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๐ Guide, not policy. The versioned documents in the repository govern: the README, the methodology and INSTALLATION.md. Where a wiki page differs from them, the repository wins.
K-SACCR calculates the SA-CCR exposure at default of derivative netting sets under the EU CRR (default) and Basel CRE52, chosen per netting set, and shows every step from trade to EAD so that a bank's own figures can be checked and reconciled, including client-clearing netting sets and a clearing member's trade exposures to a CCP. It is a workbook with reviewable VBA source: no add-in, no DLL, no installer, and no real portfolio data in the repository. A synthetic portfolio of 500,000 trade legs in 1,000 netting sets calculates in under two minutes on the supported 64-bit Excel host (portfolio size).
Status: version 1.0.2 released on 2026-10-23 (tag v1.0.2), after 1.0.1
on 2026-10-18 and 1.0.0 on 2026-10-17. The
GitHub Release
carries the production workbook K-SACCR_1.0.2.xlsm, the user manual
K-SACCR_User_Manual_1.0.2.pdf and SHA256SUMS.txt; see
Getting Started to download it or build from source.
Release 1.0.2 adds trade exposures to a CCP, settled-to-market trades, the
role MULTI, INFO lines on Checks for client-clearing and CCP netting sets,
and a highlight of withheld rows on Results; its new input columns change the
layout of NettingSets and Trades
(moving inputs from 1.0.1). Only
Basel rules are validated, by the published CRE99 examples; CRR rules and the
clearing, CCP and settled-to-market rules are implemented and tested on
illustrative values. See Open Items and Limitations.
What SA-CCR requires, as K-SACCR implements it, with the CRR and CRE52 references.
| Page | What it covers |
|---|---|
| ๐ SA-CCR Overview | EAD = ฮฑ ร (RC + PFE), netting sets, the building blocks and the reference card |
| ๐ Regulatory Sources | The registered texts (CRR, CRR-CCP, CRR-RTS, CRE50, CRE52, CRE54, CRE99, EBA Q&A), their versions, hashes and evidence labels |
| ๐งญ Regulatory Basis | Regimes, scope, REGULATORY and WHAT-IF runs, the validation boundary |
| ๐ก๏ธ Replacement Cost and Collateral | RC unmargined and margined, collateral, one-way margining, the margined EAD cap |
| โฑ๏ธ Margining and MPOR | Maturity factors, MPOR floors, client clearing, trade exposures to a CCP, settled-to-market trades, disputes and large netting sets |
| ๐ Potential Future Exposure | Multiplier, add-ons by asset class, supervisory factors, deltas, hedging sets |
| โ๏ธ Basel vs CRR | Every difference between the two regimes, with locators and covering tests |
| ๐งฎ Worked Examples | The five CRE99 examples and the illustrative cases, including clearing, CCP and settled-to-market, with their figures |
How to build, run and check the workbook.
| Page | What it covers |
|---|---|
| ๐ Getting Started | Host, the released workbook or a build from the template, import the VBA, compile, first run |
| ๐บ๏ธ Workbook Guide | The 16 sheets, their buttons and conventions, with screenshots |
| ๐ฅ Inputs | Params, NettingSets and Trades, column by column (with the CCP and settlement columns of 1.0.2), and the input rules |
| ๐ค Outputs and Statuses | Results, TradeCalc, HedgingSets, Buckets, Checks and its INFO lines, statuses and freshness |
| ๐ Reconciliation and Evidence | Comparing a bank's figures and exporting the evidence CSV |
| โ๏ธ How It Works | The calculation flow, the modules and the entry points |
| ๐งพ Worksheet Functions | The ten SACCR_* functions and the FormulaTest sheet |
| ๐งช Test Catalogue | Catalogue T01โT28 and the eight Excel suites |
| โ Validation Approach | Evidence classes, the Excel evidence record and its validator |
| ๐ ๏ธ Troubleshooting | Checks messages, runs that stop, out-of-date results |
| ๐ง Open Items and Limitations | Release 1.0.2, product limits and later milestones |
| Document | Purpose |
|---|---|
| README | Overview, quick start, screenshots, test suites |
| INSTALLATION.md | Building a workbook, the suites, automation entry points |
| Methodology | Source register, scope, support matrix, regime differences, traceability |
| Clearing coverage | Client clearing, CCPs and settled-to-market trades: arrangements, input contracts, rules, tests |
| EXCEL_EVIDENCE.md | The Excel evidence record and its validator |
| CHANGELOG.md | What each release delivers |
| Release 1.0.2 | The production workbook, the user manual PDF and SHA256SUMS.txt
|
| Issues | Open work by milestone |