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For the list of issues covered in this release, see the Changelog.For information on upgrading from previous versions, see theMigration Guide.

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6.0.10

2026-10-02

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Summary

New features Improvements Removals Fixes

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New features

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EU delegated act support (EU-DA parameter set)

A new EU-DA parameter set, with CRR3 as its parent, ships four standardised-approach provisions of Commission Delegated Regulation (EU) 2026/1221. It also adds two CRR3 provisions the CRR3 parameter set lacks: the ERM II currencies of Article 325bd(5a) and bucket 3b of Article 325as. Under every other parameter set, capital numbers are unchanged while the RRAO Zero Risk Weight flag is off.
  • SBM Risk Charge multiplier of 0.9, through the new SBM Risk Charge (transitional) measure. Portfolio Risk Charge and SA are built from the multiplied value.
  • Commodity carbon trading bucket 3b, with 3a relabeled (permanent CRR3).
  • Tenor correlation divisor of 0.991 for commodity bucket 3a.
  • DKK, as an ERM II currency, in the GIRR major currency list (permanent CRR3).
  • RRAO Zero Risk Weight flag, off by default, enabled through frtb.eu-da.rrao-zero-risk-weight.enabled.
  • DRC contractual maturity, off by default, enabled through frtb.eu-da.drc-contractual-maturity.enabled.
See EU-DA support for the details. Enabling either opt-in treatment has manual steps; see How to enable the opt-in treatments.

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RRAO Notional (All Trades) measure

The new RRAO Notional (All Trades) measure shows the gross notional of every trade bearing residual risk, including exempt trades (RRAO=N), which RRAO Notional excludes. It enables analysis of notional per exemption reason.

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Pro-Rata totals across several hierarchies (opt-in)

With frtb.pro-rata.multi-hierarchy-totals=true, ProRataHierarchy can name several hierarchies, such as BookHierarchy;Risk Classes. The charge is allocated to the risk classes first, then down the books, so every row and column of a books-by-risk-classes table adds up. Off by default. See ProRataHierarchy and the Migration Guide.

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Optionality Service curvature-shift alignment (opt-in)

The Optionality Service is an optional ETL step that derives the Optionality flag by matching Delta and Curvature sensitivities. A deployment that sets the flag in its input does not use it. With optionality-service.align-with-curvature-shift=true, it matches Delta to Curvature the way the curvature risk calculation does, so the flag is set consistently with it. Off by default; enabling it can change capital numbers. The property and the legacy matching are removed in 6.1.0. See the Migration Guide.

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parentBranch on the What-If submit endpoint

The What-If submit endpoint now honors an explicit parentBranch: a new target branch is created from it instead of from the current head. See the Migration Guide.

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Improvements

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Atoti Server upgrade to 6.1.24

Atoti FRTB now uses Atoti Server 6.1.24, which carries forward security fixes for embedded Tomcat, Netty and the Spring Boot baseline. H2 stays at its previous version, which protects the Content Server database file format. The packaged application’s launcher now matches its Spring Boot libraries. Distributed discovery no longer aborts when a data-cube measure never joins the cluster. See the Migration Guide.

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Common Library upgrade to 2.1.17-AS6.1

Common Library moves from 2.1.15-AS6.1 to 2.1.17-AS6.1. Capital numbers are unchanged. Projects that call the parameter-lookup helpers or subclass Migrator must review the runtime changes in the Migration Guide.

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Maven coordinates of Atoti Server, Sign-Off API and Adjustments Services

The activepivot-impl and activepivot-intf artifacts are replaced by core. The Sign-Off API and Adjustments Services group IDs move from com.activeviam.solutions to com.activeviam.modules, and their versions now track activepivot.version. Projects that declare any of these artifacts explicitly must update their coordinates. See Build and dependencies.

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Snowflake key-pair authentication

Snowflake is deprecating password authentication, so the shipped DirectQuery configuration authenticates with an RSA key pair, supplied through SNOWFLAKE_PRIVATE_KEY_BASE64. Existing Snowflake deployments must generate and register a key pair. See Connect to a database and the Migration Guide.

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Migration helper modernization

The migration helper now uses the Common Library implementation. It gains a GET /migrationHelper/sqlSchema endpoint that generates DDL without exporting data, and supports ClickHouse, Databricks, MSSQL and Snowflake uniformly. Vector emulation is configurable per store. Two new properties, frtb.migration.export.enabled and frtb.migration.export.base-dir, control the export. See the Migration REST service.

