Follow the repository rename and the current roadmap
Point every link at danielep71/K-SACCR instead of
danielep71/VBA-SACCR-Toolkit: files, issues, releases, milestones,
commits, image URLs, and the clone and cd lines in Getting Started.
Bring the roadmap in line with the README on main: v1.7.0 is the
standalone Python engine (#450-#459); the v1.8.0 to v1.10.0 rows and
the note that v1.7.0 is unused are removed. Securities financing
transactions are developed in K-SFTs; risk-weighted assets, capital
and default-fund contributions to CCPs in K-Risk Engines; CVA risk in
an engine of its own. Open Items and Limitations, Regulatory Basis and
SA-CCR Overview say the same.
Checked: no old repository name is left; every blob, tree and raw
link resolves on main, anchors included.
74e9663
Explain the missing v1.7.0 milestone in the roadmap
The roadmap jumps from v1.6.0 to v1.8.0. A line under the table now
says that v1.7.0 is not used: its CCP scope was delivered in v1.0.2
(#112) and default-fund contributions moved to v1.10.0 (#400), as the
README roadmap says.
Validated: git diff --check clean.
6493e85
Add workbook protection and #357 to the roadmap
The v1.1.0 row now covers workbook protection (#420, #421, #422)
alongside CSV import and staging, and the v1.2.0 row lists the Restore
Parameter Defaults command (#357), matching the milestones and the
README roadmap.
Validated: git diff --check clean; every issue of the v1.1.0 and v1.2.0
milestones appears in its row.
3ba5aa3
Keep the distinct-author condition for independent values
The independent class said "an external implementation written outside
the project", which dropped the condition that the implementation not
be written by the author of the code under test. It now says "an
external implementation by another author", on Validation Approach and
Regulatory Sources.
Validated: git diff --check clean; no "owner" or "maintainer" left in
the wiki.
c2dd803
Update branch status and drop third-person references to the author
Open Items and Limitations now lists release/1.0.0, release/1.0.1 and
release/1.0.2 as closed, after the retirement of the historical release
branches.
Replace "the owner" and "the maintainer" with neutral wording on ten
pages: Home, Getting Started, Test Catalogue, Workbook Guide, Validation
Approach, Regulatory Sources, Regulatory Basis, Worked Examples and
Replacement Cost and Collateral. Measurements, runs and screenshots are
described without naming who made them; the evidence-policy text says the
project has no separate reviewer and that values derived within the
project stay illustrative. The meaning of the evidence classes is
unchanged.
Validated: no "owner" or "maintainer" left in the wiki; git diff --check
clean.
d1d0728
Update the wiki for release 1.0.2
Inputs, Margining and MPOR, Outputs and Statuses, Troubleshooting and
Getting Started describe the CCP columns R:S, roles CCP and MULTI, the
settled-to-market columns AB:AC with Comment in AD, the CCP MPOR floor
and retained-VM horizon, the new Checks INFO lines and the light-red
highlight, and moving inputs from 1.0.1. Test Catalogue, Validation
Approach and Open Items give the 1.0.2 counts (288 cases, 1,283 checks),
the certification at cfb88e5 with its one deviation, the evidence rule
without independent review, and the remaining limitations. The
regulation pages, Home and the footer name release 1.0.2.
be8f921
Keep one Basel vs CRR page
Moves "Why two regimes" into Regulation/Basel-vs-CRR.md and removes the
duplicate page at the wiki root, so the README link opens a single page.
The sheet comparison now counts 28 areas, matching the Basel_vs_CRR rows
added in release 1.0.2.
09a7f74
Explain why the toolkit has two regimes
Adds "Why two regimes" to the Basel vs CRR page: CRR is the default and
the binding rule set for EU institutions; BCBS does not replace it but
shows the effect of the EU-specific deviations, traces figures to CRE52,
and serves Basel monitoring exercises, peer comparison and group entities
outside the EU. BCBS results are not regulatory figures.
0c519e8
docs(wiki): clarify worked example units precision and evidence
229d7e4
docs(wiki): distinguish Basel CRR rules inputs and interpretations
e9e45bb
docs(wiki): clarify PFE inputs aggregation and regulatory limits
dd5ba24
docs(wiki): fix math spacing in GitHub rendering
269991d
docs(wiki): clarify margining and MPOR rules and limitations
2bd3cd1
docs(wiki): clarify replacement cost and collateral treatment
9c7d88e
docs(wiki): correct and complete regulatory sources
33ba1ea
docs(wiki): correct regulatory basis and coverage limits
f332297
Copy BCBS 279 and register the CRR CCP extract
BCBS 279 (March 2014, revised April 2014) is now kept with the other source
copies, with its SHA-256 hash: the BIS terms allow non-commercial
redistribution, which also covers the Basel chapters already copied. The
page no longer says BCBS 279 is cited but not copied, and states that the
copies stay under their publishers' terms. CRR-CCP (Articles 4(1)(88)-(91)
and 300-311 of the consolidated CRR) joins the source register and the
hash table.
