The report mart table ST_VALUE_AT_RISK_DETAIL contains the required information for the SAS Visual Analytics ICAAP Report. More...
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The report mart table ST_VALUE_AT_RISK_DETAIL contains the required information for the SAS Visual Analytics ICAAP Report.
PK | Variable | Type | Required? | Relationships | Label | Description |
---|---|---|---|---|---|---|
![]() | ANALYSIS_RUN_ID | NUMERIC | Y | RGF Analysis Run Key | Analysis Run Id | Unique key of the Analysis Run that created the results |
![]() | WORKGROUP | VARCHAR(32) | Y | Workgroup | SAS Risk Workgroup | |
![]() | LOAD_ID | VARCHAR(32) | Y | Load Id | Identifies whether the current data was created as part of a production analysis run or not. \nValues: - Production - What-If | |
![]() | ENTITY_ID | VARCHAR(32) | N | entity.sas | Entity Identifier | Entity Identifier |
![]() | REPORTING_DT | NUMERIC(8) | Y | Reporting Date | Reference date for the calculation. Also known as the base date or evaluation date of the portfolio | |
![]() | INSTID | VARCHAR(64) | Y | Instrument Identifier | Financial instrument identifier | |
![]() | SCENARIO_ID | VARCHAR(32) | Y | Scenario Id | Unique scenario id used for the analysis. Each forecast time has a separate scenario id | |
![]() | FORECAST_TIME | NUMERIC(8) | N | Forecast Time | Forecast time horizon | |
![]() | MOVEMENT_ID | NUMERIC(8) | N | Movement Id | Identifier for any changes that might occurr to the data as a result of a management adjustment/override. Model output has movement_id = 1, any adjustment is measured as a delta change from the previous movement_id, and stored using incremental movement_id values | |
PROJECT_NAME | VARCHAR(64) | Y | Project Name | Name of the cycle in which the data was created | ||
ANALYSIS_RUN_NAME | VARCHAR(150) | Y | Analysis Run Name | Name of the analysis run that created this data | ||
ANALYSIS_TYPE_CD | VARCHAR(32) | Y | Analysis Type Code | Type of analysis run that created this data | ||
SCENARIO_NAME | VARCHAR(512) | Y | Scenario Name | Name of the business scenario: it groups scenario id values across multiple forecast horizons | ||
RULE_ID | VARCHAR(32) | N | Adjustment Rule Id | Adjustment Rule Id | ||
RULE_DESC | VARCHAR(4096) | N | Adjustment Rule Description | Adjustment Rule Description | ||
INSTTYPE | VARCHAR(32) | N | Instrument Type | Instrument type | ||
PORTFOLIO_SEGMENT | VARCHAR(50) | N | Portfolio Segment | Portfolio segmentation | ||
ACCOUNTING_METHOD | VARCHAR(14) | N | Accounting Method | Whether the instrument was evaluated at ammortized cost or at fair value | ||
ASSET_TYPE_DESC | VARCHAR(200) | N | Asset Type | Asset type categorization | ||
PRODUCT_CD | VARCHAR(200) | N | map_product_hierarchy.sas | Product Code | Product Code | |
PRODUCT_LEV1 | VARCHAR(200) | N | Product Category | Product Category | ||
PRODUCT_LEV2 | VARCHAR(200) | N | Product Sub-Category | Product Sub-Category | ||
PRODUCT_LEV3 | VARCHAR(200) | N | Product Name | Product Name | ||
REGULATORY_PRODUCT_LEV1 | VARCHAR(200) | N | FR Y-14 Category 1 | FR Y-14 Category 1 | ||
REGULATORY_PRODUCT_LEV2 | VARCHAR(200) | N | FR Y-14 Category 2 | FR Y-14 Category 2 | ||
REGULATORY_PRODUCT_LEV3 | VARCHAR(200) | N | FR Y-14 Category 3 | FR Y-14 Category 3 | ||
REGULATORY_PRODUCT_LEV4 | VARCHAR(200) | N | FR Y-14 Category 4 | FR Y-14 Category 4 | ||
LOB_ID | VARCHAR(64) | N | map_lob_hierarchy.sas | Line of Business Id | Line of Business Id (reporting dimension). | |
LOB_LEV1 | VARCHAR(200) | N | Line of Business Level 1 | Line of Business Level 1 (reporting dimension). | ||
LOB_LEV2 | VARCHAR(200) | N | Line of Business Level 2 | Line of Business Level 2 (reporting dimension). | ||
LOB_LEV3 | VARCHAR(200) | N | Line of Business Level 3 | Line of Business Level 3 (reporting dimension). | ||
GEOGRAPHY_CD | VARCHAR(32) | N | map_geo_hierarchy.sas | Geography Code | Geography Code (reporting dimension). | |
GEOGRAPHY_LEV1 | VARCHAR(100) | N | Geography Level 1 | Geography Level 1 (reporting dimension). | ||
GEOGRAPHY_LEV2 | VARCHAR(100) | N | Geography Level 2 | Geography Level 2 (reporting dimension). | ||
GEOGRAPHY_LEV3 | VARCHAR(100) | N | Geography Level 3 | Geography Level 3 (reporting dimension). | ||