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Optionality flag on Curvature and Vega sensitivities

Curvature and Vega sensitivities now carry Optionality = Y. The eight SBM Curvature dashboard views therefore show a Curvature Delta Sensitivities breakdown next to the CVR measures, in the same pivot table. Exported sensitivity data shows Y on those rows, and the Optionality hierarchy is now visible in the SA cube. See the Migration Guide.

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Accelerator-scoped OpenTelemetry tracing

The accelerator traces under its own OpenTelemetry scope, atoti.frtb, instead of atoti.server. A startup failure while feeding the aggregate providers is recorded on that span. See Tracing.

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Post-processor partitioning and pushdown

More measures are eligible for distributed pushdown. Some post-processors now forbid specific levels from their partitioning, on a single node as well as across nodes. Validate measure values on dist-query-node and dist-data-node deployments after upgrading. See the Migration Guide.

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Faster ACR queries on the Combined cube

A filter on a level with several selected members is built as one condition instead of one condition per member, which speeds up ACR queries on FRTBCombinedCube.

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Removals

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Crypto 2b measures removed

Crypto 2b Risk Weight and Crypto 2b are removed, and Portfolio Risk Charge no longer includes the Crypto 2b term. Crypto 2b belongs to credit risk RWA rather than market risk. The exposure measures stay, under the StandardisedApproach\Crypto 2b folder, with unchanged names. Crypto 2b Exposure Max returns an empty value instead of 0 when both exposures are empty. See the Migration Guide.

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ReferenceCurrency context value removed

The ReferenceCurrency context value can no longer be set. Currency selection is driven by the displayCurrency hierarchy, so calculated results are unchanged. See the Migration Guide.

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Diagnostics redirect endpoint removed

The deprecated DiagnosticsRedirectController is removed, so GET /tree/cubes and GET /tree/measures return 404. See the Migration Guide.

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Fixes

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Trade attributes RRAO fix

The deprecated RRAO columns of Trade_Attributes.csv could overwrite 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. See the Migration Guide.

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Optionality Service no longer crashes on unresolvable Underlying

The Optionality Service aborted the load on a Delta or Curvature sensitivity with no resolvable Underlying. Such rows are now skipped. This fix is always on, independent of the curvature-shift alignment property.

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Trade scaling keeps the original trade

Duplicating a trade in the trade-scaling What-If dropped the original from the branch. The branch now keeps it and adds the suffixed, scaled copy. A duplication request without a suffix is rejected with 400. See the Migration Guide.

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Startup with Atoti Sign-Off and the Crypto 2a exchange field

On 6.0.5 to 6.0.9, a deployment running Atoti Sign-Off or the categories hierarchy with frtb.crypto-2a.exchange-stored=true failed to start. The exchange field was not added to its store. Datastore customizations now apply in a defined order and in every configuration. See the Migration Guide.

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FX Vega measures fix

FX Vega was computed with the Equity vertex configuration instead of FX’s own. Reported FX Vega figures change wherever the two configurations differ. The shipped parameter data configures the same vertices for every risk class, so its figures are unchanged.

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N/A bucket risk weight fix

FXDeltaRiskWeight, FXCurvatureRiskWeight, EquityDeltaRiskWeight and EquityCurvatureRiskWeight report a blank value for the N/A bucket. Reported FX Delta and FX Curvature risk weights change for that bucket. EquityDeltaRiskWeight also reports blank for a risk factor type that is neither Spot nor Repo.

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Risk charge vector-length mismatch fix

A length mismatch between the double sums and correlations vectors failed the whole query. The risk charge measures now report a blank cell and log the mismatch. The Euler allocation measures still fail the query, since allocating from mismatched vectors would report a wrong netting-level charge.

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NaN correlation rejection

The risk position and risk charge measures reject a correlation vector containing NaN and report a blank cell instead of failing the query.

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What-If file upload fixes

The What-If file upload rejects a staged file name that resolves outside the upload directory. A staged file backed by a link with no target returns 404 instead of 500.

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Kolmogorov-Smirnov backtest length mismatch fix

The P&L attribution Kolmogorov-Smirnov backtest failed when the two P&L vectors had different lengths. Such comparisons now complete.

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CRIF rows with an unrecognized risk type are rejected

A CRIF row whose RiskType matches no known risk-class prefix is logged and skipped instead of aborting the load. Check the load warnings after upgrading: such rows no longer contribute to any store.

