K-SACCR 1.0.2

Patch release of the K-SACCR Excel workbook, adding clearing coverage. A portfolio entered as in 1.0.1, with the new columns left blank, gives the same EAD.

What changed

• Trade exposures to a CCP (#112). Client clearing role CCP, with two new NettingSets columns, QCCP (Y/N) and CCP retains VM, collateral not protected (Y/N). The engine applies an MPOR floor of 10 business days and, with retained VM, a horizon per trade. The CCP's EAD stays in its regime's total, and Checks shows a subtotal for it. The risk weight is stated, not applied. Default-fund contributions are not supported (#400).
• Settled-to-market trades (#360). Two new Trades columns before Comment, Settlement type (N/STM) and Next reset date. Maturity and the reset date are separate inputs and are validated together.
• Client clearing (#359). Cases for clearing members and clients under CRR and BCBS. Role MULTI declares a multi-level structure, which is rejected. Checks gets an INFO line with the role, MPOR floor and rule of every CM, CLIENT and CCP netting set.
• Results. INVALID and INCOMPLETE rows are highlighted.
• User manual. Updated for all of the above, with a corrected worksheet-function list (#379).

Moving from 1.0.1: the new columns change both input tables. Follow the manual's Moving inputs from 1.0.1. Full list: CHANGELOG.

Files

File	SHA-256
K-SACCR_1.0.2.xlsm	1ed00eba852d659b121419846e2c6f1e665ed15353f069bc7ffeea96b8ce4f3f
K-SACCR_User_Manual_1.0.2.pdf	aa69abc2561f3e65075d22243a1e87d6611525974b710d77c862f2ee98540e68

Check the workbook's SHA-256 against SHA256SUMS.txt before you unblock it and enable macros (user manual, Getting started).

Certification

Certified at cfb88e5 on Excel for Microsoft 365, Version 2608 (Build 16.0.20326.20072), 64-bit, Windows 11 Enterprise 25H2 x64:

• compile PASS;
• eight test suites, each run on its own: 288 cases, 1,283 checks, 0 failures;
• evidence validator PASS;
• source round trips PASS for the production workbook (24 components) and the certified development workbook (35 components), both bound to their workbook.

One deviation: a first certification attempt failed TEST_MainState on a recalculation interrupted in the Excel session. That run is kept in the evidence. A second attempt on a fresh workbook passed every suite, with no code change.

This is software evidence, not regulatory approval. Basel rules are validated by the published CRE99 examples. CRR rules, and the clearing and CCP rules added here, are implemented and tested on illustrative values.

K-SACCR 1.0.1

Patch release of the K-SACCR Excel workbook. No calculation changed: the same inputs give the same EAD as in 1.0.0.

What changed

• Results status. Results C5 now says it checks the inputs only. ResultsStatus() reports EDITED when an output cell was changed after the run, and Export evidence refuses it (#315).
• Safer evidence export. Exporting over an existing file keeps the older file until the new one is complete (#312).
• Clearer failures. A failed reconciliation keeps its cause in the run message (#318). The documentation explains Results C5 after the 1904 date system is switched (#317).
• Workbook texts. The sheets no longer refer to the source repository, and the README sheet drops a stale version stamp.
• User manual. Rewritten for someone who receives only the workbook, with the replacement-cost and PFE explainer.
• Release tooling. A source round trip now binds an export to its workbook (#313), and the benchmark covers all six CRR asset classes (#309).

Full list: CHANGELOG.

Files

File	SHA-256
K-SACCR_1.0.1.xlsm	c637a25dc78e44014d0f6e864029c387c8c1789ce16d7183792bbe9f284ba632
K-SACCR_User_Manual_1.0.1.pdf	73f3e7a4884f70050b935342a5e8ce217d1e447dfbda5b359ddadd06d2090293

Check the workbook's SHA-256 against SHA256SUMS.txt before you unblock it and enable macros (user manual, Getting started). If you are moving from 1.0.0, follow the manual's A new version steps.

Certification

Certified at 31222d1 on Excel for Microsoft 365, Version 2608 (Build 16.0.20326.20072), 64-bit, Windows 11 Enterprise 25H2 x64:

• compile PASS;
• eight test suites, each run on its own: 230 cases, 1,033 checks, 0 failures;
• evidence validator PASS, with no deviation;
• source round trips PASS for the production workbook (24 components) and the certified development workbook (35 components), both bound to their workbook.

This is software evidence, not regulatory approval. Basel rules are validated by the published CRE99 examples; CRR rules are implemented and tested on illustrative values.

K-SACCR 1.0.0

K-SACCR 1.0.0 is the first supported release: an Excel/VBA toolkit that calculates SA-CCR exposure at default under the EU CRR or Basel CRE52, chosen per netting set, with every intermediate step on its own sheet. It also reconciles a bank's own figures and exports CSV evidence. No real portfolio data is included.

Downloads

File	SHA-256
K-SACCR_1.0.0.xlsm: production workbook (engine, worksheet functions, sheet macros; demonstration portfolio)	4d430f155fc335e55a61fec7a38a0f3a2fee12a33adaa56245c3f29abf9abb7e
K-SACCR_User_Manual_1.0.0.pdf: user manual	2ffac1f8dd4c7e8407f288f59dd46ec2c7c51527a0c481b91381b8a75b18d3a8
SHA256SUMS.txt: both hashes

Before opening the workbook, check its hash, then unblock it if your macro policy allows: see INSTALLATION › Released workbook. To build the workbook from source instead, use the v1.0.0 tag and INSTALLATION.

Scope

• Full SA-CCR: replacement cost, PFE multiplier, add-ons for interest rate, FX, credit, equity, commodity and (CRR only) other risks, EAD = alpha × (RC + PFE). Margined netting sets are covered, with the cap at the unmargined EAD.
• Results per netting set and a total per regime; a REGULATORY or WHAT-IF run class against the parameter set CRE52-CRR-2026-10-09.
• Reconciliation with a bank's figures per netting set and per trade leg; CSV evidence export, refused while anything is out of date.
• Ten SACCR_* worksheet functions.
• Measured on a 64-bit host: 500,000 synthetic trade legs in 1,000 netting sets in about 114 s.

The full list is in the changelog.

Validation

• Basel rules are validated by the published CRE99 examples 1–5. CRR is implemented and tested against illustrative values; it is not independently validated. No regulatory approval is claimed.
• Certification of the tagged commit 87194e8 on Excel for Microsoft 365, Version 2608 (Build 16.0.20326.20072), 64-bit, Windows 11 x64:
  • compile PASS;
  • all eight suites PASS, each run on its own: 228 cases, 1,001 checks, 0 failures;
  • the release workbook's code matches the tagged source (source round trip: 24 components, 0 differences).
• Deviation. The repository's evidence validator rejects this record against the policy at the tag, with one finding. The policy names TEST_InputValidation's first case without the input- prefix the suite prints, so no real log of that suite could pass. The same record, with the same commit, sources and logs, validates PASS against the corrected policy (#305), which ships after 1.0.0. The tag message records this.

Known limitations

• Windows desktop Excel; 64-bit tested, 32-bit best effort; Excel for Mac and for the web are not supported.
• Digital options are not supported (#120). The optional reductions for sold options and sold credit protection are not applied, which gives a higher exposure.
• One leg per FX trade; FX options follow a fixed currency quote order.
• Trades dropdowns and validation cover rows 5 to 5,000; more rows are calculated without them.