SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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credit_synth_portfolio.sas File Reference

Credit risk synthetic portfolio table. More...

Go to the source code of this file.

Detailed Description

Credit risk synthetic portfolio table.

PK Variable Type Required? Relationships Label Description
REPORTING_DT NUMERIC(8) Y Reporting Date SAS Date value
INSTID VARCHAR(64) Y Instrument Identifier Unique identifier for an instrument/transaction/account. The name of this column is required to be INSTID by SAS HP Risk.
TEMPLATE_CF_ID VARCHAR(64) Y CF Instrument Identifier Unique identifier for an instrument/transaction/account. The name of this column is required to be INSTID by SAS HP Risk.
ENTITY_ID VARCHAR(32) N entity.sas Entity Identifier
WORKGROUP VARCHAR(32) N Workgroup SAS Risk Workgroup. Drives the row-level security
INSTTYPE VARCHAR(32) N Instrument Type The instrument type drives mapping to MIP model groups Category
PORTFOLIO_SEGMENT VARCHAR(50) N Portfolio Segment Please refer to ASU 2016-13, p106.The Portfolio Segment is the level at which an entity develops and documents a systematic methodology
ACCOUNTING_METHOD VARCHAR(14) N Accounting Method Accounting Method drives the way entries for the General Ledger are generated
ASSET_TYPE_DESC VARCHAR(200) N Asset Type (Accounting denominations) Drives mapping to RFW hierarchy: ecl_asset_type
PRODUCT_CD VARCHAR(200) N map_product_hierarchy.sas Product Code Used to lookup the full Product hierarchy.
LOB_ID VARCHAR(64) N map_lob_hierarchy.sas Line of Business Id Used to lookup the full Line of Business hierarchy.
CURRENCY VARCHAR(3) N Currency ISO 3 character currency code
COUNTERPARTYID VARCHAR(32) N counterparty.sas Counterparty Id Unique Identifier for the Counterparty
COUNTERPARTYTYPE VARCHAR(100) N Counterparty Type Counterparty Type
SECTOR_DESC VARCHAR(100) N Sector Description Description of the Economic Sector of Activity of the counterparty of the contract (reporting dimension)
ORIG_RATING_AGENCY VARCHAR(32) N Rating Agency at Origination Credit Rating Agency (i.e. FICO, EQUIFAX, S&P)
ORIG_RATING_GRADE VARCHAR(32) N Rating Grade/Score at Origination Credit Rating Grade/Score. Example: 750 (FICO), AAA (S&P), etc.
ORIG_STD_RATING_GRADE VARCHAR(32) N Standardised Rading Grade at Origination A standardized rating scale level is assigned to each loan (either retail or commercial) so that consistent reporting can be done across the entire portfolio. Mapping is required in order to assign a rating scale level to a given credit score (in case of retail) or rating grade (in case of commercial).
Closed List Values:
1 - Largely Risk Free
- 2 - Minimal Risk
- 3 - Modest Risk
- 4 - Bankable
- 5 - Additional Review
- 6 - Special Mention
- 7 - Sub-Standard
- 8 - Doubtful
- 9 - Loss
RATING_AGENCY VARCHAR(32) N Rating Agency Credit Rating Agency (i.e. FICO, EQUIFAX, S&P)
RATING_GRADE VARCHAR(32) N Rating Grade/Score Credit Rating Grade/Score. Example: 750 (FICO), AAA (S&P), etc.
STD_RATING_GRADE VARCHAR(32) N Standardised Rading Grade A standardized rating scale level is assigned to each loan (either retail or commercial) so that consistent reporting can be done across the entire portfolio. Mapping is required in order to assign a rating scale level to a given credit score (in case of retail) or rating grade (in case of commercial).
Closed List Values:
1 - Largely Risk Free
- 2 - Minimal Risk
- 3 - Modest Risk
- 4 - Bankable
- 5 - Additional Review
- 6 - Special Mention
- 7 - Sub-Standard
- 8 - Doubtful
- 9 - Loss
ORIG_PIT_PD NUMERIC(8) N PIT PD at Origination Point-In-Time Probablilty of Default at origination