946419c
docs(wiki): correct and complete SA-CCR overview
Clarify output-floor alpha, aggregation, adjusted notionals, netting
and method eligibility. Refine scope and validation wording while
preserving glyphs, formatting, badges and images.
d99d0a2
Give the demonstration portfolio's current input fingerprint
How It Works (RunSACCR_Silent line) and Outputs and Statuses (Results C4
example) show inputs 7B68D18F, the value of the 1.0.1 release workbook;
74A6C31F was recorded before later changes to the template's inputs.
2292b34
Make the source descriptions exact
Regulatory Sources: the consolidated CRR text is a documentation tool with
no legal effect; K-SACCR implements Articles 274-280f, and 273a, 281 and
282 are context only. BCBS 279 is available from the BIS publication page
and is cited, not copied, because its notice reserves all rights. Only
published and independent values qualify as numerical-validation
references; CRR provisions were checked, CRR-specific numerical
validation remains incomplete.
Regulatory Sources, Margining and MPOR, Basel vs CRR: the client's 10-day
MPOR floor under Basel depends on the conditions of CRE54.15 (CRE54.14),
CRE54.16 changes only the risk weight to 4%, CRE54.17 makes a
non-qualifying arrangement a bilateral trade, and CRE54.8(2)'s 10-day
minimum is stated for OTC derivatives.
Matches the repository after #375.
ec08026
Describe release 1.0.1
Status, badges, footer and download steps name 1.0.1 (tag v1.0.1, 2026-10-18);
the 1.0.1 certification is added beside the 1.0.0 record; suite counts are
230 cases and 1,033 checks; the active branch is release/1.0.2; CCPs (#112)
are planned in v1.0.2 instead of v1.7.0.
3c62050
SA-CCR explainers to the overview, RC, and PFE wiki pages
1e387e3
Describe the inputs-only C5 status and EDITED
Results C5 now reads "Inputs unchanged since the last run (inputs ...);
outputs are checked when evidence is exported" when the inputs match the
last run, and ResultsStatus() gains EDITED for an output cell changed by
hand after the run, which the evidence export refuses. The pages show the
new text with the 1.0.0 wording beside it, and mark EDITED as from 1.0.1,
so they stay correct for the released workbook:
- Outputs-and-Statuses: C5 table with the new text and an EDITED row; a
paragraph on why C5 checks the inputs only.
- Reconciliation-and-Evidence: refusal table names STALE or NONE, and
EDITED for an edited output cell.
- Workbook-Guide: C5 row lists the new text.
- Getting-Started: expected C5 text after the first run.
- How-It-Works: ResultsStatus() returns CURRENT, EDITED, STALE or NONE.
aea9ed0
Update Troubleshooting.md
c93df0d
Show where the CRR uses SA-CCR
New section on SA-CCR Overview with the diagram from docs/assets (main): counterparty credit risk, CCP exposures, large exposures and CVA risk take the risk-based exposure value; the leverage ratio (Art. 429c) and the output floor (Art. 465(4)) recalculate SA-CCR with their own adjustments. A table gives the articles, dates, treatment and the K-SACCR milestone or scope of each.
1e8a223
Align the wiki with release 1.0.0
Release 1.0.0 is published: status lines, footer and Home name the tag v1.0.0, its assets and the active branch release/1.0.1. Getting Started explains the released workbook (hash check, then unblock). The pages that quoted the template and messages at 0a6138c were checked against v1.0.0 and corrected: Params citations, output and reconciliation headers, C4/C5 texts, withheld netting sets split by regime, the README sheet reference card, the Basel_vs_CRR colours and the TestCatalogue source labels. Open Items and Validation Approach record the 1.0.0 certification and its declared deviation.
51a062a
Update Validation-Approach.md
410982e
Remove decision numbers and dates from the regulation and validation pages
The methodology no longer records internal decision numbers or dates;
settled points are stated under "Assumptions and scope". These pages now
match: decision IDs and dates are dropped from Regulatory-Basis (the
settled-points table and the parameter notes), Margining-and-MPOR,
SA-CCR-Overview and Validation-Approach. The issue links stay. The link
to "methodology › decision 8" now points to "Assumptions and scope".
0928f1a
Update the used-range timing to the current benchmark (row 105,005, 1.79 s).
47678f5
Report the 500,000-trade benchmark and say "No real portfolio data"
The owner's benchmark of 2026-10-17 (#291) measured synthetic CRR
portfolios on the supported 64-bit Windows host: 1,000 legs in 0.31 s,
10,000 in 1.62 s, 50,000 in 8.50 s and 500,000 legs in 1,000 netting
sets in 113.93 s, every leg used and every netting set VALID.
- Getting Started: new Portfolio size section with the table, no fixed
trade limit, the 5,000-row validation range of Trades and the cost of
an inflated used range.
- Open Items and Limitations: the size measurement of #46 marked done;
the limitation now states the measured size.
- Home: Scale badge and the result in the introduction.
- Footer and Regulatory Basis: "No real portfolio data" replaces
"Synthetic data only", as in the repository (#293).
df22009