SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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Counterparty table. More...

Go to the source code of this file.

Detailed Description

Counterparty table.

PK Variable Type Required? Relationships Label Description
REPORTING_DT NUMERIC(8) Y Reporting Date SAS Date value
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)
DEBT_TO_INCOME_RT VARCHAR(100) N Debt-To-Income Ratio Debt-To-Income Ratio
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
MOST_RECENT_DELINQUENCY_DT NUMERIC(8) N Delinquency Date Date of most recent delinquency
FINANCIAL_DIFFICULTIES_FLG VARCHAR(3) N Financial Difficulties Flag Identify counterparties that are experiencing financial difficulties (ASU 2016-13 326-20-50-20)
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
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
CORPORATE_Mf_MODEL_ID VARCHAR(32) N
CORPORATE_RES_MODEL_ID VARCHAR(32) N
NO_OF_STATES NUMERIC(8) N
MOD_PARMS_ADJ NUMERIC(8) N
POOL_FLG VARCHAR(5) N
RANDOMSEED NUMERIC(8) N
Author
SAS Institute Inc.
Date
2018

Definition in file counterparty.sas.