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CSR Euler capital allocation no longer mixes risk classes and parameter sets

The CSR Euler allocation measures shared one bucket-correlation cache across risk classes and parameter sets. A view combining CSR non-Sec with CSR Sec CTP, or spanning parameter sets, returned an error or used the other parameter set’s correlations. Euler figures for such a view can change. See the Migration Guide.

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SBM Euler risk charge with an empty bucket

The SBM analytical Euler risk charge measures, such as CSR non-Sec Delta Risk Charge Euler, failed the query when a bucket had no risk position. Such a bucket now contributes nothing.

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Overrides inherited through an intermediate parameter set

Under Atoti DirectQuery, a parameter set two or more hops from the root, such as EU-DA, lost the overrides of an intermediate ancestor. It now inherits them. Bucket, quality or sector can change where the queried parameter set has no override row of its own.

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Missing vertices or vertex weighting

A query no longer fails when a risk class has no configured vertices or a GIRR delta vertex has no weighting. The affected cells are empty.

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RRAO unload fix

On 6.0.8 and 6.0.9, unloading through the UnloadSA or UnloadAllData alias, or the RRAO topic, could leave RRAO store rows in place. An unloaded date’s RRAO charge could then still appear. The topic now removes the rows from both the RRAO and SASensitivities stores. See Unload topic aliases.

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Pro-Rata allocation below a reference level on the pro-rata hierarchy

With ReferenceLevel on the pro-rata hierarchy, for example Level 2@BookHierarchy with ProRataHierarchy = BookHierarchy, every lower level was allocated directly against the reference node. The levels therefore did not add up to their parent. Allocation now proceeds level by level. Pro-Rata figures change for that configuration. See ProRataHierarchy.

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6.0.9

2026-05-11 Download the distribution files here.

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Summary

Improvements Fixes

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Improvements

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Atoti Server upgrade

The Atoti Server has been upgraded to version 6.1.19. Common Library has been updated to 2.1.15-AS6.1. These upgrades bring improved stability across the platform.

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Distributed messaging simplification

The IMessageHandlerRegistrar pattern introduced in 6.0.8 has been replaced by the simpler CommunicationRegistration API from Atoti Server. The BusinessDayCalendarMessageHandler, FrtbCoreMessageHandlerRegistrar, and DatastoreMetadataMessenger classes have been removed. Handler logic is now registered inline during factory construction using CommunicationRegistration.startRegistering(). This reduces boilerplate and uses internal APIs that are less prone to breaking changes across Atoti Server versions.

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Fixes

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PV Ladder defaulting fix

The PV Ladder default value was not propagated to the datastore due to a bug. This has been fixed.

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Curvature shock interpolation fix

Curvature shock interpolation has been fixed. SBM curvature outputs may differ slightly from 6.0.8 in cases where extrapolation above the highest data point applies. See Changelog for details.

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File upload simulation status persistence fix

Failed file upload What-If operations were incorrectly shown as COMPLETED in the What-If Manager. They are now correctly marked as FAILED.

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6.0.8

2026-03-04

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Summary

New Feature Improvements Fixes Known Issues

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New Feature

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Per-Cube Unload Aliases

New DLC unload topic aliases allow selective unloading of data on a per-cube basis. Instead of unloading all data for a given date, you can now unload only the stores feeding a specific cube (e.g., UnloadSA for the Standardised Approach cube, UnloadIMA for the Internal Model Approach cube). A composite alias UnloadAllData is also available to unload all cubes at once. See FRTB-specific Configuration for the full list of aliases and usage examples.

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Improvements

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Atoti Server upgrade

The Atoti Server has been upgraded to version 6.1.17. Common Library has been updated to 2.1.14-AS6.1, What-If to 4.1.6-AS6.1, and Sign-Off API to 4.2.1. These upgrades bring improved stability and performance across the platform.

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Distributed messaging refactor

Handler logic is no longer embedded inside message classes. It has been moved to dedicated handler classes that implement the platform IMessageHandlerRegistrar interface. This follows the recommended approach for distributed messaging in Atoti Server. The BusinessDayCalendarMessage is the first class to follow this pattern. Its handler logic has been extracted to a new BusinessDayCalendarMessageHandler class. This handler is registered through FrtbCoreMessageHandlerRegistrar using the @AtotiExtendedPluginValue annotation. Custom message handlers in client projects should follow the same pattern. See Distributed messaging API in the migration guide for details.

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High/Medium/Low Risk Charge Pro-Rata Update

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 support propagation above reference level.

