SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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value_at_risk_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_VALUE_AT_RISK_DETAIL contains the required information for the SAS Visual Analytics ICAAP Report
8 \details
9
10 | PK |Variable |Type | Required? |Relationships |Label |Description |
11 |--------------|---------------------------------------|------------------|-----------|---------------------------------------------|--------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
12 |![ ](pk.jpg) | ANALYSIS_RUN_ID | NUMERIC | Y | RGF Analysis Run Key | Analysis Run Id | Unique key of the Analysis Run that created the results |
13 |![ ](pk.jpg) | WORKGROUP | VARCHAR(32) | Y | | Workgroup | SAS Risk Workgroup |
14 |![ ](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 |
15 |![ ](pk.jpg) | <b>ENTITY_ID</b> | VARCHAR(32) | N | \link entity.sas \endlink | Entity Identifier | Entity Identifier |
16 |![ ](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 |
17 |![ ](pk.jpg) | INSTID | VARCHAR(64) | Y | | Instrument Identifier | Financial instrument identifier |
18 |![ ](pk.jpg) | SCENARIO_ID | VARCHAR(32) | Y | | Scenario Id | Unique scenario id used for the analysis. Each forecast time has a separate scenario id |
19 |![ ](pk.jpg) | FORECAST_TIME | NUMERIC(8) | N | | Forecast Time | Forecast time horizon |
20 |![ ](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 |
21 | | PROJECT_NAME | VARCHAR(64) | Y | | Project Name | Name of the cycle in which the data was created |
22 | | ANALYSIS_RUN_NAME | VARCHAR(150) | Y | | Analysis Run Name | Name of the analysis run that created this data |
23 | | ANALYSIS_TYPE_CD | VARCHAR(32) | Y | | Analysis Type Code | Type of analysis run that created this data |
24 | | SCENARIO_NAME | VARCHAR(512) | Y | | Scenario Name | Name of the business scenario: it groups scenario id values across multiple forecast horizons |
25 | | RULE_ID | VARCHAR(32) | N | | Adjustment Rule Id | Adjustment Rule Id |
26 | | RULE_DESC | VARCHAR(4096) | N | | Adjustment Rule Description | Adjustment Rule Description |
27 | | INSTTYPE | VARCHAR(32) | N | | Instrument Type | Instrument type |
28 | | PORTFOLIO_SEGMENT | VARCHAR(50) | N | | Portfolio Segment | Portfolio segmentation |
29 | | ACCOUNTING_METHOD | VARCHAR(14) | N | | Accounting Method | Whether the instrument was evaluated at ammortized cost or at fair value |
30 | | ASSET_TYPE_DESC | VARCHAR(200) | N | | Asset Type | Asset type categorization |
31 | | PRODUCT_CD | VARCHAR(200) | N | \link map_product_hierarchy.sas \endlink | Product Code | Product Code |
32 | | PRODUCT_LEV1 | VARCHAR(200) | N | | Product Category | Product Category |
33 | | PRODUCT_LEV2 | VARCHAR(200) | N | | Product Sub-Category | Product Sub-Category |
34 | | PRODUCT_LEV3 | VARCHAR(200) | N | | Product Name | Product Name |
35 | | REGULATORY_PRODUCT_LEV1 | VARCHAR(200) | N | | FR Y-14 Category 1 | FR Y-14 Category 1 |
36 | | REGULATORY_PRODUCT_LEV2 | VARCHAR(200) | N | | FR Y-14 Category 2 | FR Y-14 Category 2 |
37 | | REGULATORY_PRODUCT_LEV3 | VARCHAR(200) | N | | FR Y-14 Category 3 | FR Y-14 Category 3 |
38 | | REGULATORY_PRODUCT_LEV4 | VARCHAR(200) | N | | FR Y-14 Category 4 | FR Y-14 Category 4 |
39 | | LOB_ID | VARCHAR(64) | N | \link map_lob_hierarchy.sas \endlink | Line of Business Id | Line of Business Id (reporting dimension). |
40 | | LOB_LEV1 | VARCHAR(200) | N | | Line of Business Level 1 | Line of Business Level 1 (reporting dimension). |
