SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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credit_portfolio.sas
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1
2/*
3 Copyright (C) 2018 SAS Institute Inc. Cary, NC, USA
4*/
5
6/**
7 \file
8 \brief Credit risk portfolio table.
9 \details
10
11 |PK |Variable |Type | Required? |Relationships |Label |Description |
12 |--------------|---------------------------------------|------------------|-----------|---------------------------------------------|--------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
13 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | SAS Date value |
14 |![ ](pk.jpg) | <b>ENTITY_ID</b> | VARCHAR(32) | N | \link entity.sas \endlink | Entity Identifier | |
15 |![ ](pk.jpg) | <b>INSTID</b> | 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. |
16 | | 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 . |
17 | | WORKGROUP | VARCHAR(32) | N | | Workgroup | SAS Risk Workgroup. Drives the row-level security |
18 | | INSTTYPE | VARCHAR(32) | N | | Instrument Type | The instrument type drives mapping to MIP model groups Category |
19 | | 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 |
20 | | ACCOUNTING_METHOD | VARCHAR(14) | N | | Accounting Method | Accounting Method drives the way entries for the General Ledger are generated |
21 | | ASSET_TYPE_DESC | VARCHAR(200) | N | | Asset Type (Accounting denominations) | Asset type categorization |
22 | | PRODUCT_CD | VARCHAR(200) | N | \link map_product_hierarchy.sas \endlink | Product Code | Used to lookup the full Product hierarchy. |
23 | | LOB_ID | VARCHAR(64) | N | \link map_lob_hierarchy.sas \endlink | Line of Business Id | Used to lookup the full Line of Business hierarchy. |
24 | | CURRENCY | VARCHAR(3) | N | | Currency | ISO 3 character currency code |
25 | | COUNTERPARTYID | VARCHAR(32) | N | \link counterparty.sas \endlink | Counterparty Id | Unique Identifier for the Counterparty |
26 | | COUNTERPARTYTYPE | VARCHAR(100) | N | | Counterparty Type | Counterparty Type |
27 | | SECTOR_DESC | VARCHAR(100) | N | | Sector Description | Description of the Economic Sector of Activity of the counterparty of the contract (reporting dimension) |
28 | | ORIG_RATING_AGENCY | VARCHAR(32) | N | | Rating Agency at Origination | Credit Rating Agency (i.e. FICO, EQUIFAX, S&P) |
29 | | ORIG_RATING_GRADE | VARCHAR(32) | N | | Rating Grade/Score at Origination | Credit Rating Grade/Score. Example: 750 (FICO), AAA (S&P), etc. |
30 | | 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).<br>Closed List Values:<br> 1 - Largely Risk Free <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> |
31 | | RATING_AGENCY | VARCHAR(32) | N | | Rating Agency | Credit Rating Agency (i.e. FICO, EQUIFAX, S&P) |
32 | | RATING_GRADE | VARCHAR(32) | N | | Rating Grade/Score | Credit Rating Grade/Score. Example: 750 (FICO), AAA (S&P), etc. |
33 | | 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> 1 - Largely Risk Free <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> |
34 | | ORIG_PIT_PD | NUMERIC(8) | N | | PIT PD at Origination | Point-In-Time Probablilty of Default at origination |
35 | | TTC_PD | NUMERIC(8) | N | | TTC PD | Through-The-Cycle Probablilty of Default |
36 | | PIT_PD | NUMERIC(8) | N | | PIT PD | Point-In-Time Probablilty of Default |
37 | | ORIG_LTV_RT | NUMERIC(8) | N | | LTV at Origination | Loan-To-Value Ratio at origination |