GEOGRAPHY_LEV4 | VARCHAR(100) | N | Geography Level 4 | Geography Level 4 (reporting dimension). | ||
SECTOR_DESC | VARCHAR(100) | N | Sector Description | Sector Description | ||
CURRENCY | VARCHAR(3) | N | Currency | Original currency | ||
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 | ||
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. | ||
DELINQUENCY_FLG | VARCHAR(3) | N | Delinquency Flag | Indicates delinquency (Y) or not (N) | ||
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...). | ||
PCD_FLG | VARCHAR(3) | N | Purchased Credit Deteriorated Assets Flag | Identifies purchased financial assets with credit deterioration | ||
TDR_FLG | VARCHAR(3) | N | Troubled Debt Restructuring Flag | Identifies loans that are going through a debt restructuring due to economic or legal reasons related to a debtor's financial difficulties | ||
FORECLOSURE_FLG | VARCHAR(3) | N | Foreclosure Flag | Indicates a foreclosure action on the mortgage | ||
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 | Flag: Y/N. Identifies instruments for which a banking organization may, at any time, with or without cause, refuse to extend credit | ||
DEACTIVATION_FLG | VARCHAR(3) | N | Deactivation Flag | Flag: Y/N. Identifies instruments that are eliminated from the original portfolio in a given activation scenario and horizon | ||
SYNTHETIC_INSTRUMENT_FLG | VARCHAR(3) | N | Synthetic Instrument Flag | Flag: Y/N. Identifies synthetic instruments that were generated based on the user business assumptions | ||
ACTIVATION_SCENARIO | VARCHAR(32) | N | Activation Scenario | The Scenario Id for which the synthetic instrument was generated and processed. Only relevant for synthetic instruments. | ||
ACTIVATION_HORIZON | NUMERIC(8) | N | Activation Horizon | The time horizon in which the synthetic instrument becomes active (i.e. it is originated). For deactivated positions, this is the time horizon when the instrument is removed from the portfolio (i.e. short selling) | ||
START_DT | DATE | N | Start Date | Loan start/origination date | ||
MATURITY_DT | DATE | N | Maturity Date | Loan maturity date | ||
MOVEMENT_DESC | VARCHAR(100) | N | Movement Description | Custom description provided by the user when executing the adjustment allocation analysis. Used to provide a user specific comment about the change being applied on top of the model results | ||
MOVEMENT_TYPE_CD | VARCHAR(32) | N | Movement Type Code | Movement type code. See map_movement_type.sas for a list of valid values | ||
MOVEMENT_TYPE | VARCHAR(100) | N | Movement Type | Type of movement or adjustment. Looked up from map_movement_type.sas | ||
MOVEMENT_CATEGORY | VARCHAR(100) | N | Movement Category | Movement or Adjustment category. Looked up from map_movement_type.sas | ||
FORECAST_PERIOD | VARCHAR(32) | N | Forecast Period | Forecast Period expressed as the number of intervals from the Reporting Date. I.e. Year 0 (current period), Year 1, .., Year N | ||
DAYS_PAST_DUE_CNT | NUMERIC(8) | N | Days Past Due | Number of days past the payment due date | ||
ORIG_UNPAID_BALANCE_AMT | NUMERIC(8) | N | Unpaid Balance Amount at Origination | Unpaid balance of the instrument at the origination dat e | ||
ORIG_PIT_PD | NUMERIC(8) | N | PIT PD at Origination | Point-In-Time Probablilty of Default at origination | ||
ORIG_LTV_RT | NUMERIC(8) | N | LTV at Origination | Loan-To-Value Ratio at origination | ||
PIT_PD | NUMERIC(8) | N | PIT PD | Point-In-Time Probablilty of Default | ||
LTV_RT | NUMERIC(8) | N | LTV | Loan-to-Value expressed as a percentageof the collateral | ||
LGD | NUMERIC(8) | N | LGD | Loss Given Default | ||
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. | ||
CREDIT_LIMIT_AMT | NUMERIC(8) | N | Credit Limit Amount | Indicates maximum allowed credit exposure on the contract. | ||
UNPAID_BALANCE_AMT | NUMERIC(8) | N | Unpaid Balance Amount | Unpaid balance of the instrument at the reporting date | ||
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 | ||
WRITE_OFF_AMT | NUMERIC(8) | N | (Current Period) Write-off | Drives mapping to worksheets. See here for general worksheet mapping information. This is the cumulative write-off amount (partial or full) | ||
FEE_AMT | NUMERIC(8) | N | Amount of Fees | Collected fees | ||
