Credit risk portfolio table. More...
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Credit risk portfolio table.
PK | Variable | Type | Required? | Relationships | Label | Description |
---|---|---|---|---|---|---|
![]() | REPORTING_DT | NUMERIC(8) | Y | Reporting Date | SAS Date value | |
![]() | ENTITY_ID | VARCHAR(32) | N | entity.sas | Entity Identifier | |
![]() | 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. | |
ORIG_INSTID | VARCHAR(64) | N | Original Instrument Identifier | Original Unique identifier for an instrument/transaction/account. This variable becomes meaningful when an instrument is selected for elimination and therefore renamed . | ||
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) | Asset type categorization | ||
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. |
List of values for INTEREST_RATE_TYPE :
Definition in file credit_portfolio.sas.