38 | | LTV_RT | NUMERIC(8) | N | | LTV | Loan-To-Value Ratio |
39 | | LGD | NUMERIC(8) | N | | LGD | Loss Given Default |
40 | | DOWNTURN_LGD | NUMERIC(8) | N | | Downturn LGD | Downturn Loss Given Default |
41 | | START_DT | NUMERIC(8) | N | | Start Date | Date at which the loan started. SAS Date value |
42 | | SCHEDULE_START_DT | NUMERIC(8) | N | | Schedule start Date | Date at which the repayment schedule starts or started. SAS Date value |
43 | | MATURITY_DT | NUMERIC(8) | N | | Maturity Date | Date at which the loan matures. SAS Date value |
44 | | PRINCIPAL_PAYMENT_DT | NUMERIC(8) | N | | Principal Payment Date | Date of the next principal repayment. |
45 | | INTEREST_PAYMENT_DT | NUMERIC(8) | N | | Interest Payment Date | Date of the next interest payment |
46 | | NEXT_RESET_DT | NUMERIC(8) | N | | Next Reset Date | Date of the next interest fixing |
47 | | UNPAID_BALANCE_AMT | NUMERIC(8) | N | | Unpaid Balance Amount | |
48 | | ORIG_UNPAID_BALANCE_AMT | NUMERIC(8) | N | | Original Unpaid Balance Amount | |
49 | | CURRENT_RT | NUMERIC(8) | N | | Current Rate | Decimal value |
50 | | EFFECTIVE_INTEREST_RT | NUMERIC(8) | N | | Effective Interest Rate | Decimal value |
51 | | MARGIN_RT | NUMERIC(8) | N | | Interest Rate Margin | Decimal value. Margin over the reference interest rate. |
52 | | INDEX_REFERENCE | VARCHAR(16) | N | | Interest Rate Reference Curve | Points to reference curve in scenario data. |
53 | | PAYMENT_AMT | NUMERIC(8) | N | | Payment Amount (assumes fixed periodic loan payments (the amount is that associated with a fully drawn credit line))| |
54 | | DAYS_PAST_DUE_CNT | NUMERIC(8) | N | | Days Past Due Count | Integer value. |
55 | | MODIFICATION_DT | NUMERIC(8) | N | | Modification date | Date of last modification |
56 | | ASSESSMENT_TYPE_DESC | VARCHAR(100) | N | | Assessment type Description | Assessment type: <br> - Individually Evaluated for Impairment <br> - Collectively Evaluated for Impairment |
57 | | COLLATERAL_DESC | VARCHAR(200) | N | | Collateral Type Description | Drives mapping to hierarchy ecl_collateral_hier |
58 | | 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) |
59 | | WRITE_OFF_AMT | NUMERIC(8) | N | | (Cumulative) Write-off | Drives mapping to worksheets. See \ref p200Other "here" for general worksheet mapping information. This is the cumulative write-off amount (partial or full) |
60 | | 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. |
61 | | 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. |
62 | | 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. |
63 | | 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 |
64 | | CREDIT_LIMIT_AMT | NUMERIC(8) | N | | Credit Limit Amount | Indicates maximum allowed credit exposure on the contract. |
65 | | DELINQUENCY_FLG | VARCHAR(3) | N | | Delinquency Flag | Indicates delinquency (Y) or not (N) |
66 | | MOST_RECENT_DELINQUENCY_DT | NUMERIC(8) | N | | Delinquency Date | Date of most recent delinquency |
67 | | EVER_DELINQUENT_FLG | VARCHAR(32) | N | | Ever Delinquent Flag | Flag indicating whether there has ever been a delinquency |
68 | | 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 |
69 | | GEOGRAPHY_CD | VARCHAR(32) | N | \link map_geo_hierarchy \endlink | Geography Code | Geography Code (reporting dimension). |
70 | | CCF | NUMERIC(8) | N | | Credit Conversion Factor | Credit Conversion Factor is used to derive an on-balance equivalent for off-balance exposures |
