baselmini 1.0.1

Basel III mini engine (credit + liquidity)

baselmini v1.0.1

A minimal-yet-robust Basel III standardized-approach engine.
Covers credit risk RWA, capital ratios (CET1/Tier1/Total + leverage + buffers), liquidity (LCR with composition caps), NSFR (lite), and a scenario engine.
Outputs are auditable to the per-exposure level with rich explainability.

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Quick start

Set up a virtualenv and install:

python3 -m venv .venv && source .venv/bin/activate
python3 -m pip install --upgrade pip
pip install -e .

Dependencies:

• PyYAML (for YAML configs; JSON also supported)

After installation, example configs/data/scenarios/golden sets are placed under the package’s data directory.

You can locate it like this:

python - <<'PY'
import sysconfig, pathlib
root = pathlib.Path(sysconfig.get_paths()["data"]) / "baselmini_examples"
print(root)  # browse this path for configs/, data/, scenarios/, golden/
PY

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CLI Commands

Additional convenience flags are available:

• Version

baselmini --version

Prints the installed version (from pyproject.toml).

• Verbosity/Quiet

baselmini -v run ...   # verbose, high-level progress
baselmini -vv run ...  # extra verbose, full detail
baselmini -q run ...   # quiet, shows warnings and errors only 

• Strict Mode

baselmini run ... --strict

Treat warnings as errors — run halts with exit code 2, no outputs written.

• Skip validations

baselmini run ... --no-validate

Skips schema/result validations.

• Report to stdout

baselmini run ... --stdout report

Prints the Markdown report to stdout instead of writing files.

• Dry run

baselmini run ... --dry-run

Loads data, computes, validates, and prints a one-screen summary. No files written.

• List examples

baselmini --list-examples

Shows paths of bundled sample files under configs/, data/, scenarios/, golden/inputs.

• Show config

baselmini --show-config --config-file configs/std_approach.yml

Echoes the parsed/merged config (JSON) to stdout.

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Run

Example run (with FX conversion + scenario):

baselmini run \
  --asof 2025-09-15 \
  --exposures data/exposures.csv \
  --capital   data/capital.csv \
  --liquidity data/liquidity.csv \
  --config    configs/std_approach.yml \
  --fx        data/fx.csv --fx-date-check \
  --nsfr      data/nsfr.csv \
  --scenario  scenarios/shock_fx_10pct.yml \
  --out       out_demo

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Outputs

Written to the chosen --out directory:

• rwa_per_exposure.csv
  One row per exposure with:

  • ead_gross, ead, rwa, risk_weight
  • supporting_factor_applied (e.g. SME/Infra factors)
  • collateral_mode, collateral_haircut_effect
  • scenario_flags (e.g. {"ead_mult":1.1,"rating_notches":1})
  • rw_source (e.g. "Corporate:A")
  • crm_path (e.g. "advanced: base=0.02 + short=0.08")

• rwa_by_class.csv
  Totals by asset class.

• rwa_kpis.json
  Portfolio KPIs: gross/net EAD, RWA, densities.

• results.json
  Full structured results: capital, ratios, breaches, warnings, FX metadata, NSFR.

• report.md
  Human-readable mini Pillar 3 style report:

  • Breaches banner (!! CET1, LCR, NSFR, leverage)
  • Capital components, ratios, buffers, headroom
  • RWA totals + KPIs with reconciliation check
  • LCR with Level-2 caps and composition table
  • NSFR summary
  • Top-5 RWA contributors (with RW source + CRM path)
  • Non-blocking data warnings

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Features

• Credit Risk (SA style)

  • Risk weights by asset class and rating (AAA → NR).
  • Mortgages with LTV banding.
  • SME/Infrastructure supporting factors (stacking modes: multiply / min / priority).

• Collateral & CRM

  • Simple mode (haircuts per type / override).
  • Advanced mode (supervisory haircuts + maturity & FX add-ons).
  • Full trace via crm_path.

• Capital stack

  • CET1, AT1, Tier 2, deductions.
  • Ratios vs minimums + buffers.
  • Leverage ratio (Tier1/Exposure).
  • Breach signalling (ratios < requirement).

• Liquidity (LCR)

  • HQLA (Level 1, 2A, 2B) with 40%/15% caps.
  • Outflow/inflow buckets with configurable rates.
  • Net outflows ≤0 handled gracefully (LCR=0).

• NSFR (lite)

  • ASF and RSF buckets × factors.
  • Ratio, % and breach signalling.

• FX support

  • Converts exposures + collateral to base CCY.
  • Rejects zero/negative FX rates.
  • Optional --fx-date-check to enforce quote_date <= asof.

• Scenario engine

  • EAD multipliers per asset class.
  • Global / per-class rating notch-down.
  • LCR multipliers: inflows/outflows/haircuts.
  • HQLA haircuts bump (bps).
  • Flags recorded per exposure for audit.