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Adjustment Services upgrade

Upgraded Adjustment Services from 4.1.0 to 4.1.3. Supported adjustments now include labels and inline input configuration for each adjustment type:
  • Scaling and Add-on adjustments have inline input enabled, allowing values to be edited directly in the UI.
  • Override adjustments do not use inline input, as they replace the entire value.
Each adjustment input now carries a descriptive label (“Scaling factor”, “Add-on-value”, or “Override value”) for improved clarity in the UI.

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DRC non-sec Risk Weight measure displays ZRW-specific values

The Risk Weight measure for DRC non-securitisation trades now displays the correct risk weight based on the trade’s Zero Risk Weight (ZRW) eligibility:
  • Trades with ZeroRiskWeight=Y display the risk weight from the PUBLIC_SECTOR_OBLIGOR_RISK_WEIGHTS store
  • Trades with ZeroRiskWeight=N display the standard risk weight from DRC_WEIGHT or OBLIGOR_TO_RISK_WEIGHT stores
This aligns the displayed risk weight with the values already used in DRC calculations.

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OpenTelemetry upgrade

Upgraded OpenTelemetry dependencies:
  • SDK: 1.49.0 → 1.56.0
  • Instrumentation: 1.33.0-alpha → 2.22.0 (stable)
OpenTelemetry exporters (traces, metrics, logs) are now disabled by default, reducing log verbosity for deployments that do not use tracing. The tracing.enabled property has been removed. See the migration guide for details.

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Fixes

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Residual Risk Add On and Default Risk Charge Pro-Rata fix

Fixed Residual Risk Add On Pro-Rata and Default Risk Charge Pro-Rata measures to display correct values along the Correlation Scenario hierarchy.

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Query Cube Context Values Fix

Fixed an issue where context values (such as queriesTimeLimit and queriesResultLimit) were 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.

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Known Issues

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Admin UI Database tab does not work

The Database tab in the Admin UI does not work due to a bug in the Admin UI. As a workaround, manually update the env.js file in your Admin UI deployment:
  1. Locate the env.js file (found at admin-ui/env.js in your deployment).
  2. Set atotiVersion to "6.1.x":

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6.0.7

2026-01-22

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Summary

New Feature Improvements

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New Feature

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EBA Reporting

This release introduces enhanced support for EBA reporting, enabling more flexibility and regulatory compliance. Key capabilities include:
  • What-If Operations:
    • Switch a book’s classification between Regulatory Book and Trading Book.
    • Move a trade between books to assess impact.
  • New Hierarchies:
    • EBA Instrument Type hierarchy added to the Booking dimension (single level: EBA Instrument Type).
    • EBA RRAO Other Instrument Type hierarchy added to the Risk dimension (single level: EBA RRAO Other Instrument Type).
    • Regulatory Book hierarchy added to the Booking dimension (single level: Regulatory Book).
  • Impact Analysis:
    • Investigate the effect of moving trades between Trading and Banking Books by adding Regulatory Book classification to cubes.
For setup and detailed guidance, refer to:

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Improvements

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SBM Risk Charge at Underlying Level

The SBM Risk Charge measure can now be displayed at the Underlying level for curvature calculations. This improvement delivers:
  • Greater granularity and transparency in risk charge analysis.
  • Consistent view across key risk metrics, as Delta and Vega measures are also available at the Underlying level.

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Atoti server upgrade

The Atoti Server has been upgraded to version 6.1.15, ensuring improved stability and performance.

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6.0.6

2025-12-04

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Summary

New features Improvements Critical fixes

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New features

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Propagation of Pro-Rata measures

The Pro-Rata risk charges (SBM Risk Charge Pro-Rata and the Portfolio Risk Charge Pro-Rata) are now visible beyond the reference level, giving you a more complete view of risk exposure across portfolios. This is an experimental feature which is not enabled by default. To enable it you must set the PropagateAboveReference (Experimental) to ‘True’.

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EBA Reporting

Added support for EBA reporting features. The “EBA Instrument Type” field and “EBA RRAO Other Instrument Type” store have been added as well as their corresponding hierarchies under the Booking and Risk dimensions. In addition, the “Regulatory Book” field has been added to the book description store along with a filtering hierarchy under the Booking dimension. For more information, see EBA Reporting Templates and Regulatory Book.

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Improvements

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Bulk deletion added to the What-If Manager

The What-If Manager now supports bulk deletion of simulations and branches to allow authenticated users to easily remove multiple simulations and branches in one go.