71 | | INTEREST_RATE_TYPE | VARCHAR(8) | N | | Type of Interest Rate | Type of Interest Rate (see below for detailed values) |
72 | | INTEREST_PAYMENT_PERIOD_CD | VARCHAR(16) | N | | Interest Payment Periodicity | Interest payment period(see below for detailed values) |
73 | | INTEREST_RESET_PERIOD_CD | VARCHAR(16) | N | | Interest Reset Periodicity | Interest Reset period. (see below for detailed values) |
74 | | CAPITAL_PAYMENT_PERIOD_CD | VARCHAR(16) | N | | Capital Payment Periodicity | Capital Payment Period (see below for detailed values) |
75 | | PAYMENT_TYPE_CD | VARCHAR(16) | N | | Type of repayment schedule | Type of Repayment Schedule (see below for detailed values) |
76 | | DAY_BASIS_CD | VARCHAR(16) | N | | Day Basis | Day Count Basis for Interest Accrual Calculation (see below for detailed values) |
77 | | PCD_FLG | VARCHAR(3) | N | | Purchased Credit Deteriorated Assets Flag | |
78 | | TDR_FLG | VARCHAR(3) | N | | Troubled Debt Restructuring Flag | |
79 | | FORECLOSURE_FLG | VARCHAR(3) | N | | Foreclosure Flag | |
80 | | RELATED_PARTY_FLG | VARCHAR(3) | N | | Related Party Flag | Identify related parties for disclosure (refer to FAS57) |
81 | | 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) |
82 | | FINANCIAL_DIFFICULTIES_FLG | VARCHAR(3) | N | | Financial Difficulties Flag | Identify counterparties that are experiencing financial difficulties (ASU 2016-13 326-20-50-20) |
83 | | UNCONDITIONALLY_CANCELABLE_FLG | VARCHAR(3) | N | | Unconditionally Cancelable Flag | |
84 | | ACCRUED_INTEREST_AMT | NUMERIC(8) | N | | Accrued Interest | |
85 | | FEE_AMT | NUMERIC(8) | N | | Amount of Fees | |
86 | | 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. |
87 | | CUM_RECOVERY_AMT | NUMERIC(8) | N | | Cumulative Recovery Amount | Cumulative amount recovered to date |
88 | | NONACCRUAL_STATUS_FLG | VARCHAR(3) | N | | Nonaccrual Status Flag | Indicates nonaccrual status (Y) or not (N) |
89 | | 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. |
90 | | 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. |
91 | | PCD_PURCHASE_AMT | NUMERIC(8) | N | | PCD Purchase Amount | Purchase price of PCD assets is reported on PCD Reconciliation disclosure template. |
92 | | PCD_PAR_AMT | NUMERIC(8) | N | | PCD Par Value Amount | Par Value of PCD assets is reported on PCD Reconciliation disclosure template. |
93 | | 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. |
94 | | PCD_PURCHASE_DT | NUMERIC(8) | N | | PCD Purchase Date | Used to determine if a PCD asset was purchased in the current reporting period. |
95 | | CUM_OTHER_ALLOWANCE_AMT | NUMERIC(8) | N | | Cumulative Other Allowance Amount | Allowance for all other items |
96 | | WEIGHT_EXPOSURE_SPECIFIC | NUMERIC(8) | N | | Idiosyncratic Weight Exposure | Weight exposure for VAR calculation based on CreditRisk+ |
97 | | WEIGHT_EXPOSURE_SECTOR_1 | NUMERIC(8) | N | | Sector 1 Weight Exposure | Weight exposure for VAR calculation based on CreditRisk+ |
98 | | WEIGHT_EXPOSURE_SECTOR_2 | NUMERIC(8) | N | | Sector 2 Weight Exposure | Weight exposure for VAR calculation based on CreditRisk+ |
99 | | WEIGHT_EXPOSURE_SECTOR_3 | NUMERIC(8) | N | | Sector 3 Weight Exposure | Weight exposure for VAR calculation based on CreditRisk+ |
100 | | PD_SD_SPECIFIC | NUMERIC(8) | N | | Idiosyncratic PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