• Validation & auditability

  • Config schema checks (typos/unknown keys flagged).
  • Per-row data hygiene: required fields, non-negatives, CCY whitelist.
  • Aggregate vs per-exposure reconciliation logged.
  • Breaches surfaced in JSON + report.

• Golden test set

  • A demo input + expected output bundle for reproducibility.

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Tests

Run unit tests:

python -m unittest discover -s tests -v

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Data dictionaries

Exposures (exposures_*.csv)

Column	Required	Type	Notes
id	✓	string	Unique exposure identifier.
asset_class	✓	string	One of your configured classes (e.g., Bank, Corporate, Retail, Mortgage, Sovereign, SME, Infrastructure).
rating		string	AAA/AA/A/BBB/BB/B/CCC/NR; NR assumed if missing.
ead	✓*	number	If drawn/undrawn not provided.
drawn	*	number	Used with undrawn + commitment_type to build EAD.
undrawn	*	number	See above.
commitment_type		string	Looks up CCF in config (e.g., revocable, irrevocable_lt1y).
mortgage_ltv	(Mortgage)	number	Used for LTV banding (e.g., 0.78).
exposure_ccy | ccy		string	Exposure currency (FX conversion uses this).
eligible_collateral		number	Nominal collateral amount.
collateral_type		string	E.g., cash, gov_bond_lvl1, corp_bond.
collateral_haircut		number	Row override; otherwise type/default is used.
collateral_residual_maturity_days		integer	Advanced CRM short-maturity add-on trigger.
collateral_ccy		string	Used to detect FX mismatch in advanced CRM.

* Provide either ead or (drawn+undrawn with a matching commitment_type).

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Liquidity (liquidity_*.csv)

Column	Required	Type	Notes
bucket	✓	string	One of: HQLA_L1, HQLA_L2A, HQLA_L2B, OUTFLOW, INFLOW.
amount_ccy	✓	number	Nominal amount in the instrument currency (FX converts if provided).
rate	for flows	number	Flow rate (outflow or inflow). Backward-compatible aliases: outflow_rate, inflow_rate.
haircuts	for HQLA (opt)	number	Optional per-row HQLA haircuts if you choose to use it; caps still apply.

Notes:

• In v1.0.1, the column is normalized to rate. If you feed outflow_rate/inflow_rate, they are accepted as aliases and mapped to rate.
• Caps from config: Level-2 total 40%, L2B 15%, inflow cap 75%.
• When scenarios apply inflow/outflow multipliers, they adjust the inflow_rate or outflow_rate fields as appropriate; at runtime these are normalized into the neutral rate column used by the LCR calculation.

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NSFR (nsfr_*.csv)

Column	Required	Type	Notes
bucket	✓	string	Use ASF or RSF.
amount_ccy	✓	number	Nominal amount (pre-FX).
factor	✓	number	Available/Required Stable Funding factor (e.g., 0.85).

The engine sums ASF = Σ(amount×factor) over bucket=ASF, RSF = Σ(amount×factor) over bucket=RSF, then reports NSFR = ASF/RSF.

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Config snippet — Supporting-factor stacking (v1.0.1)

supporting_factors:
  enabled: true
  stacking: "min"                 # "multiply" (default), "min", or "priority"
  priority_order: ["sme","infra"] # used only when stacking: "priority"
  sme:
    on_asset_classes: ["SME"]
    factor: 0.7619
  infra:
    on_asset_classes: ["Infrastructure"]
    factor: 0.75

• multiply → SME and Infra both apply and compound (factor = 0.7619 × 0.75).
• min → take the most conservative (smallest) factor.
• priority → apply the first matching factor in priority_order.

Add this under your existing config’s supporting_factors: block.

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Troubleshooting

• Mortgage row without mortgage_ltv → RWA falls back to Mortgage.default; warning emitted.
  Fix: fill mortgage_ltv (0–1).
• Unknown asset_class → warning; RW falls back to class default if present, else to the global default.
  Fix: correct spelling or add the class in risk_weights.
• NR rating fallback → rows without rating default to NR.
  Fix: add a rating if you intend a different RW.
• Non-positive FX rate → hard error (conversion disabled).
  Fix: ensure rate>0 (e.g., USD=1.0).
• FX quote date > as-of (with --fx-date-check) → hard error.
  Fix: use quotes with quote_date <= asof.
• Currency whitelist mismatch (warning) → currency not in config’s whitelist.
  Fix: add or correct the currency code.
• --strict → any warnings cause exit code 2 and no output files (by design). Run without --strict to inspect warnings in report.md.

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Golden repro & tests

• Unit tests

  python -m unittest discover -s tests -v
  

• Golden run (example)

  baselmini run     --asof 2025-09-15     --exposures golden/inputs/exposures.csv     --capital   golden/inputs/capital.csv     --liquidity golden/inputs/liquidity.csv     --config    golden/inputs/config.yml     --nsfr      golden/inputs/nsfr.csv     --out       golden/out_golden
  

  Compare golden/out_golden/results.json against golden/expected/results.json using diff or your favourite JSON diff tool.

License

MIT — free to use for demos, teaching, and interviews.