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

The report mart table ST_CREDIT_RISK_DETAIL contains the required information for the SAS Visual Analytics Management Report. More...

Go to the source code of this file.

Detailed Description

The report mart table ST_CREDIT_RISK_DETAIL contains the required information for the SAS Visual Analytics Management 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
Author
SAS Institute Inc.
Date
2018

Definition in file credit_risk_detail.sas.