101 | | PD_SD_SECTOR_1 | NUMERIC(8) | N | | Sector 1 PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
102 | | PD_SD_SECTOR_2 | NUMERIC(8) | N | | Sector 2 PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
103 | | PD_SD_SECTOR_3 | NUMERIC(8) | N | | Sector 3 PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
104 | | PD_SD | NUMERIC(8) | N | | PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
105 | | POOL_FLG | VARCHAR(5) | N | | Sector 2 Weight Exposure | Weight exposure for VAR calculation based on CreditRisk+ |
106 | | EXPOSURE_KEY_SPREADTYPE | VARCHAR(16) | N | | Sector 3 Weight Exposure | Weight exposure for VAR calculation based on CreditRisk+ |
107 | | EXPOSURE_KEY_DISCOUNTTYPE | VARCHAR(16) | N | | Idiosyncratic PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
108 | | EXPOSURE_SENIORITY_CLASS | NUMERIC(8) | N | | Sector 1 PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
109 | | GUARANTEE_VALUE | NUMERIC(8) | N | | Sector 2 PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
110 | | PHYSICAL_ASSET_VALUE | NUMERIC(8) | N | | Sector 3 PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
111 | | MITIGANT | NUMERIC(8) | N | | | |
112 | | RANDOMSEED | NUMERIC(8) | N | | Random Seed Number | Random Seed Number used to control and replicate analysis involving random simulations. |
113
114
115
116
117
118
119
120
121+ Sample values for <b>INTEREST_PAYMENT_PERIOD_CD</b> :
122 + 1 MONTH: Interest payment is made monthly
123 + 3 MONTH: Interest payment is made quarterly/every 3 months
124 + 1 YEAR: Interest payment is made annually
125
126+ Sample values for <b>INTEREST_RESET_PERIOD_CD</b> :
127 + 1 MONTH: Interest rate is reset monthly
128 + 3 MONTH: Interest payment is reset quarterly/every 3 months
129 + 1 YEAR: Interest payment is reset annually
130 + 5 YEAR: Interest payment is reset every 5 years
131
132+ Sample values for <b>CAPITAL_PAYMENT_PERIOD_CD</b> :
133 + 1 MONTH: Interest payment is made monthly
134 + 3 MONTH: Interest payment is made quarterly/every 3 months
135 + 6 MONTH: Interest payment is made semi-annually/every 6 months
136
137+ List of values for <b>PAYMENT_TYPE_CD</b> :
138 + Level Pay : Indicating the repayment of principal and interest of a loan at each payment period is a fixed amount
139 + Straight Line : Indicating the principal repayment of a loan at each payment period is a fixed amount
140 + Bullet : Indicating a lump sum of repayment of the principal at the maturity of the loan
141
142+ List of values for <b>DAY_BASIS_CD</b> :
143 + 30/360 : Indicating every month has 30 days and each year has 360 days
144 + ACT/360: Indicating the actual number of days of a month is used for the month and 360 is used for the number of days in each year
145 + ACT/365: Indicating the actual number of days of a month is used for the month and 365 is used for the number of days in each year
146 + ACT/ACT: Indicating the actual number of days of a month is used for the month and the actual number of days of a year is used for the year
147
148+ List of values for <b>INTEREST_RATE_TYPE</b> :
149 + Fixed : Indicating interest rate is fixed for the term of the loan
150 + Variable : Indicating interest rate is variable for the term of the loan
151 + ARM : Indicating the interest rate of a mortgage loan is adjustable over the term of the loan
152 + Hybrid : Indicating the interest rate of a loan is fixed for a defined period and adjustable for the rest of the loan term