TTC_PD NUMERIC(8) N TTC PD Through-The-Cycle Probablilty of Default
PIT_PD NUMERIC(8) N PIT PD Point-In-Time Probablilty of Default
ORIG_LTV_RT NUMERIC(8) N LTV at Origination Loan-To-Value Ratio at origination
LTV_RT NUMERIC(8) N LTV Loan-To-Value Ratio
LGD NUMERIC(8) N LGD Loss Given Default
DOWNTURN_LGD NUMERIC(8) N Downturn LGD Downturn Loss Given Default
START_DT NUMERIC(8) N Start Date Date at which the loan started. SAS Date value
SCHEDULE_START_DT NUMERIC(8) N Schedule start Date Date at which the repayment schedule starts or started. SAS Date value
MATURITY_DT NUMERIC(8) N Maturity Date Date at which the loan matures. SAS Date value
PRINCIPAL_PAYMENT_DT NUMERIC(8) N Principal Payment Date Date of the next principal repayment.
INTEREST_PAYMENT_DT NUMERIC(8) N Interest Payment Date Date of the next interest payment
NEXT_RESET_DT NUMERIC(8) N Next Reset Date Date of the next interest fixing
UNPAID_BALANCE_AMT NUMERIC(8) N Unpaid Balance Amount
ORIG_UNPAID_BALANCE_AMT NUMERIC(8) N Original Unpaid Balance Amount
CURRENT_RT NUMERIC(8) N Current Rate Decimal value
EFFECTIVE_INTEREST_RT NUMERIC(8) N Effective Interest Rate Decimal value
MARGIN_RT NUMERIC(8) N Interest Rate Margin Decimal value. Margin over the reference interest rate.
INDEX_REFERENCE VARCHAR(16) N Interest Rate Reference Curve Points to reference curve in scenario data.
PAYMENT_AMT NUMERIC(8) N Payment Amount (assumes fixed periodic loan payments (the amount is that associated with a fully drawn credit line))
DAYS_PAST_DUE_CNT NUMERIC(8) N Days Past Due Count Integer value.
MODIFICATION_DT NUMERIC(8) N Modification date Date of last modification
ASSESSMENT_TYPE_DESC VARCHAR(100) N Assessment type Description Assessment type:
- Individually Evaluated for Impairment
- Collectively Evaluated for Impairment
COLLATERAL_DESC VARCHAR(200) N Collateral Type Description Drives mapping to hierarchy ecl_collateral_hier
PENDING_OFFER_FLG VARCHAR(3) N Pending Offer Flag Indicates that an offer is pending that could be realised in the future (i.e. currently the pending offer is off-balance until realisation and subsequent drawdown)
WRITE_OFF_AMT NUMERIC(8) N (Cumulative) Write-off Drives mapping to worksheets. See here for general worksheet mapping information. This is the cumulative write-off amount (partial or full)
DRAWDOWN_PERIOD_FLG VARCHAR(3) N Drawdown Period Flag Indicates that a contract is in its drawdown period allowing additional drawdowns until the full CREDIT_LIMIT_AMT is reached and the OFF_BALANCE_AMT is 0.
ISSUED_GUARANTEE_FLG VARCHAR(3) N Issued Flag Indicates that a contract is a pure off balance guarantee issued by the bank that can be called under certain conditions by a beneficiary.
REVOLVING_FLG VARCHAR(3) N Revolving Flag Indicates that a contract is revolving, meaning that drawings and repayments don't follow a predefined schedule as long as the CREDIT_LIMIT_AMT is not exceeded.
OFF_BALANCE_AMT NUMERIC(8) N Off Balance Amount of the Contract Indicates amount of contract that is off balance, used for issued guarantees, revolving credits, pending credit offers and term loans in their drawdown period
CREDIT_LIMIT_AMT NUMERIC(8) N Credit Limit Amount Indicates maximum allowed credit exposure on the contract.
DELINQUENCY_FLG VARCHAR(3) N Delinquency Flag Indicates delinquency (Y) or not (N)
MOST_RECENT_DELINQUENCY_DT NUMERIC(8) N Delinquency Date Date of most recent delinquency
EVER_DELINQUENT_FLG VARCHAR(32) N Ever Delinquent Flag Flag indicating whether there has ever been a delinquency