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Atoti Server upgrade

The Atoti Server has been upgraded to version 6.1.14.

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Atoti What-If upgrade

The Atoti What-If module has been upgraded to 4.1.5-AS6.1. This resolves permission issues and improves file upload handling in distributed environments.

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Critical fixes

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Memory clean-up in Aggregate Providers

Upgrading to Atoti Server, 6.1.14 fixes an infinite loop in the Aggregate Provider memory clean-up logic that could lead to memory leaks and CPU overuse.

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6.0.5

2025-10-30 Follow this link to download the zipped distribution files for:
  • 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.
The Atoti Server 6.1.12 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.

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Summary

New features

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New features

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Support for Crypto assets Group 2a

The new ‘Crypto 2a’ risk class specified in 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.
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

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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.

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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 analyze the simulations that matter most.

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6.0.4

2025-10-02 Follow this link to download the zipped distribution files for:
  • 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.
The Atoti Server 6.1.11 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.

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Summary

New features

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New features

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What-If upgrade

The Atoti What-If module now supports parallel submissions, allowing you to run multiple scenarios concurrently. This new version also includes fixes for permissioning issues and provides enhanced error handling.

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6.0.3

2025-08-25 Follow this link to download the zipped distribution files for:
  • 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.
The Atoti Server 6.1.11 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.

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Summary

New features Improvements

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New features

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Virtual hierarchies configuration

Virtual hierarchies can be set with the property frtb.configuration.virtual-hierarchies. You can change the virtual hierarchies from the yaml configuration file with the following configuration:
By default, application.yaml sets the hierarchy Trades@Booking as virtual. See Virtual hierarchies for more information.

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Curvature CVR Measure

A new Curvature CVR measure has been added to Atoti FRTB. This measure uses the underlying Curvature CVR Up or Curvature CVR Down measure depending on the “direction” of the Risk Position Scenario at the Bucket level. A new intermediate measure Curvature Bucket Scenario evaluates the Risk Position Scenario measure at the Book level. This measure is disabled by default in Atoti FRTB 6.0.x versions. Please see the migration notes for details on how to enable it. This measure has been added for the following risk classes within sa-sbm:

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HKMA and MAS jurisdictions

Added initial support for HKMA and MAS jurisdictions.

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Cryptoassets Group 2b

Support for Cryptoassets Group 2b has been added.

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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 allows the exposure to have a risk-weight of 0.5%. This is now supported in Atoti FRTB. The implementation note for the zero risk-weight exposures has been updated to accommodate these non-zero risk-weights.

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DirectQuery incremental refresh support

Added support to handle incremental refresh operations for DirectQuery data sources. The incremental refresh operations can be pre-configured via templates or specified directly via table and field updates.

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Data duplication in horizontal distribution

Setting the frtb.distribution.enable-data-duplication property to true, allows duplicate members in the distribution level of horizontally distributed data cubes. This is typically useful in a hybrid setup where all data is held in DirectQuery and only recent data in-memory. With data duplication enabled, and by specifying node priorities, the in-memory data can be preferred. Older members can then be periodically unloaded from the in-memory cube and instead accessed from DirectQuery.

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Improvements

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Improved stability and performance of distributed what-if simulations

What-if simulations now run in a single-phase commit mechanism, creating the user-defined branch and editing data within that branch. This reduces the number of operations required for a single simulation. Stability and performance of the cluster is significantly increased at the expense of some consistency checks.

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Improved load performance

Fixed a regression in the performance of data loading. Initial load times have been improved by reducing the distinct queries run by the HistoricalDatesProvider. The HistoricalDatesProvider no longer runs distinct queries on base stores. Now, the database statistics are used to gather the unique set of dates from the stores. This reduces the time taken for datastore transactions to be committed. If needed, the HistoricalDatesProvider can be configured to query the base stores by setting the frtb.historical-dates-provider.is-using-approximate-members property to false.

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Expanded definition of zero risk-weights

The zero risk-weight can now be specified per obligor and jurisdiction, defaulting to 0%. See the implementation note for further details.

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6.0.2

2025-06-26 Follow this link to download the zipped distribution files for:
  • 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.
The Atoti Server 6.1.9 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.

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Summary

New features Improvements

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New features

The depth of the hierarchies is now configurable.

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Improvements

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Atoti Server upgrade

Upgraded to the latest version of Atoti Server, 6.1.9.

