SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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counterparty.sas
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1/*
2 Copyright (C) 2018 SAS Institute Inc. Cary, NC, USA
3*/
4
5/**
6 \file
7 \brief Counterparty table.
8 \details
9
10 |PK |Variable |Type | Required? |Relationships |Label |Description |
11 |--------------|---------------------------------------|------------------|-----------|---------------------------------------------|--------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
12 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | SAS Date value |
13 |![ ](pk.jpg) | <b>COUNTERPARTYID</b> | VARCHAR(32) | N | \link counterparty.sas \endlink | Counterparty Id | Unique Identifier for the Counterparty |
14 | | COUNTERPARTYTYPE | VARCHAR(100) | N | | Counterparty Type | Counterparty Type |
15 | | SECTOR_DESC | VARCHAR(100) | N | | Sector Description | Description of the Economic Sector of Activity of the counterparty of the contract (reporting dimension) |
16 | | DEBT_TO_INCOME_RT | VARCHAR(100) | N | | Debt-To-Income Ratio | Debt-To-Income Ratio |
17 | | DELINQUENCY_FLG | VARCHAR(3) | N | | Delinquency Flag | Indicates delinquency (Y) or not (N) |
18 | | EVER_DELINQUENT_FLG | VARCHAR(32) | N | | Ever Delinquent Flag | Flag indicating whether there has ever been a delinquency |
19 | | MOST_RECENT_DELINQUENCY_DT | NUMERIC(8) | N | | Delinquency Date | Date of most recent delinquency |
20 | | FINANCIAL_DIFFICULTIES_FLG | VARCHAR(3) | N | | Financial Difficulties Flag | Identify counterparties that are experiencing financial difficulties (ASU 2016-13 326-20-50-20) |
21 | | RATING_AGENCY | VARCHAR(32) | N | | Rating Agency | Credit Rating Agency (i.e. FICO, EQUIFAX, S&P) |
22 | | RATING_GRADE | VARCHAR(32) | N | | Rating Grade/Score | Credit Rating Grade/Score. Example: 750 (FICO), AAA (S&P), etc. |
23 | | 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).<br>Closed List Values:<br> - <i>1 - Largely Risk Free</i> <br> - <i>2 - Minimal Risk</i> <br> - <i>3 - Modest Risk</i> <br> - <i>4 - Bankable</i> <br> - <i>5 - Additional Review</i> <br> - <i>6 - Special Mention</i> <br> - <i>7 - Sub-Standard</i> <br> - <i>8 - Doubtful</i> <br> - <i>9 - Loss</i> |
24 | | TTC_PD | NUMERIC(8) | N | | TTC PD | Through-The-Cycle Probablilty of Default |
25 | | PIT_PD | NUMERIC(8) | N | | PIT PD | Point-In-Time Probablilty of Default |
26 | | CORPORATE_Mf_MODEL_ID | VARCHAR(32) | N | | | |
27 | | CORPORATE_RES_MODEL_ID | VARCHAR(32) | N | | | |
28 | | NO_OF_STATES | NUMERIC(8) | N | | | |
29 | | MOD_PARMS_ADJ | NUMERIC(8) | N | | | |
30 | | POOL_FLG | VARCHAR(5) | N | | | |
31 | | RANDOMSEED | NUMERIC(8) | N | | | |
32
33 \ingroup ddlFactCreditRisk
34 \author SAS Institute Inc.
35 \date 2018
36*/
37
38CREATE TABLE &LIBREF..COUNTERPARTY (
39 REPORTING_DT DATE label = 'Reporting Date' FORMAT = &DTFMT.,
40 COUNTERPARTYID VARCHAR(32) label = 'Counterparty Id',
41 COUNTERPARTYTYPE VARCHAR(100) label = 'Counterparty Type',
42 SECTOR_DESC VARCHAR(100) label = 'Sector Description',
43 DEBT_TO_INCOME_RT NUMERIC(8) label = 'Debt-To-Income Ratio',
44 DELINQUENCY_FLG VARCHAR(3) label = 'Delinquency Flag',
45 EVER_DELINQUENT_FLG VARCHAR(3) label = 'Ever Delinquent Flag',
46 MOST_RECENT_DELINQUENCY_DT DATE label = 'Most Recent Delinquency Date' FORMAT = &DTFMT.,
47 FINANCIAL_DIFFICULTIES_FLG VARCHAR(3) label = 'Financial Difficulties Flag',
48 RATING_AGENCY VARCHAR(32) label = 'Rating Agency',
49 RATING_GRADE VARCHAR(32) label = 'Rating Grade',
50 STD_RATING_GRADE VARCHAR(32) label = 'Standardised Rating Grade',
51 TTC_PD NUMERIC(8) label = 'TTC PD',
52 PIT_PD NUMERIC(8) label = 'PIT PD',
53 CORPORATE_Mf_MODEL_ID VARCHAR(32) label = 'Multi-Factor Structure Model ID',
54 CORPORATE_RES_MODEL_ID VARCHAR(32) label = 'Multi-Factor Residual Model ID',
55 NO_OF_STATES NUMERIC(8) label = 'State Number for EC SimBased Model',
56 MOD_PARMS_ADJ NUMERIC(8) label = 'Multi-Factor Standardization Constant',
57 POOL_FLG VARCHAR(5) label = 'Data Pool Flag',
58 RANDOMSEED NUMERIC(8) label = 'Random Seed Number',
59 CONSTRAINT PRIM_KEY PRIMARY KEY (REPORTING_DT, COUNTERPARTYID)
60);