41 | | LOB_LEV2 | VARCHAR(200) | N | | Line of Business Level 2 | Line of Business Level 2 (reporting dimension). |
42 | | LOB_LEV3 | VARCHAR(200) | N | | Line of Business Level 3 | Line of Business Level 3 (reporting dimension). |
43 | | GEOGRAPHY_CD | VARCHAR(32) | N | \link map_geo_hierarchy.sas \endlink | Geography Code | Geography Code (reporting dimension). |
44 | | GEOGRAPHY_LEV1 | VARCHAR(100) | N | | Geography Level 1 | Geography Level 1 (reporting dimension). |
45 | | GEOGRAPHY_LEV2 | VARCHAR(100) | N | | Geography Level 2 | Geography Level 2 (reporting dimension). |
46 | | GEOGRAPHY_LEV3 | VARCHAR(100) | N | | Geography Level 3 | Geography Level 3 (reporting dimension). |
47 | | GEOGRAPHY_LEV4 | VARCHAR(100) | N | | Geography Level 4 | Geography Level 4 (reporting dimension). |
48 | | SECTOR_DESC | VARCHAR(100) | N | | Sector Description | Sector Description |
49 | | CURRENCY | VARCHAR(3) | N | | Currency | Original currency |
50 | | ORIG_RATING_AGENCY | VARCHAR(32) | N | | Rating Agency at Origination | Credit Rating Agency (i.e. FICO, EQUIFAX, S&P) |
51 | | ORIG_RATING_GRADE | VARCHAR(32) | N | | Rating Grade/Score at Origination | Credit Rating Grade/Score. Example: 750 (FICO), AAA (S&P), etc. |
52 | | 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> |
53 | | RATING_AGENCY | VARCHAR(32) | N | | Rating Agency | Credit Rating Agency (i.e. FICO, EQUIFAX, S&P) |
54 | | RATING_GRADE | VARCHAR(32) | N | | Rating Grade/Score | Credit Rating Grade/Score. Example: 750 (FICO), AAA (S&P), etc. |
55 | | 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> |
56 | | 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. |
57 | | 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. |
58 | | 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. |
59 | | DELINQUENCY_FLG | VARCHAR(3) | N | | Delinquency Flag | Indicates delinquency (Y) or not (N) |
60 | | EVER_DELINQUENT_FLG | VARCHAR(32) | N | | Ever Delinquent Flag | Flag indicating whether there has ever been a delinquency |
61 | | LOAN_STATUS_DESC | VARCHAR(32) | N | | Loan Status | Status of the loan (for instance Impaired/Normal/Special Mention/Pipeline/Written-off...). |
62 | | PCD_FLG | VARCHAR(3) | N | | Purchased Credit Deteriorated Assets Flag | Identifies purchased financial assets with credit deterioration |
63 | | TDR_FLG | VARCHAR(3) | N | | Troubled Debt Restructuring Flag | Identifies loans that are going through a debt restructuring due to economic or legal reasons related to a debtor's financial difficulties |
64 | | FORECLOSURE_FLG | VARCHAR(3) | N | | Foreclosure Flag | Indicates a foreclosure action on the mortgage |
65 | | RELATED_PARTY_FLG | VARCHAR(3) | N | | Related Party Flag | Identify related parties for disclosure (refer to FAS57) |
66 | | 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) |
67 | | FINANCIAL_DIFFICULTIES_FLG | VARCHAR(3) | N | | Financial Difficulties Flag | Identify counterparties that are experiencing financial difficulties (ASU 2016-13 326-20-50-20) |
68 | | UNCONDITIONALLY_CANCELABLE_FLG | VARCHAR(3) | N | | Unconditionally Cancelable Flag | Flag: Y/N. Identifies instruments for which a banking organization may, at any time, with or without cause, refuse to extend credit |
69 | | DEACTIVATION_FLG | VARCHAR(3) | N | | Deactivation Flag | Flag: Y/N. Identifies instruments that are eliminated from the original portfolio in a given activation scenario and horizon |
