UK Credit Risk + Counterparty Credit Risk RWA Calculator¶

Welcome to the documentation for the UK Credit Risk + Counterparty Credit Risk RWA Calculator - a high-performance system for calculating Risk-Weighted Assets (RWA) for UK credit risk and counterparty credit risk exposures. Derivative and SFT exposures are measured via the Standardised Approach for Counterparty Credit Risk (SA-CCR) under CRR Art. 271-311, producing an EAD that feeds the same SA / IRB exposure ladder as on-balance-sheet credit risk.

Documentation: https://OpenAfterHours.github.io/rwa_calculator/

Source Code: https://github.com/OpenAfterHours/rwa_calculator

Overview¶

This calculator supports both current and forthcoming UK regulatory frameworks:

The system provides accurate, auditable RWA calculations across all major exposure classes using both the Standardised Approach (SA) and Internal Ratings-Based (IRB) approaches, and computes Counterparty Credit Risk EAD for derivative and SFT portfolios via SA-CCR.

Key Features¶

• Dual-Framework Support: Single codebase supporting both CRR and Basel 3.1 regulations
• High Performance: Built on Polars LazyFrames for vectorized operations, achieving 50-100x performance improvements
• Full Regulatory Coverage: Implements all exposure classes including Central Govt / Central Bank, Institution, Corporate, Retail, and Specialised Lending
• Counterparty Credit Risk (SA-CCR): Derivative EAD via CRR Art. 271-311 using EAD = α · (RC + PFE) with α = 1.4 per Art. 274(2); RC (Art. 275), PFE add-on (Art. 278) including the FX asset class, hedging-set aggregation, supervisory deltas, and the Art. 272(4) legal-enforceability netting gate are all in scope. See the SA-CCR specifications.
• Credit Risk Mitigation: Complete CRM support including collateral, guarantees, and provisions
• Audit Trail: Error accumulation and full traceability for regulatory compliance
• Parallel-Run Reconciliation: Compare outputs against your existing/legacy calculator, component by component, to gain comfort the numbers are right before you migrate. See the Reconciliation guide.
• Extensible Architecture: Protocol-based design enabling easy customization

Who Is This Documentation For?¶

This documentation serves multiple audiences:

For Engineers¶

• Architecture Guide - Understand the system design and components
• API Reference - Complete API documentation for all modules
• Development Guide - Testing, extending, and contributing

For Risk & Audit Teams¶

• Regulatory Frameworks - Detailed coverage of CRR and Basel 3.1 requirements
• Calculation Methodology - How RWAs are calculated
• Exposure Classes - Classification and treatment of exposures
• SA-CCR Specifications - Counterparty credit risk EAD for derivatives and SFTs (CRR Art. 271-311)

For Business Users¶

• Getting Started - Quick introduction and setup
• User Guide - Comprehensive usage documentation
• Glossary - Terminology and definitions

Quick Navigation¶

Calculation Pipeline Overview¶

The RWA calculator processes exposures through a six-stage pipeline: Load → Hierarchy → Classify → CRM → Calculate → Aggregate.

Details: See Pipeline Architecture for the full stage-by-stage walkthrough with diagrams.

Supported Calculations¶

By Approach¶

By Exposure Class¶

Class	SA	F-IRB	A-IRB	Slotting
Central Govt / Central Bank
Institution
Corporate
Corporate SME
Retail Mortgage
Retail QRRE
Retail Other
Specialised Lending
Equity

Technology Stack¶

The calculator is built using modern, high-performance technologies:

• Python 3.13+ - Latest Python features
• Polars - Vectorized DataFrame operations with LazyFrame optimization
• polars-normal-stats - Pure Polars statistical functions for IRB formulas
• Pytest - Comprehensive test coverage (5,034 tests)

Regulatory References¶

This implementation follows:

• PRA Rulebook - CRR Firms rules
• UK CRR - EU 575/2013 as onshored
• PRA PS1/26 - Basel 3.1 implementation policy statement
• BCBS CRE Standards - Basel Committee credit risk standards

See the Regulatory References appendix for complete documentation links.

Version Information¶