153
154 \ingroup ddlFactCreditRisk
155 \author SAS Institute Inc.
156 \date 2018
157*/
158
159CREATE TABLE &LIBREF..CREDIT_PORTFOLIO (
160 REPORTING_DT DATE label = 'Reporting Date' FORMAT = &DTFMT.,
161 ENTITY_ID VARCHAR(32) label = 'Entity ID',
162 INSTID VARCHAR(64) label = 'Instrument Identifier',
163 ORIG_INSTID VARCHAR(64) label = 'Original Instrument Identifier ',
164 WORKGROUP VARCHAR(32) label = 'Workgroup',
165 INSTTYPE VARCHAR(32) label = 'Instrument Type',
166 PORTFOLIO_SEGMENT VARCHAR(50) label = 'Portfolio Segment',
167 ACCOUNTING_METHOD VARCHAR(14) label = 'Accounting Method',
168 ASSET_TYPE_DESC VARCHAR(200) label = 'Asset Type',
169 PRODUCT_CD VARCHAR(100) label = 'Product Code',
170 LOB_ID VARCHAR(100) label = 'Line of Business Id',
171 CURRENCY VARCHAR(3) label = 'Currency',
172 COUNTERPARTYID VARCHAR(32) label = 'Counterparty Id',
173 COUNTERPARTYTYPE VARCHAR(100) label = 'Counterparty Type',
174 SECTOR_DESC VARCHAR(100) label = 'Sector Description',
175 ORIG_RATING_AGENCY VARCHAR(32) label = 'Rating Agency at Origination',
176 ORIG_RATING_GRADE VARCHAR(32) label = 'Rating Grade at Origination',
177 ORIG_STD_RATING_GRADE VARCHAR(32) label = 'Standardised Rating Grade at Origination',
178 RATING_AGENCY VARCHAR(32) label = 'Rating Agency',
179 RATING_GRADE VARCHAR(32) label = 'Rating Grade',
180 STD_RATING_GRADE VARCHAR(32) label = 'Standardised Rating Grade',
181 ORIG_PIT_PD NUMERIC(8) label = 'PIT PD at Origination',
182 TTC_PD NUMERIC(8) label = 'TTC PD',
183 PIT_PD NUMERIC(8) label = 'PIT PD',
184 ORIG_LTV_RT NUMERIC(8) label = 'LTV at Origination',
185 LTV_RT NUMERIC(8) label = 'LTV',
186 LGD NUMERIC(8) label = 'LGD',
187 DOWNTURN_LGD NUMERIC(8) label = 'Downturn LGD',
188 START_DT DATE label = 'Start Date' FORMAT = &DTFMT.,
189 SCHEDULE_START_DT DATE label = 'Schedule Start Date' FORMAT = &DTFMT.,
190 MATURITY_DT DATE label = 'Maturity Date' FORMAT = &DTFMT.,
191 PRINCIPAL_PAYMENT_DT DATE label = 'Principal Payment Date' FORMAT = &DTFMT.,
192 INTEREST_PAYMENT_DT DATE label = 'Interest Payment Date' FORMAT = &DTFMT.,
193 NEXT_RESET_DT DATE label = 'Next Reset Date' FORMAT = &DTFMT.,
194 UNPAID_BALANCE_AMT NUMERIC(8) label = 'Unpaid Balance Amount',
195 ORIG_UNPAID_BALANCE_AMT NUMERIC(8) label = 'Unpaid Balance Amount at Origination',
196 CURRENT_RT NUMERIC(8) label = 'Current Contractual Interest Rate',
197 EFFECTIVE_INTEREST_RT NUMERIC(8) label = 'Effective Interest Rate',
198 MARGIN_RT NUMERIC(8) label = 'Interest Rate Margin',
199 PAYMENT_AMT NUMERIC(8) label = 'Payment Amount',
200 DAYS_PAST_DUE_CNT NUMERIC(8) label = 'Days Past Due',
201 MODIFICATION_DT DATE label = 'Modification Date' FORMAT = &DTFMT.,
202 ASSESSMENT_TYPE_DESC VARCHAR(100) label = 'Type of Loan Management',
203 COLLATERAL_DESC VARCHAR(200) label = 'Collateral Description',
204 WRITE_OFF_AMT NUMERIC(8) label = 'Write-off Amount',
205 PENDING_OFFER_FLG VARCHAR(3) label = 'Pending Offer Flag',
206 DRAWDOWN_PERIOD_FLG VARCHAR(3) label = 'Drawdown Period Flag',
207 ISSUED_GUARANTEE_FLG VARCHAR(3) label = 'Issued Guarantee Flag',
208 REVOLVING_FLG VARCHAR(3) label = 'Revolving Flag',
209 OFF_BALANCE_AMT NUMERIC(8) label = 'Off-Balance Amount',
210 CREDIT_LIMIT_AMT NUMERIC(8) label = 'Credit Limit Amount',
211 DELINQUENCY_FLG VARCHAR(3) label = 'Delinquency Flag',
212 MOST_RECENT_DELINQUENCY_DT DATE label = 'Most Recent Delinquency Date' FORMAT = &DTFMT.,