70 | | SYNTHETIC_INSTRUMENT_FLG | VARCHAR(3) | N | | Synthetic Instrument Flag | Flag: Y/N. Identifies synthetic instruments that were generated based on the user business assumptions |
71 | | ACTIVATION_SCENARIO | VARCHAR(32) | N | | Activation Scenario | The Scenario Id for which the synthetic instrument was generated and processed. Only relevant for synthetic instruments. |
72 | | ACTIVATION_HORIZON | NUMERIC(8) | N | | Activation Horizon | The time horizon in which the synthetic instrument becomes active (i.e. it is originated). For deactivated positions, this is the time horizon when the instrument is removed from the portfolio (i.e. short selling) |
73 | | START_DT | DATE | N | | Start Date | Loan start/origination date |
74 | | MATURITY_DT | DATE | N | | Maturity Date | Loan maturity date |
75 | | MOVEMENT_DESC | VARCHAR(100) | N | | Movement Description | Custom description provided by the user when executing the adjustment allocation analysis. Used to provide a user specific comment about the change being applied on top of the model results |
76 | | 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 |
77 | | MOVEMENT_TYPE | VARCHAR(100) | N | | Movement Type | Type of movement or adjustment. Looked up from \link map_movement_type.sas \endlink |
78 | | MOVEMENT_CATEGORY | VARCHAR(100) | N | | Movement Category | Movement or Adjustment category. Looked up from \link map_movement_type.sas \endlink |
79 | | FORECAST_PERIOD | VARCHAR(32) | N | | Forecast Period | Forecast Period expressed as the number of intervals from the Reporting Date. I.e. Year 0 (current period), Year 1, .., Year N |
80 | | DAYS_PAST_DUE_CNT | NUMERIC(8) | N | | Days Past Due | Number of days past the payment due date |
81 | | ORIG_UNPAID_BALANCE_AMT | NUMERIC(8) | N | | Unpaid Balance Amount at Origination | Unpaid balance of the instrument at the origination dat e |
82 | | ORIG_PIT_PD | NUMERIC(8) | N | | PIT PD at Origination | Point-In-Time Probablilty of Default at origination |
83 | | ORIG_LTV_RT | NUMERIC(8) | N | | LTV at Origination | Loan-To-Value Ratio at origination |
84 | | PIT_PD | NUMERIC(8) | N | | PIT PD | Point-In-Time Probablilty of Default |
85 | | LTV_RT | NUMERIC(8) | N | | LTV | Loan-to-Value expressed as a percentageof the collateral |
86 | | LGD | NUMERIC(8) | N | | LGD | Loss Given Default |
87 | | CURRENT_RT | NUMERIC(8) | N | | Current Rate | Decimal value |
88 | | EFFECTIVE_INTEREST_RT | NUMERIC(8) | N | | Effective Interest Rate | Decimal value |
89 | | MARGIN_RT | NUMERIC(8) | N | | Interest Rate Margin | Decimal value. Margin over the reference interest rate. |
90 | | CREDIT_LIMIT_AMT | NUMERIC(8) | N | | Credit Limit Amount | Indicates maximum allowed credit exposure on the contract. |
91 | | UNPAID_BALANCE_AMT | NUMERIC(8) | N | | Unpaid Balance Amount | Unpaid balance of the instrument at the reporting date |
92 | | 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 |
93 | | WRITE_OFF_AMT | NUMERIC(8) | N | | (Current Period) 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) |
94 | | FEE_AMT | NUMERIC(8) | N | | Amount of Fees | Collected fees |
95 | | ACCRUED_INTEREST_AMT | NUMERIC(8) | N | | Accrued Interest | Accrued Interest |
96 | | PCD_PURCHASE_AMT | NUMERIC(8) | N | | PCD Purchase Amount | Purchase price of PCD assets is reported on PCD Reconciliation disclosure template. |
97 | | ECL_12M | NUMERIC(8) | N | | ECL (12 Months) | Expected Credit Loss over the next 12-months horizon |
98 | | ECL_LIFETIME | NUMERIC(8) | N | | ECL (Lifetime) | Expected Credit Loss over the lifetime of the loan |
