Supported sign-off adjustments in FRTB - Atoti Hub

This page details the adjustment types available in , together with details of the execution workflow.

Adjustment types

Multiple adjustment types are available out of the box in .

Cube	Metric	Adjustment type	Description	Input value type	Base value type
StandardisedApproachCube	Default Risk Charge	Add-one	Add-on value. Results in a single new row per adjustment.	Scalar value	Scalar
StandardisedApproachCube	Default Risk Charge	Scaling	Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Scalar value	Scalar
StandardisedApproachCube	Default Risk Charge	Override	Override of the base value. Results in two rows, for the inversion of the base value and the new value.	Scalar value	Scalar
StandardisedApproachCube	Equity Delta Sensitivities, FX Delta Sensitivities	Add-one	Add-on value. Results in a single new row per adjustment.	Scalar value	Vector
StandardisedApproachCube	Equity Delta Sensitivities, FX Delta Sensitivities	Scaling	Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Scalar value	Vector
StandardisedApproachCube	Equity Delta Sensitivities, FX Delta Sensitivities	Override	Override of the base value. Results in two rows, for the inversion of the base value and the new value.	Scalar value	Vector
StandardisedApproachCube	Commodity Delta Sensitivities, CSR non-Sec Delta Sensitivities, CSR Sec CTP Delta Sensitivities, GIRR Delta Sensitivities	Add-one	Add-on value. Results in a single new row per adjustment.	Scalar value	Vector
StandardisedApproachCube	Commodity Delta Sensitivities, CSR non-Sec Delta Sensitivities, CSR Sec CTP Delta Sensitivities, GIRR Delta Sensitivities	Scaling	Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Scalar value	Vector
StandardisedApproachCube	Commodity Delta Sensitivities, CSR non-Sec Delta Sensitivities, CSR Sec CTP Delta Sensitivities, GIRR Delta Sensitivities	Override	Override of the base value. Results in two rows, for the inversion of the base value and the new value.	Scalar value	Vector
StandardisedApproachCube	CSR non-Sec Curvature CVR Up, Commodity Curvature CVR Up, CSR Sec CTP Curvature CVR Up, Equity Curvature CVR Up, FX Curvature CVR Up, GIRR Curvature CVR Up	Add-one	Add-on value. Results in a single new row per adjustment.	Scalar value	Vector
StandardisedApproachCube	CSR non-Sec Curvature CVR Up, Commodity Curvature CVR Up, CSR Sec CTP Curvature CVR Up, Equity Curvature CVR Up, FX Curvature CVR Up, GIRR Curvature CVR Up	Scaling	Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Scalar value	Vector
StandardisedApproachCube	CSR non-Sec Curvature CVR Up, Commodity Curvature CVR Up, CSR Sec CTP Curvature CVR Up, Equity Curvature CVR Up, FX Curvature CVR Up, GIRR Curvature CVR Up	Override	Override of the base value. Results in two rows, for the inversion of the base value and the new value.	Scalar value	Vector
StandardisedApproachCube	CSR non-Sec Curvature CVR Down, Commodity Curvature CVR Down, CSR Sec CTP Curvature CVR Down, Equity Curvature CVR Down, FX Curvature CVR Down, GIRR Curvature CVR Down	Add-one	Add-on value. Results in a single new row per adjustment.	Scalar value	Vector
StandardisedApproachCube	CSR non-Sec Curvature CVR Down, Commodity Curvature CVR Down, CSR Sec CTP Curvature CVR Down, Equity Curvature CVR Down, FX Curvature CVR Down, GIRR Curvature CVR Down	Scaling	Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Scalar value	Vector
StandardisedApproachCube	CSR non-Sec Curvature CVR Down, Commodity Curvature CVR Down, CSR Sec CTP Curvature CVR Down, Equity Curvature CVR Down, FX Curvature CVR Down, GIRR Curvature CVR Down	Override	Override of the base value. Results in two rows, for the inversion of the base value and the new value.	Scalar value	Vector
StandardisedApproachCube	Commodity Vega Sensitivities, CSR non-Sec Vega Sensitivities, CSR Sec CTP Vega Sensitivities, GIRR Vega Sensitivities, Equity Vega Sensitivities, FX Vega Sensitivities	Add-one	Add-on value. Results in a single new row per adjustment.	Scalar value	Vector
StandardisedApproachCube	Commodity Vega Sensitivities, CSR non-Sec Vega Sensitivities, CSR Sec CTP Vega Sensitivities, GIRR Vega Sensitivities, Equity Vega Sensitivities, FX Vega Sensitivities	Scaling	Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Scalar value	Vector
StandardisedApproachCube	Commodity Vega Sensitivities, CSR non-Sec Vega Sensitivities, CSR Sec CTP Vega Sensitivities, GIRR Vega Sensitivities, Equity Vega Sensitivities, FX Vega Sensitivities	Override	Override of the base value. Results in two rows, for the inversion of the base value and the new value.	Scalar value	Vector
InternalModelApproachCube	IMCC	Scaling	Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Date	Vector

Execution details

Functional workflow

Executing an adjustment should conform to the following steps:

Step	Details
Retrieve supported adjustments from the appropriate REST endpoint	The adjustment requests need to conform to the specification returned by the supported adjustments service, but once the requests are created, this step isn’t necessary.
Initiate the sign-off task	The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘INITIATED’.
Request adjustment.	Adjustment requests will be executed asynchronously on the sign-off snapshot. There is no limit to the number of adjustments that can be requested for a snapshot.
Approve the sign-off task	The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘APPROVED’.
Retrieve the status of an adjustment execution	As adjustments are executed asynchronously, a service is provided for retrieving the status of a given adjustment execution. Any errors in the execution of an adjustment will result in a `FAILED` status being returned by the status service.

Sign-off API implementation in FRTB

Sign-Off REST endpoints

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