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Data Connectors and Common Library upgrade

Upgraded to Data Connectors 5.0.7 and Common Library 2.1.7-AP6.1.

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6.0.1

2025-05-29 Follow this link to download the zipped distribution files for:
  • 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.
The Atoti Server 6.1.7 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.

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Summary

  • Upgraded Data Connectors : Upgraded to Data Connectors 5.0.4.

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6.0.0

2025-04-25 Follow this link to download the zipped distribution files for:
  • 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.
The Atoti Server 6.1.7 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.

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Summary

  • Upgrade to Atoti Server 6.1.7 : Upgraded to the latest version of Atoti Server. Please see the migration notes for more information.
  • Upgrade to Atoti UI 5.2.x : Upgraded to the latest version of Atoti UI.
  • Upgrade to Data Connectors 5.0.1 : Upgraded to the new version of Data Connectors.
  • Moved Sample Data out of Starter : Moved sample data out of the frtb-starter module and split out the data directory into three properties.
  • frtb-application module: Replaced the frtb-starter module’s function with a new module that contains the configuration and builds a full Spring Boot application. This module is provided as a reference implementation and is intended to be used as a reference for clients to build their own applications.
  • Simplified OpenTelemetry Configuration: We now rely on OpenTelemetry’s GlobalOpenTelemetry to configure the export of logs and metrics.
  • FX Translation Risk: Allow FX translation risk to be calculated upstream for multiple different reporting currencies.
  • Inclusion hierarchy: Added “Inclusion” hierarchy to support filtering and what-ifs on trades. For example, Banking book or speculative trades.
  • Default Jurisdiction: The default jurisdiction can be changed from BCBS.
  • CRIF Files: Improvements to our support for CRIF files.
  • What-If Configuration: Simple what-if simulations that alter the datastore can now be created through configuration.
  • Support for DirectQuery Aggregate Tables: Added support for using Aggregate Tables to improve startup time & reduce DirectQuery database compute costs.
  • DoctorPivot Service Moved Into AdminUI: The DoctorPivot service is now integrated into the AdminUI and is no longer a standalone component.

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ISDA version

This release is compliant with ISDA v.3.4.1.

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frtb-application module

The new frtb-application Maven module has been split out of the frtb-starter Maven module. The following components have been moved into the new module:
  • FRTBApplication class including the main() method.
  • Spring security configuration
  • OpenTelemetry configuration
  • Logging configuration
  • Content Service configuration
  • Configuration files

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Alternative root parameter sets

The root parameter set can now be changed to something other than “BCBS”. If your input files are generated for a parameter set other than BCBS (e.g. CRR3 or US-NPR), then you can set this parameter set as the root. The BCBS parameter set (and others) can then be specified as differences to your specified root parameter set.

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Improvements to CRIF file support

  • Previously we used the label “Portfolio ID”, but loaded the contents into the trade ID. For backwards compatibility, we have changed the label to “Trade ID” in the default CRIF format we support.
  • We have added support for the “Portfolio ID” field, this is mapped to the “Book” field when loading.
  • The order and inclusion of fields in the CRIF files can be customized (for example, either “Trade ID”, “Portfolio ID”, or both may be included); and fields like “TrancheThickness” can optionally be omitted if not loading securitized products for DRC.
  • CRIF files can now be loaded even if the target stores have been customized.

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Inclusion hierarchy

A new Inclusion hierarchy has been added to support filtering individual trades. Additionally, what-if simulations can be used to change this filtering. In the common MDX context, the “default member” for this hierarchy is “Y”. So, by default all MDX queries will filter on Inclusion=Y. However, if you add the “Inclusion” hierarchy to your query, then you can explicitly control the filtering. While the value of “Y” is a special value (defined for the default filtering), members of the “Inclusion” level can take any value. To support this new hierarchy. An “Inclusion” field has been added to both the Trade_Attributes.csv file and to the Trade Mapping store. In both places, it takes the default value of “Y”, to be included with the default filtering. The what-if simulation to change the value of this “Inclusion” field, uses a new what-if simulation configuration. It is configured using the following in the application.yaml file:

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What-if Simulation Configuration

Simple what-if simulations that change the value of a field in the datastore can now be defined by configuration. The configuration describes the changes to the datastore, and links some of the fields to the cube levels. The configuration is used to create a REST Endpoint for executing the what-if simulation, and to create a context menu and UI widget to allow users to execute the simulation. See Simple Datastore Changes for details.