LOAN_STATUS_DESC VARCHAR(32) N Loan Status Status of the loan (for instance Impaired/Normal/Special Mention/Pipeline/Written-off...). Used in VA reports
GEOGRAPHY_CD VARCHAR(32) N map_geo_hierarchy Geography Code Geography Code (reporting dimension).
CCF NUMERIC(8) N Credit Conversion Factor Credit Conversion Factor is used to derive an on-balance equivalent for off-balance exposures
INTEREST_RATE_TYPE VARCHAR(8) N Type of Interest Rate Type of Interest Rate (see below for detailed values)
INTEREST_PAYMENT_PERIOD_CD VARCHAR(16) N Interest Payment Periodicity Interest payment period(see below for detailed values)
INTEREST_RESET_PERIOD_CD VARCHAR(16) N Interest Reset Periodicity Interest Reset period. (see below for detailed values)
CAPITAL_PAYMENT_PERIOD_CD VARCHAR(16) N Capital Payment Periodicity Capital Payment Period (see below for detailed values)
PAYMENT_TYPE_CD VARCHAR(16) N Type of repayment schedule Type of Repayment Schedule (see below for detailed values)
DAY_BASIS_CD VARCHAR(16) N Day Basis Day Count Basis for Interest Accrual Calculation (see below for detailed values)
PCD_FLG VARCHAR(3) N Purchased Credit Deteriorated Assets Flag
TDR_FLG VARCHAR(3) N Troubled Debt Restructuring Flag
FORECLOSURE_FLG VARCHAR(3) N Foreclosure Flag
RELATED_PARTY_FLG VARCHAR(3) N Related Party Flag Identify related parties for disclosure (refer to FAS57)
COLLATERAL_SUPPORT_FLG VARCHAR(3) N Collateral Dependent Flag Identify exposures with collaterals that can serve as alternative means of repayment when the counterparty is experiencing financial difficulties (ASU 2016-13 326-20-50-20)
FINANCIAL_DIFFICULTIES_FLG VARCHAR(3) N Financial Difficulties Flag Identify counterparties that are experiencing financial difficulties (ASU 2016-13 326-20-50-20)
UNCONDITIONALLY_CANCELABLE_FLG VARCHAR(3) N Unconditionally Cancelable Flag
ACCRUED_INTEREST_AMT NUMERIC(8) N Accrued Interest
FEE_AMT NUMERIC(8) N Amount of Fees
AMORTIZED_COST_AMT NUMERIC(8) N Amortized Cost Basis Amount The amount at which an a financing receivable or investment is originated or acquired, adjusted for applicable accrued interest, accretion, or amortization of premium, discount, and net deferred fees or costs, collection of cash, writeoffs, foreign exchange, and fair value hedge accounting adjustments.
CUM_RECOVERY_AMT NUMERIC(8) N Cumulative Recovery Amount Cumulative amount recovered to date
NONACCRUAL_STATUS_FLG VARCHAR(3) N Nonaccrual Status Flag Indicates nonaccrual status (Y) or not (N)
INTEREST_INCOME_ON_NON_ACC_AMT NUMERIC(8) N Interest Income Amount on Nonaccrual Interest income recognized during the period on nonaccrual assets is reported on nonaccrual disclosure template.
COLLATERAL_VALUE_AMT NUMERIC(8) N Collateral Value Amount Collaterals are measured at fair value basis. This amount is reported on collateral-dependent asset disclosure template.
PCD_PURCHASE_AMT NUMERIC(8) N PCD Purchase Amount Purchase price of PCD assets is reported on PCD Reconciliation disclosure template.
PCD_PAR_AMT NUMERIC(8) N PCD Par Value Amount Par Value of PCD assets is reported on PCD Reconciliation disclosure template.
PCD_INIT_ALLOW_AMT NUMERIC(8) N Initial PCD Allowance Amount Initial allowance for PCD assets at purchase is reported on PCD Reconciliation disclosure template.
PCD_PURCHASE_DT NUMERIC(8) N PCD Purchase Date Used to determine if a PCD asset was purchased in the current reporting period.
CUM_OTHER_ALLOWANCE_AMT NUMERIC(8) N Cumulative Other Allowance Amount Allowance for all other items
WEIGHT_EXPOSURE_SPECIFIC NUMERIC(8) N Idiosyncratic Weight Exposure Weight exposure for VAR calculation based on CreditRisk+
WEIGHT_EXPOSURE_SECTOR_1 NUMERIC(8) N Sector 1 Weight Exposure Weight exposure for VAR calculation based on CreditRisk+
