixed a load sequence dependency where DeskDescription could load concurrently with BookDescription, causing the IRT Desk update to fail intermittently. BookDescription and BookDescriptionHistorical now load in the first pass, and DeskDescription loads in the second pass.

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6.0.7

2026-01-22

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Added

• FRTB-3546: Introduced EBA reporting features. For details, see EBA Reporting Templates and Regulatory Book.
• FRTB-3673: Added a What-If operation to move trades between books.

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Fixed

• FRTB-3536: Fixed RRAO bookmarks to use the RRAO Notional measure instead of the Notional measure.
• FRTB-3595: Added missing filter for the RRAO Notional measure on the RRAO flag.
• FRTB-3641: SBM Risk Charge measure can be displayed at Underlying level for curvature.
• FRTB-4781 Fix null pointer exception when querying Curvature Risk Charge measures with Risk Factors on the rows.

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Changed

• FRTB-3681: Upgraded to Atoti Server 6.1.15.
• FRTB-4780: Upgraded to Common Library 2.1.13-AS6.1.

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6.0.6

2025-12-04

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Added

• FRTB-3662: Add option to propagate SBM Risk Charge/Portfolio Risk Charge/SA Pro-Rata measures above reference level.
• UIACL-1258: Bulk branch and simulation deletion in the What-If Manager.

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Changed

• FRTB-3664: Upgraded to Atoti Server 6.1.14.

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Fixed

• FRTB-3663: Fix Portfolio Risk Charge/SA Pro-Rata measures not displaying correct numbers along the Correlation Scenario hierarchy.
• FRTB-3667: Fix file upload issues when using multiple topics to upload multiple files.
• FRTB-3668: Upgraded to Atoti What-If 4.1.5-AS6.1. Fix issues when uploading a file that exists on just a subset of data nodes in a distributed system. Fix permissions of admins on other users’ branches.
• FRTB-3669: Add missing ZRW flag on the Risk Factor name in RiskFactorDescription store to allow two DRC non-Sec trades of same Obligor, Seniority and Maturity of different Zero Risk Weight.
• FRTB-3671: Hide Portfolio Risk Charge measure for the Reference member of the Correlation Scenario hierarchy when above the ReferenceLevel
• FRTB-3675: Fixed issue on Windows machines where nested files were matched using the incorrect file separator.

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6.0.5

2025-10-30

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Added

• FRTB-3629: The UI extension supports connecting to several FRTB servers.

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Changed

• FRTB-3524: Support crypto assets Group 2a (MVP)
• FRTB-3606: Users can now control the SBM correlations scenario (low/med/high).
• FRTB-3624: Upgraded to Atoti Server 6.1.12
• FRTB-3646: Upgraded to Atoti What-If 4.1.3-AS6.1.
• FRTB-3648: Upgraded to Common Library 2.1.10-AS6.1.
• UIACL-1253: Upgraded to UI Components 5.2.13 bringing What-If Manager improvements.

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6.0.4

2025-10-02

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Changed

• FRTB-3623: Updated to Atoti What-If 4.1.1-AS6.1.

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6.0.3

2025-08-25

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Added

• FRTB-3544: Added initial support for HKMA parameter set
• FRTB-3545: Added initial support for MAS parameter set
• FRTB-3523: Added initial support for crypto assets Group 2b
• FRTB-3422: Added support for incremental refresh operations.

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Changed

• FRTB-3508: The zero risk-weight can now be specified per obligor and jurisdiction, defaulting to 0%.
• FRTB-3529: Changed authority of default security filter chain to user role.
• FRTB-3559: Updated to Atoti Server 6.1.11.
• FRTB-3597: Updated to Common Library 2.1.9-AS6.1.

