Generate ci_loan_prime.zip -- Prime-indexed variable-rate C&I loan.
Simulation start date: 2022-01-04.
Instrument Basis Amount Acquired Side Book
-------------------- --------------- --------- ---------- ----- -------
Common Equity NA 2,000,000 2021-06-01 SHORT BANKING
Term Deposit 2% NA 3,000,000 2021-06-01 SHORT BANKING
Prime+250bp 5Y CI Loan AMORTIZED_COST 5,000,000 2021-06-01 LONG BANKING
The C&I loan is a bullet (no amortization) variable-rate loan indexed to U.S. Bank Prime Rate plus 250 basis points, repricing monthly. The simulation window catches the 2022 Fed tightening cycle where Prime rose from 3.25% to 7.50%.
Run::
uv run python src/brms/data/create_ci_loan_prime.py
Yields are extracted from the existing htm_treasury.zip.
Prime rate history is loaded from temp/data/prime_rates.csv.
Functions:
-
create_ci_loan_prime_zip–Write the CI loan simulation zip to out_path and return its path.
create_ci_loan_prime_zip(
out_path: Path | None = None,
) -> Path
Write the CI loan simulation zip to out_path and return its path.