Output Schemas¶

This page documents the schemas for calculation results and output data produced by each calculator and the final aggregated output.

Source of truth: All schemas are defined in src/rwa_calc/data/schemas.py. Result bundles are defined in src/rwa_calc/contracts/bundles.py.

SA Result Schema¶

Results from Standardised Approach calculation. Each exposure gets a risk weight looked up from regulatory tables by exposure class and CQS, then RWA = EAD × risk weight.

Source: SA_RESULT_SCHEMA in data/schemas.py

IRB Result Schema¶

Results from IRB approach calculation (F-IRB and A-IRB). Includes the full IRB formula breakdown: PD → LGD → correlation → capital requirement K → maturity adjustment → RWA.

Source: IRB_RESULT_SCHEMA in data/schemas.py

Slotting Result Schema¶

Results from slotting approach calculation for specialised lending. Risk weights are assigned by supervisory category, lending type, and (under CRR) remaining maturity.

Source: SLOTTING_RESULT_SCHEMA in data/schemas.py

Calculation Output Schema¶

The master output schema covering all exposure-level results with full audit trail. Designed so that users can investigate why results occurred and replicate calculations from the output data alone.

Source: CALCULATION_OUTPUT_SCHEMA in data/schemas.py

Identification and lineage¶

Counterparty hierarchy (rating inheritance)¶

Lending group hierarchy (retail threshold)¶

Exposure hierarchy (facility structure)¶

CRM inheritance (from hierarchy)¶

Exposure classification¶

Original exposure values¶

CCF application (off-balance sheet conversion)¶

CRM — collateral impact¶

CRM — guarantee impact (substitution approach)¶

Pre/post CRM counterparty tracking¶

CRM — provision impact¶

EAD calculation¶

Risk weight determination — SA¶

Risk weight determination — IRB¶

Specialised lending and equity¶

Real estate specific¶

Final RWA calculation¶

Expected loss (IRB)¶

Supporting factors (CRR only)¶

Warnings and validation¶

Framework-Specific Output Additions¶

CRR (Basel 3.0) additions¶

Source: CRR_OUTPUT_SCHEMA_ADDITIONS in data/schemas.py

Basel 3.1 (PRA PS1/26) additions¶

Source: BASEL31_OUTPUT_SCHEMA_ADDITIONS in data/schemas.py

Result Bundles¶

AggregatedResultBundle¶

The final result from the output aggregator. Combines SA, IRB, slotting, and equity results with output floor application and supporting factor adjustments.

Source: AggregatedResultBundle in contracts/bundles.py

@dataclass(frozen=True)
class AggregatedResultBundle:
    """Final aggregated output from the output aggregator."""

    results: pl.LazyFrame                               # Final RWA results
    sa_results: pl.LazyFrame | None = None               # Original SA results
    irb_results: pl.LazyFrame | None = None              # Original IRB results
    slotting_results: pl.LazyFrame | None = None         # Original slotting results
    equity_results: pl.LazyFrame | None = None           # Equity results
    floor_impact: pl.LazyFrame | None = None             # Output floor impact analysis
    supporting_factor_impact: pl.LazyFrame | None = None # Supporting factor impact (CRR)
    summary_by_class: pl.LazyFrame | None = None         # RWA by exposure class
    summary_by_approach: pl.LazyFrame | None = None      # RWA by approach
    pre_crm_summary: pl.LazyFrame | None = None          # Gross view by original class
    post_crm_detailed: pl.LazyFrame | None = None        # Split rows for guarantees
    post_crm_summary: pl.LazyFrame | None = None         # Net view by effective class
    el_summary: ELPortfolioSummary | None = None          # EL summary with T2 credit cap
    errors: list = field(default_factory=list)            # All pipeline errors

ELPortfolioSummary¶

Portfolio-level expected loss summary with T2 credit cap (CRR Art. 62(d)).

@dataclass(frozen=True)
class ELPortfolioSummary:
    total_expected_loss: float        # Sum of EL across IRB exposures
    total_provisions_allocated: float # Sum of provisions allocated to IRB
    total_el_shortfall: float         # Sum of max(0, EL − provisions) per exposure
    total_el_excess: float            # Sum of max(0, provisions − EL) per exposure
    total_irb_rwa: float              # Total IRB RWA (denominator for T2 cap)
    t2_credit_cap: float              # 0.6% of total IRB RWA
    t2_credit: float                  # min(total_el_excess, t2_credit_cap)
    cet1_deduction: float             # 50% of total_el_shortfall
    t2_deduction: float               # 50% of total_el_shortfall

Other result bundles¶

Export Formats¶

Parquet¶

result.results.collect().write_parquet("rwa_results.parquet")

Full precision, efficient compression, schema preservation.

CSV¶

result.results.collect().write_csv("rwa_results.csv")

Human-readable, Excel-compatible.

Excel (via API export module)¶

from rwa_calc.api.export import ResultExporter

exporter = ResultExporter(result)
exporter.to_excel("rwa_results.xlsx")

Next Steps¶

• Regulatory Tables
• API Reference
• Configuration Guide