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SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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migration_detail.sas
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1/*
2 Copyright (C) 2020 SAS Institute Inc., Cary, NC, USA
3*/
4
5/**
6 \file
7 \brief The report mart table ST_MIGRATION_DETAIL contains the required information for the SAS Visual Analytics Management Report
8 \details
9
10 | PK |Variable |Type | Required? |Relationships |Label |Description |
11 |--------------|---------------------------------------|------------------|-----------|---------------------------------------------|--------------------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
12 |![ ](pk.jpg) | LOAD_ID | VARCHAR(32) | Y | | Load Id | Identifies whether the current data was created as part of a production analysis run or not. \nValues: \n - Production \n - What-If |
13 |![ ](pk.jpg) | <b>ENTITY_ID</b> | VARCHAR(32) | N | \link entity.sas \endlink | Entity Identifier | Entity Identifier |
14 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | Reference date for the calculation. Also known as the base date or evaluation date of the portfolio |
15 |![ ](pk.jpg) | INSTID | VARCHAR(64) | Y | | Instrument Identifier | Financial instrument identifier |
16 |![ ](pk.jpg) | SCENARIO_ID | VARCHAR(32) | Y | | Scenario Id | Unique scenario id used for the analysis. Each forecast time has a separate scenario id |
17 |![ ](pk.jpg) | 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 |
18 |![ ](pk.jpg) | TO_RISK_RATING | VARCHAR(32) | N | | Migrated Risk Rating | Migrated Credit Rating Grade. Example: AAA (S&P) |
19 | | PROJECT_NAME | VARCHAR(64) | Y | | Project Name | Name of the cycle in which the data was created |
20 | | ANALYSIS_RUN_NAME | VARCHAR(150) | Y | | Analysis Run Name | Name of the analysis run that created this data |
21 | | SCENARIO_NAME | VARCHAR(512) | Y | | Scenario Name | Name of the business scenario: it groups scenario id values across multiple forecast horizons |
22 | | INSTTYPE | VARCHAR(32) | N | | Instrument Type | Instrument type |
23 | | PORTFOLIO_SEGMENT | VARCHAR(50) | N | | Portfolio Segment | Portfolio segmentation |
24 | | REGULATORY_PRODUCT_LEV1 | VARCHAR(200) | N | | FR Y-14 Category 1 | FR Y-14 Category 1 |
25 | | REGULATORY_PRODUCT_LEV2 | VARCHAR(200) | N | | FR Y-14 Category 2 | FR Y-14 Category 2 |
26 | | REGULATORY_PRODUCT_LEV3 | VARCHAR(200) | N | | FR Y-14 Category 3 | FR Y-14 Category 3 |
27 | | REGULATORY_PRODUCT_LEV4 | VARCHAR(200) | N | | FR Y-14 Category 4 | FR Y-14 Category 4 |
28 | | GEOGRAPHY_CD | VARCHAR(32) | N | \link map_geo_hierarchy.sas \endlink | Geography Code | Geography Code (reporting dimension). |
29 | | MOVEMENT_TYPE_CD | VARCHAR(32) | N | | Movement Type Code | Movement type code. See \link map_movement_type.sas \endlink for a list of valid values |
30 | | RWA | NUMERIC(8) | N | | RWA | Risk Weighted Assets |
31 | | EVALDATE | DATE | N | | Evaluation Date | Date of forecast evaluation |
32 | | HORIZON | NUMERIC(8) | N | | Horizon | Forecast horizon. |
33 | | INITIAL_RISK_RATING | VARCHAR(32) | N | | Initial Risk Rating | Initial Credit Rating Grade. Example: AAA (S&P) |
34 | | OUTSTANDING_AMT | NUMERIC(8) | N | | Outstanding Amount | Outstanding balance of the instrument at the reporting date |
35 | | DEFAULT_AMT | NUMERIC(8) | N | | Defaulted Amount | Defaulted balance of the instrument at the reporting date |
36 | | LGD | NUMERIC(8) | N | | LGD | Loss Given Default |
37 | | PD | NUMERIC(8) | N | | PD | Periodic probability of default |
38 | | EAD_AMT | NUMERIC(8) | N | | Exposure at Default Amount | Periodic exposure at default amount |
39 | | EL | NUMERIC(8) | N | | Expected Loss Rate | Periodic expected loss rate |
40 | | EL_AMT | NUMERIC(8) | N | | Expected Loss Amount | Periodic expected loss amount |
41 | | INDIVIDUAL_PROVISION_AMT | NUMERIC(8) | N | | Individual Provision Amount | Individual Provision Amount |
42 | | COLLECTIVE_PROVISION_AMT | NUMERIC(8) | N | | Collective Provision Amount | Collective Provision Amount |
43 | | TOTAL_PROVISION_AMT | NUMERIC(8) | N | | Total Provision Amount | Total Provision Amount |
44 | | NCO_AMT | NUMERIC(8) | N | | Net Charge Off Amount | Net Charge Off Amount |
45
46 \ingroup ddlReportMart
47 \author SAS Institute Inc.