ACCRUED_INTEREST_AMT | NUMERIC(8) | N | Accrued Interest | Accrued Interest | ||
PCD_PURCHASE_AMT | NUMERIC(8) | N | PCD Purchase Amount | Purchase price of PCD assets is reported on PCD Reconciliation disclosure template. | ||
ECL_12M | NUMERIC(8) | N | ECL (12 Months) | Expected Credit Loss over the next 12-months horizon | ||
ECL_LIFETIME | NUMERIC(8) | N | ECL (Lifetime) | Expected Credit Loss over the lifetime of the loan | ||
ECL_STAGE1 | NUMERIC(8) | N | ECL Stage 1 | Expected Credit Loss for performing loans (Stage 1). | ||
ECL_STAGE2 | NUMERIC(8) | N | ECL Stage 2 | Expected Credit Loss for loans that show sign of credit deterioration (Stage 2) | ||
ECL | NUMERIC(8) | N | ECL (Staged) | Staged Expected Credit Loss (Stage 1 + Stage 2) | ||
INCURRED_LOSS_AMT | NUMERIC(8) | N | Incurred Loss | Incurred loss | ||
ALLOWANCE_AMT | NUMERIC(8) | N | Allowance | Allowance for loan losses: Staged ECL + Incurred Loss | ||
RWA | NUMERIC(8) | N | RWA | Risk Weighted Assets | ||
RULE_ID | VARCHAR(32) | N | Posting Id | Management action posting id | ||
RULE_DESC | VARCHAR(4096) | N | Action Description | Management action description | ||
Component_ValueAtRisk | NUMERIC(8) | N | Value-at-Risk (component) | Value-at-Risk contribution per Instid (linear decomposition) | ||
Component_Economic_Capital | NUMERIC(8) | N | Economic Capital (component) | Economic Capital contribution per Instid (linear decomposition) | ||
ValueAtRisk | NUMERIC(8) | N | Value-at-Risk | Value-at-Risk contribution per Instid | ||
ValueAtRisk_Alpha | NUMERIC(8) | N | Value-at-Risk Alpha | Value-at-Risk quantile, e.g. 0.95 | ||
Economic_Capital | NUMERIC(8) | N | Economic Capital | Economic Capital contribution per Instid | ||
VAR_SECTOR1 | NUMERIC(8) | N | Value-at-Risk Sector 1 | Value-at-Risk contribution per Instid (sector 1) | ||
VAR_SECTOR2 | NUMERIC(8) | N | Value-at-Risk Sector 2 | Value-at-Risk contribution per Instid (sector 2) | ||
VAR_SECTOR3 | NUMERIC(8) | N | Value-at-Risk Sector 3 | Value-at-Risk contribution per Instid (sector 3) | ||
VAR_SECTOR4 | NUMERIC(8) | N | Value-at-Risk Sector 4 | Value-at-Risk contribution per Instid (sector 4) | ||
EconomicCapital_SECTOR1 | NUMERIC(8) | N | Economic Capital Sector 1 | Value-at-Risk contribution per Instid (sector 1) | ||
EconomicCapital_SECTOR2 | NUMERIC(8) | N | Economic Capital Sector 2 | Value-at-Risk contribution per Instid (sector 2) | ||
EconomicCapital_SECTOR3 | NUMERIC(8) | N | Economic Capital Sector 3 | Value-at-Risk contribution per Instid (sector 3) | ||
EconomicCapital_SECTOR4 | NUMERIC(8) | N | Economic Capital Sector 4 | Value-at-Risk contribution per Instid (sector 4) | ||
ExpectedLoss | NUMERIC(8) | N | Expected Loss | Expected Loss | ||
EvalDate | DATE | N | Evaluation Date | Date of forecast evaluation | ||
HORIZON | NUMERIC(8) | N | Horizon | Forecast horizon. | ||
INITIAL_RISK_RATING | VARCHAR(32) | N | Initial Risk Rating | Initial Credit Rating Grade. Example: AAA (S&P) | ||
TO_RISK_RATING | VARCHAR(32) | N | Migrated Risk Rating | Migrated Credit Rating Grade. Example: AAA (S&P) | ||
OUTSTANDING_AMT | NUMERIC(8) | N | Outstanding Amount | Outstanding balance of the instrument at the reporting date | ||
DEFAULT_AMT | NUMERIC(8) | N | Defaulted Amount | Defaulted balance of the instrument at the reporting date | ||
LGD | NUMERIC(8) | N | LGD | Loss Given Default | ||
PD | NUMERIC(8) | N | PD | Periodic probability of default | ||
EAD_AMT | NUMERIC(8) | N | Exposure at Default Amount | Periodic exposure at default amount | ||
EL | NUMERIC(8) | N | Expected Loss Rate | Periodic expected loss rate | ||
EL_AMT | NUMERIC(8) | N | Expected Loss Amount | Periodic expected loss amount | ||
BASECASE_EL | NUMERIC(8) | N | Time 0 Expected Loss Amount | Time 0 expected loss amount | ||
INDIVIDUAL_PROVISION_AMT | NUMERIC(8) | N | Individual Provision Amount | Individual Provision Amount | ||
COLLECTIVE_PROVISION_AMT | NUMERIC(8) | N | Collective Provision Amount | Collective Provision Amount | ||
TOTAL_PROVISION_AMT | NUMERIC(8) | N | Total Provision Amount | Total Provision Amount | ||
NCO_AMT | NUMERIC(8) | N | Net Charge Off Amount | Net Charge Off Amount |
Definition in file value_at_risk_detail.sas.