213 EVER_DELINQUENT_FLG VARCHAR(3) label = 'Ever Delinquent Flag',
214 LOAN_STATUS_DESC VARCHAR(32) label = 'Loan Status',
215 GEOGRAPHY_CD VARCHAR(32) label = 'Geography Code',
216 CCF NUMERIC(8) label = 'Credit Conversion Factor',
217 INTEREST_RATE_TYPE VARCHAR(8) label = 'Interest Rate Type',
218 INDEX_REFERENCE VARCHAR(16) label = 'Interest Rate Reference Curve',
219 INTEREST_PAYMENT_PERIOD_CD VARCHAR(16) label = 'Interest Payment Period Code',
220 INTEREST_RESET_PERIOD_CD VARCHAR(16) label = 'Interest Reset Period Code',
221 CAPITAL_PAYMENT_PERIOD_CD VARCHAR(16) label = 'Capital Payment Period Code',
222 PAYMENT_TYPE_CD VARCHAR(16) label = 'Type of Repayment Schedule',
223 DAY_BASIS_CD VARCHAR(16) label = 'Day Basis',
224 PCD_FLG VARCHAR(3) label = 'Purchased Credit Deteriorated Flag',
225 TDR_FLG VARCHAR(3) label = 'Troubled Debt Restructuring Flag',
226 FORECLOSURE_FLG VARCHAR(3) label = 'Foreclosure Flag',
227 RELATED_PARTY_FLG VARCHAR(3) label = 'Related Party Flag',
228 COLLATERAL_SUPPORT_FLG VARCHAR(3) label = 'Collateral Support Flag',
229 FINANCIAL_DIFFICULTIES_FLG VARCHAR(3) label = 'Financial Difficulties Flag',
230 UNCONDITIONALLY_CANCELABLE_FLG VARCHAR(3) label = 'Unconditionally Cancelable Flag',
231 ACCRUED_INTEREST_AMT NUMERIC(8) label = 'Accrued Interest',
232 FEE_AMT NUMERIC(8) label = 'Amount of Fees',
233 AMORTIZED_COST_AMT NUMERIC(8) label = 'Amortized Cost Basis Amount',
234 CUM_RECOVERY_AMT NUMERIC(8) label = 'Cumulative Recovery Amount',
235 NONACCRUAL_STATUS_FLG VARCHAR(3) label = 'Nonaccrual Status Flag',
236 INTEREST_INCOME_ON_NON_ACC_AMT NUMERIC(8) label = 'Interest Income on Non Accrual Amount',
237 COLLATERAL_VALUE_AMT NUMERIC(8) label = 'Collateral Value Amount',
238 PCD_PURCHASE_AMT NUMERIC(8) label = 'PCD Purchase Amount',
239 PCD_PAR_AMT NUMERIC(8) label = 'PCD Par Value Amount',
240 PCD_INIT_ALLOW_AMT NUMERIC(8) label = 'Initial PCD Allowance Amount',
241 PCD_PURCHASE_DT DATE label = 'PCD Purchase Date' FORMAT = &DTFMT.,
242 CUM_OTHER_ALLOWANCE_AMT NUMERIC(8) label = 'Cumulative Other Allowance Amount',
243 WEIGHT_EXPOSURE_SPECIFIC NUMERIC(8) label = 'Idiosyncratic Weight Exposure',
244 WEIGHT_EXPOSURE_SECTOR_1 NUMERIC(8) label = 'Sector 1 Weight Exposure',
245 WEIGHT_EXPOSURE_SECTOR_2 NUMERIC(8) label = 'Sector 2 Weight Exposure',
246 WEIGHT_EXPOSURE_SECTOR_3 NUMERIC(8) label = 'Sector 3 Weight Exposure',
247 PD_SD_SPECIFIC NUMERIC(8) label = 'Idiosyncratic PD Volatility',
248 PD_SD_SECTOR_1 NUMERIC(8) label = 'Sector 1 PD Volatility',
249 PD_SD_SECTOR_2 NUMERIC(8) label = 'Sector 2 PD Volatility',
250 PD_SD_SECTOR_3 NUMERIC(8) label = 'Sector 3 PD Volatility',
251 PD_SD NUMERIC(8) label = 'PD Volatility',
252 POOL_FLG VARCHAR(5) label = 'Data Pool Flag',
253 EXPOSURE_KEY_SPREADTYPE VARCHAR(16) label = 'Exposure Spread Type',
254 EXPOSURE_KEY_DISCOUNTTYPE VARCHAR(16) label = 'Exposure Discounting Method',
255 EXPOSURE_SENIORITY_CLASS NUMERIC(8) label = 'Exposure Seniority Class',
256 GUARANTEE_VALUE NUMERIC(8) label = 'Guarantee Value',
257 PHYSICAL_ASSET_VALUE NUMERIC(8) label = 'Physical Asset Value',
258 MITIGANT NUMERIC(8) label = 'Mitigant Flag',
259 RANDOMSEED NUMERIC(8) label = 'Random Seed Number',
260 DMA_EXPANSION_FLAG VARCHAR(1) label = "DMA Expansion Flag",
261 TO_RISK_RATING VARCHAR(3) label = "Market Risk Rating",
262 CONSTRAINT PRIM_KEY PRIMARY KEY (REPORTING_DT, ENTITY_ID, INSTID)
263);