Add equity investments in funds (CRE60) — v0.22.0#27
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New rwa/equity_in_funds.py implementing the CRE60 hierarchy. - fund_average_risk_weight / fund_leverage: the fund's average risk weight (underlying RWA / total assets) and leverage (assets / equity). - look_through_rwa / mandate_based_rwa: RWA = min(avg_RW * leverage, 1250%) * investment for the Look-Through and Mandate-Based approaches. - fall_back_rwa: the 1250% Fall-Back Approach. Each returns a FundRWAResult with the effective risk weight, RWA, and a cap-binding flag. 13 new tests; module at 100% coverage. Full suite 2,761 passing, 100% line coverage, mypy and ruff clean. Bumps to 0.22.0. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01PktGA7a3zzvbAczr6UhrsT Signed-off-by: Claude <noreply@anthropic.com>
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| investment=round(investment, 6), | ||
| effective_risk_weight=_MAX_RISK_WEIGHT, | ||
| rwa=round(_MAX_RISK_WEIGHT * investment, 6), | ||
| capped=True, |
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When fall_back_rwa() is used because neither LTA nor MBA applies, the 1250% weight is the approach itself, not the CRE60 cap on an avg_RW × leverage calculation. Setting capped=True makes every fall-back exposure look like a cap-binding LTA/MBA result, which conflicts with the FundRWAResult.capped contract and can mislead audit/reporting consumers that distinguish fallback from capped look-through results.
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Summary
New
rwa/equity_in_funds.pyimplementing the BCBS CRE60 hierarchy for risk-weighting a bank's equity investments in funds.What's new
fund_average_risk_weight(underlying_rwa, fund_total_assets)andfund_leverage(total_assets, total_equity)— the two LTA/MBA inputslook_through_rwa(...)/mandate_based_rwa(...)—RWA = min(avg_RW × leverage, 1250%) × investmentfall_back_rwa(investment)— the 1250% Fall-Back ApproachEach returns a
FundRWAResult(approach, effective risk weight, RWA, cap-binding flag); the avg-RW × leverage product is capped at 1250% per CRE60.7.Tests
13 new tests covering the average-RW and leverage helpers, the LTA/MBA calculation, the 1250% cap binding, the fall-back, and validation. Module at 100% coverage.
Full suite: 2,761 passing, 100% line coverage (8,337 statements),
mypyclean (171 files),ruffclean. Version 0.22.0.🤖 Generated with Claude Code
Generated by Claude Code