Counterparty credit risk · Open-source Excel VBA

From trades to EAD.
Every step visible.

K-SACCR is an independent toolkit for calculating, inspecting, and reconciling SA-CCR exposure under EU CRR and Basel CRE52.

Explore the calculation in Excel, trace its methodology, and review the VBA behind every result.

Explore the source ↗ Download workbook 1.0.2 ↓ User manual 1.0.2 (PDF) ↓ Build from source

Release 1.0.2 · Windows desktop Excel · No real portfolio data

Downloaded the workbook? Check its SHA-256 against SHA256SUMS.txt and unblock it before you open it.

EU CRR + Basel CRE52Trade-to-EAD audit trailPublished-example regression500,000 trade legs in under 2 minutesMozilla Public License 2.0
01 / A calculation you can inspect

Follow the number back to the trade.

SA-CCR is the Standardized Approach for Counterparty Credit Risk. K-SACCR brings its inputs, intermediate quantities, and netting-set results into one reviewable Excel workflow.

  1. 01

    Enter & validate

    Define netting sets, trades, and run parameters. Review rejected inputs and the reasons reported on the Checks sheet.

  2. 02

    Calculate & trace

    Inspect adjusted notionals, supervisory deltas, maturity factors, hedging sets, add-ons, replacement cost, PFE, and EAD.

  3. 03

    Reconcile & explain

    Compare reference results by netting set and trade leg, investigate differences, and export the calculation evidence.

K-SACCR Excel Results sheet showing add-on, multiplier, PFE, alpha, EAD, cap, and calculation status by netting set
Inside the workbook: results for the synthetic demonstration portfolio. Incomplete netting sets are identified explicitly. Screenshot provenance and demo rounding notes.
02 / Scope & methodology

Two regimes.
Explicit assumptions.

EU CRR is the default regime; Basel CRE52 is also supported. The selected regime is reported with the result. Documented differences cover asset classes, supervisory parameters, options, and aggregation.

EAD = α × (RC + PFE)

Replacement cost captures current exposure. Potential future exposure uses the aggregate add-on and PFE multiplier. The methodology documents margin treatment, the unmargined cap, and other supported rules.

Read the methodology and support matrix ↗

Evidence, with its limits

Know what has been validated.

  • Basel: regression against published CRE99 examples supports validation of the covered Basel rules.
  • CRR: implemented and tested against illustrative values; not independently validated.
  • Engineering checks: formula, input-validation, aggregation, state, reconciliation, and invariant tests complement numerical benchmarks.
  • Scale: a synthetic portfolio of 500,000 trade legs in 1,000 netting sets calculated in under two minutes, every leg used; times depend on the machine.

Release 1.0.2. Its source was certified in Excel before tagging: compile and all eight test suites. That is software evidence, not regulatory approval, which the project does not claim.

Inspect the current validation evidence ↗

How SA-CCR aggregates a netting set: each trade is assigned to its netting set, asset class and hedging set; its effective notional is netted within the hedging set, multiplied by the supervisory factor and aggregated into asset-class add-ons, the aggregate add-on, the PFE and EAD = 1.4 x (RC + PFE)
Scroll the diagram sideways, or open it full size. From trade to exposure value: assign top-down, aggregate bottom-up. A summary, not a source. How the explainers were made.
03 / Where SA-CCR is used

One method, six uses.

In the EU CRR, the SA-CCR exposure value of a netting set feeds counterparty credit risk under the standardised approach, exposures to CCPs, large exposures, and CVA risk. The leverage ratio and the output floor recalculate SA-CCR with their own adjustments. K-SACCR calculates the risk-based exposure value at the centre; the diagram marks the part K-SACCR covers in each use, and which uses are out of scope.

Where SA-CCR is used in the EU CRR: counterparty credit risk, exposures to CCPs and large exposures take the risk-based exposure value, and so does CVA risk; the leverage ratio and the output floor recalculate SA-CCR with their own adjustments; with the part K-SACCR covers in each
Scroll the diagram sideways, or open it full size. An orientation picture, not a source. Articles, sources and calculation contexts.
04 / Start with the source

Explore. Build. Review.

The workbook is built from a macro-free template and exported VBA modules. Start with the installation guide, then use the methodology and tests to understand its behavior.

Installation & setup ↗Supported Excel hosts, import steps, and how to run the test suites. Release 1.0.2 ↗The workbook, the user manual (PDF) and their SHA-256 sums. Project wiki ↗SA-CCR overview, regulatory sources, and worked examples. Tests & reference cases ↗Synthetic fixtures, expected results, and their evidence classes.
What should I know before using K-SACCR?

Use Windows desktop Excel and follow your organization's macro policy. The repository holds no real portfolio data; keep yours out of issues and pull requests. The project does not yet implement simplified SA-CCR or the original exposure method; securities financing transactions, CVA risk, RWA and CCP default-fund contributions are developed outside K-SACCR. Additional product and modeling limitations are listed in the repository README and support matrix.