Add MREL framework (BRRD2 / SRMR2) — v0.23.0#28
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New rwa/mrel.py implementing the EU resolution Minimum Requirement for own funds and Eligible Liabilities — the EU analogue of TLAC. - mrel_trea_requirement / mrel_tem_requirement: the Loss Absorption + Recapitalisation Amount calibration (Pillar 1 + P2R, plus a market- confidence charge on the TREA recapitalisation amount), floored at the 18% / 6.75% TLAC minimums for G-SII resolution entities. - assess_mrel: compares eligible MREL against the higher of the TREA and TEM (leverage) requirements, reporting both ratios, the binding constraint, shortfalls, and a compliance flag. 16 new tests; module at 100% coverage. Full suite 2,777 passing, 100% line coverage, mypy and ruff clean. Bumps to 0.23.0. 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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| trea_ratio = eligible_mrel / trea | ||
| tem_ratio = eligible_mrel / tem |
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When a bank has CET1 allocated to the combined buffer, using the same eligible_mrel numerator for both ratios is not correct: SRB policy distinguishes that CET1 used for MREL-TREA cannot also meet the CBR, while leverage-based MREL is not restricted by that same amount (SRB MREL Policy 2024). This API has no CBR or separate-numerator input, so passing gross resources overstates TREA compliance, while passing resources net of the CBR fabricates TEM shortfalls; for entities with non-zero CBR near the risk-weighted stack, assess_mrel can report the wrong binding constraint and compliance flag.
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Summary
New
rwa/mrel.pyimplementing the EU resolution Minimum Requirement for own funds and Eligible Liabilities (BRRD2 Art. 45-45m / SRMR2) — the EU analogue of the TLAC framework shipped in v0.20.0.What's new
mrel_trea_requirement(p2r, market_confidence_charge, …)— the Loss Absorption + Recapitalisation calibration:LAA = P1 + P2R,RCA = P1 + P2R + MCC,MREL = LAA + RCA, floored at the 18% TLAC minimum for G-SII resolution entitiesmrel_tem_requirement(leverage_p2r, …)— the leverage-based requirement2 × (P1 + leverage_P2R), floored at 6.75% for G-SIIsassess_mrel(...)— compares eligible MREL against the higher of the TREA and TEM requirements, returning both ratios, the binding constraint, shortfalls, and a compliance flag (MRELResult)The framework is parameterized (P2R, MCC, leverage P2R supplied by the caller per their resolution authority's policy) rather than hard-coding a contested calibration.
Tests
16 new tests covering the LAA+RCA calibration, the G-SII floors (binding and non-binding), TREA-vs-TEM binding constraints, breach/shortfall, and validation. Module at 100% coverage.
Full suite: 2,777 passing, 100% line coverage (8,391 statements),
mypyclean (172 files),ruffclean. Version 0.23.0.🤖 Generated with Claude Code
Generated by Claude Code