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Fixed

• FRTB-3534: Fixed typo in dist-data-node profile. The property combined.disabled is now combined.disable which disables FRTBCombinedCube.
• FRTB-3555: Fixed an issue with running a query node while having the categories hierarchy enabled.
• FRTB-3562: Fixed the configuration of default members for the Parameter Set and displayCurrency hierarchies.
• FRTB-3563: Fixed some inconsistencies in reference data set.
• FRTB-3572: Resolved what-if simulation performance issues by upgrading to a version of Atoti What-if that uses a single-phase commit mechanism.
• FRTB-3594: Upgraded to What-if 4.0.3-AS6.1.
• FRTB-3598: The file upload widget no longer throws an error when a user attempts to upload files from a nested structure.
• FRTB-3602: Resolved an issue causing a UI error when users right-click and apply a filter to the last date in a pivot table.
• FRTB-3612: Fixed issue where simulations would not appear in what if manager for a distributed environment.

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6.0.2

2025-06-26

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Added

• FRTB-2956: Book and legal entity levels are now configurable.

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Changed

• FRTB-3506: Upgraded to Atoti Server 6.1.9
• FRTB-3525: Upgraded Data Connectors and Common Library to the latest versions.

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6.0.1

2025-05-29

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Changed

• FRTB-3503: Added hooks to block merging risk-factor description updates during some data loads.
• FRTB-3504: Upgraded to Data Connectors 5.0.4.

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6.0.0

2025-04-25

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Added

• FRTB-2979: Added Inclusion hierarchy based on Trade Mapping store, including what-if and filtering.
• FRTB-3010: Added Inclusion hierarchy to Trade Mapping Datastore and set the default to “Y”.
• FRTB-3020: Added the lombok-maven-plugin to ensure the decompilation of the source code matches the Lombok annotated classes.
• FRTB-3238: Added What-If for Inclusion.
• FRTB-3239: Added support for creating simple what-if simulations through configuration.
• FRTB-3315: Added translation risk currency field for FX delta sensitivities to allow FX translation risk to be calculated upstream.
• FRTB-3348: Sum sensitivities with duplicate keys as they are loaded into the datastore.
• FRTB-3421: Added support for using Aggregate Tables to improve startup time and database costs when using DirectQuery.

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Changed

• FRTB-2289: Allow alternative root parameter sets.
• FRTB-3012: Improved support for CRIF files.
• FRTB-3256: The Trades hierarchy is now a virtual hierarchy.
• FRTB-3323: Deprecated sa.drc.no-maturity-floor-when-offsetting for removal.
• FRTB-3330: The configuration files frtb-config.properties and measures-config.json are now part of the Spring Boot environment.
  
  The text replacement template in these files now uses the pattern #{_name_} instead of ${_name_}.
• FRTB-3361: Upgraded to Atoti Server 6.1.7
• FRTB-3391: Changed default value of sa.drc.strict-long-short to true.
• FRTB-3398: OpenTelemetryTracingConfig has been simplified to use OpenTelemetry’s GlobalOpenTelemetry. This exporter works natively with the OpenTelemetry Grafana Docker backend with no additional configuration required. The backend can be run using the docker command: docker run -p 3000:3000 -p 4317:4317 -p 4318:4318 --rm -ti grafana/otel-lgtm.
• FRTB-3441: Upgraded Data Connectors to 5.0.1.
• FRTB-3462: Migrated to use AdminUI’s embedded DoctorPivot. Please see the Relocation of DoctorPivot migration notes for more.
• FRTB-3470: Moved ActivePivotBranchPermissionsManagerConfig from the frtb-activepivot module to the frtb-application module where you can modify it.

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Removed

• FRTB-2873: Removed unused activeviam.directquery.enableAutoVectorizer property.
• FRTB-3089: Removed ActiveMonitor including the frtb-activemonitor module and dependencies from Atoti Server.

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Fixed

• FRTB-3332: Exception is no longer thrown when the stage folder is empty.
• FRTB-3342: Fixed StressCalibrationCube not being properly disabled in a distributed environment.
• FRTB-3349: Fixed “SBM Risk Charge (reference scenario) (netted)” measure to correctly use the netting set when determining the reference scenario.
• FRTB-3367: Fixed currency when loading legacy RRAO tuples from Trade Attributes file.
• FRTB-3406: Fixed adjustments failing on application restart.
  Sign-Off REST service will no longer accept requests until the initial data load has completed.
• FRTB-3470: Moved spring-boot-configuration-processor plugin to root pom, which fixes navigability of properties.