K-SFTs / Counterparty credit risk

From collateral
to exposure.
Every step visible.

Securities financing transactions, explained through an open-source Excel/VBA prototype.

Inspect transactions, supervisory haircuts and netting-set results. Follow the calculation from the assets given and received to the fully adjusted exposure value, E*.

Explore the prototype ↓Read the specification ↗
K-SFTs, release 0.2.0: E* of the demo netting set CRR-MNA with its terms, haircut scaling, the EU CRR or Basel regime, and five demo netting sets equal to the independent reference
Demo figures from the prototype and its independent reference · not validation evidence
Reviewable VBA sourceSupervisory haircutsIndependent Python referenceMPL-2.0 licensed

01 / The calculation

Transactions. Haircuts. Netting.

The prototype covers repos and reverse repos, securities lending and borrowing, and margin lending. Its financial collateral comprehensive method makes the exposure and collateral adjustments visible.

  1. 01 / INPUT

    Describe both sides

    Record cash and securities given or received, link the legs to transactions, and assign transactions to their netting sets.

  2. 02 / ADJUST

    Apply supervisory haircuts

    Use the collateral classification, holding period and applicable currency adjustment. Inspect the parameters and the assumptions behind them.

  3. 03 / AGGREGATE

    Follow the exposure

    Calculate E* under an eligible master netting agreement, or calculate each transaction separately and sum the results.

Prototype outputsE*Exposure valueRWRisk weight, illustrativeRWARisk-weighted exposure, illustrative8% × RWAOwn funds requirement, illustrative

The EU CRR controls the intended methodology, with the Basel Framework as reference. The prototype computes under the CRR only; only E* is supported, and the risk weight, RWA and own funds are illustrative (support matrix). The outputs above describe the prototype, not a complete bank capital framework.

02 / The wider framework

One exposure engine in a larger picture.

K-SFTs provides the securities financing exposure component. The prototype also calculates standardised risk-weighted exposure and own funds per netting set, including a QCCP trade-exposure class. Default-fund capital and CVA are not implemented here.

Counterparty credit risk framework: SFT and derivatives exposure engines feed ordinary and CCP capital branches; CVA appears as a separate memo item
Architecture illustration, not evidence of implemented or validated calculations. Open the full-size diagram ↗
Explore K-Risk Engines ↗

03 / Get started

Build from source. Inspect in Excel.

1. Clone the active development branch

A Git clone preserves the checkout conventions expected by the VBA editor.

git clone --branch release/0.3.0 https://github.com/danielep71/K-SFTs.git
cd K-SFTs

2. Assemble a development workbook

Start from the macro-free template and import the exported VBA using the documented setup. Compile and run the checks in desktop Excel for Windows.

The repository does not distribute a released macro-enabled workbook.

Open the installation guide ↗

Choose your starting point

VBA sourceReview the implementation and workbook template.Prototype specificationRead formulas, parameter choices and known departures.Independent Python referenceInspect a separate derivation used for reconciliation.Project wikiBrowse the project's wiki space.

04 / Evidence and boundaries

Know what each check proves.

SOURCE CHECKS

Repository integrity

Static gates check source conventions, tooling, workflow configuration and test-data contracts. They do not execute Excel or certify regulatory calculations.

Read the check definitions ↗

Open source / Open to inspection

Explore the model behind the number.

Open K-SFTs on GitHub ↗