WEIGHT_EXPOSURE_SECTOR_2 NUMERIC(8) N Sector 2 Weight Exposure Weight exposure for VAR calculation based on CreditRisk+
WEIGHT_EXPOSURE_SECTOR_3 NUMERIC(8) N Sector 3 Weight Exposure Weight exposure for VAR calculation based on CreditRisk+
PD_SD_SPECIFIC NUMERIC(8) N Idiosyncratic PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
PD_SD_SECTOR_1 NUMERIC(8) N Sector 1 PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
PD_SD_SECTOR_2 NUMERIC(8) N Sector 2 PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
PD_SD_SECTOR_3 NUMERIC(8) N Sector 3 PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
PD_SD NUMERIC(8) N PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
POOL_FLG VARCHAR(5) N Sector 2 Weight Exposure Weight exposure for VAR calculation based on CreditRisk+
EXPOSURE_KEY_SPREADTYPE VARCHAR(16) N Sector 3 Weight Exposure Weight exposure for VAR calculation based on CreditRisk+
EXPOSURE_KEY_DISCOUNTTYPE VARCHAR(16) N Idiosyncratic PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
EXPOSURE_SENIORITY_CLASS NUMERIC(8) N Sector 1 PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
GUARANTEE_VALUE NUMERIC(8) N Sector 2 PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
PHYSICAL_ASSET_VALUE NUMERIC(8) N Sector 3 PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
MITIGANT NUMERIC(8) N
RANDOMSEED NUMERIC(8) N Random Seed Number Random Seed Number used to control and replicate analysis involving random simulations.
  • Sample values for INTEREST_PAYMENT_PERIOD_CD :
    • 1 MONTH: Interest payment is made monthly
    • 3 MONTH: Interest payment is made quarterly/every 3 months
    • 1 YEAR: Interest payment is made annually
  • Sample values for INTEREST_RESET_PERIOD_CD :
    • 1 MONTH: Interest rate is reset monthly
    • 3 MONTH: Interest payment is reset quarterly/every 3 months
    • 1 YEAR: Interest payment is reset annually
    • 5 YEAR: Interest payment is reset every 5 years
  • Sample values for CAPITAL_PAYMENT_PERIOD_CD :
    • 1 MONTH: Interest payment is made monthly
    • 3 MONTH: Interest payment is made quarterly/every 3 months
    • 6 MONTH: Interest payment is made semi-annually/every 6 months
  • List of values for PAYMENT_TYPE_CD :
    • Level Pay : Indicating the repayment of principal and interest of a loan at each payment period is a fixed amount
    • Straight Line : Indicating the principal repayment of a loan at each payment period is a fixed amount
    • Bullet : Indicating a lump sum of repayment of the principal at the maturity of the loan
  • List of values for DAY_BASIS_CD :
    • 30/360 : Indicating every month has 30 days and each year has 360 days
    • ACT/360: Indicating the actual number of days of a month is used for the month and 360 is used for the number of days in each year
    • ACT/365: Indicating the actual number of days of a month is used for the month and 365 is used for the number of days in each year
    • ACT/ACT: Indicating the actual number of days of a month is used for the month and the actual number of days of a year is used for the year
  • List of values for INTEREST_RATE_TYPE :

    • Fixed : Indicating interest rate is fixed for the term of the loan
    • Variable : Indicating interest rate is variable for the term of the loan
    • ARM : Indicating the interest rate of a mortgage loan is adjustable over the term of the loan
    • Hybrid : Indicating the interest rate of a loan is fixed for a defined period and adjustable for the rest of the loan term
    Author
    SAS Institute Inc.
    Date
    2018

Definition in file credit_synth_portfolio.sas.