48 \date 2020
49*/
50
51create table &libref..MIGRATION_DETAIL (
52 ANALYSIS_RUN_NAME VARCHAR(150) label = 'Analysis Run Name',
53 LOAD_ID VARCHAR(32) label = 'Load Id',
54 REPORTING_DT DATE label = 'Reporting Date' FORMAT = yymmddd10.,
55 ENTITY_ID VARCHAR(32) label = 'Entity',
56 PROJECT_NAME VARCHAR(64) label = 'Project Name',
57 SCENARIO_ID VARCHAR(32) label = 'Scenario Id',
58 SCENARIO_NAME VARCHAR(512) label = 'Scenario Name',
59 INSTID VARCHAR(64) label = 'Instrument Identifier',
60 INSTTYPE VARCHAR(32) label = 'Instrument Type',
61 PORTFOLIO_SEGMENT VARCHAR(50) label = 'Portfolio Segment',
62 REGULATORY_PRODUCT_LEV1 VARCHAR(200) label = 'FR Y-14 Category 1',
63 REGULATORY_PRODUCT_LEV2 VARCHAR(200) label = 'FR Y-14 Category 2',
64 REGULATORY_PRODUCT_LEV3 VARCHAR(200) label = 'FR Y-14 Category 3',
65 REGULATORY_PRODUCT_LEV4 VARCHAR(200) label = 'FR Y-14 Category 4',
66 GEOGRAPHY_CD VARCHAR(32) label = 'Geography Code',
67 MOVEMENT_ID NUMERIC(8) label = 'Movement Id',
68 MOVEMENT_TYPE_CD VARCHAR(32) label = 'Movement Type Code',
69 RWA NUMERIC(8) label = 'RWA' FORMAT = comma25.2,
70 EVALDATE DATE label = 'Evaluation Date' FORMAT = yymmddd10.,
71 HORIZON NUMERIC(8) label = 'Horizon',
72 INITIAL_RISK_RATING VARCHAR(32) label = 'Initial Risk Rating',
73 TO_RISK_RATING VARCHAR(32) label = 'Migrated Risk Rating',
74 OUTSTANDING_AMT NUMERIC(8) label = 'Outstanding Amount' FORMAT = comma25.2,
75 DEFAULT_AMT NUMERIC(8) label = 'Default Amount' FORMAT = comma25.2,
76 LGD NUMERIC(8) label = 'LGD' FORMAT = percent8.2,
77 PD NUMERIC(8) label = 'PD' FORMAT = percent8.2,
78 EAD_AMT NUMERIC(8) label = 'EAD Amount' FORMAT = comma25.2,
79 EL NUMERIC(8) label = 'EL Rate' FORMAT = percent8.2,
80 EL_AMT NUMERIC(8) label = 'EL Amount' FORMAT = comma25.2,
81 INDIVIDUAL_PROVISION_AMT NUMERIC(8) label = 'Individual Provision Amount' FORMAT = comma25.2,
82 COLLECTIVE_PROVISION_AMT NUMERIC(8) label = 'Collective Provision Amount' FORMAT = comma25.2,
83 TOTAL_PROVISION_AMT NUMERIC(8) label = 'Total Provision Amount' FORMAT = comma25.2,
84 NCO_AMT NUMERIC(8) label = 'Net Charge Off Amount' FORMAT = comma25.2
85);