99 | | ECL_STAGE1 | NUMERIC(8) | N | | ECL Stage 1 | Expected Credit Loss for performing loans (Stage 1). |
100 | | ECL_STAGE2 | NUMERIC(8) | N | | ECL Stage 2 | Expected Credit Loss for loans that show sign of credit deterioration (Stage 2) |
101 | | ECL | NUMERIC(8) | N | | ECL (Staged) | Staged Expected Credit Loss (Stage 1 + Stage 2) |
102 | | INCURRED_LOSS_AMT | NUMERIC(8) | N | | Incurred Loss | Incurred loss |
103 | | ALLOWANCE_AMT | NUMERIC(8) | N | | Allowance | Allowance for loan losses: Staged ECL + Incurred Loss |
104 | | RWA | NUMERIC(8) | N | | RWA | Risk Weighted Assets |
105 | | RULE_ID | VARCHAR(32) | N | | Posting Id | Management action posting id |
106 | | RULE_DESC | VARCHAR(4096) | N | | Action Description | Management action description |
107 | | Component_ValueAtRisk | NUMERIC(8) | N | | Value-at-Risk (component) | Value-at-Risk contribution per Instid (linear decomposition) |
108 | | Component_Economic_Capital | NUMERIC(8) | N | | Economic Capital (component) | Economic Capital contribution per Instid (linear decomposition) |
109 | | ValueAtRisk | NUMERIC(8) | N | | Value-at-Risk | Value-at-Risk contribution per Instid |
110 | | ValueAtRisk_Alpha | NUMERIC(8) | N | | Value-at-Risk Alpha | Value-at-Risk quantile, e.g. 0.95 |
111 | | Economic_Capital | NUMERIC(8) | N | | Economic Capital | Economic Capital contribution per Instid |
112 | | VAR_SECTOR1 | NUMERIC(8) | N | | Value-at-Risk Sector 1 | Value-at-Risk contribution per Instid (sector 1) |
113 | | VAR_SECTOR2 | NUMERIC(8) | N | | Value-at-Risk Sector 2 | Value-at-Risk contribution per Instid (sector 2) |
114 | | VAR_SECTOR3 | NUMERIC(8) | N | | Value-at-Risk Sector 3 | Value-at-Risk contribution per Instid (sector 3) |
115 | | VAR_SECTOR4 | NUMERIC(8) | N | | Value-at-Risk Sector 4 | Value-at-Risk contribution per Instid (sector 4) |
116 | | EconomicCapital_SECTOR1 | NUMERIC(8) | N | | Economic Capital Sector 1 | Value-at-Risk contribution per Instid (sector 1) |
117 | | EconomicCapital_SECTOR2 | NUMERIC(8) | N | | Economic Capital Sector 2 | Value-at-Risk contribution per Instid (sector 2) |
118 | | EconomicCapital_SECTOR3 | NUMERIC(8) | N | | Economic Capital Sector 3 | Value-at-Risk contribution per Instid (sector 3) |
119 | | EconomicCapital_SECTOR4 | NUMERIC(8) | N | | Economic Capital Sector 4 | Value-at-Risk contribution per Instid (sector 4) |
120 | | ExpectedLoss | NUMERIC(8) | N | | Expected Loss | Expected Loss |
121 | | EvalDate | DATE | N | | Evaluation Date | Date of forecast evaluation |
122 | | HORIZON | NUMERIC(8) | N | | Horizon | Forecast horizon. |
123 | | INITIAL_RISK_RATING | VARCHAR(32) | N | | Initial Risk Rating | Initial Credit Rating Grade. Example: AAA (S&P) |
124 | | TO_RISK_RATING | VARCHAR(32) | N | | Migrated Risk Rating | Migrated Credit Rating Grade. Example: AAA (S&P) |
125 | | OUTSTANDING_AMT | NUMERIC(8) | N | | Outstanding Amount | Outstanding balance of the instrument at the reporting date |
126 | | DEFAULT_AMT | NUMERIC(8) | N | | Defaulted Amount | Defaulted balance of the instrument at the reporting date |
127 | | LGD | NUMERIC(8) | N | | LGD | Loss Given Default |
128 | | PD | NUMERIC(8) | N | | PD | Periodic probability of default |
129 | | EAD_AMT | NUMERIC(8) | N | | Exposure at Default Amount | Periodic exposure at default amount |
130 | | EL | NUMERIC(8) | N | | Expected Loss Rate | Periodic expected loss rate |
131 | | EL_AMT | NUMERIC(8) | N | | Expected Loss Amount | Periodic expected loss amount |
132 | | BASECASE_EL | NUMERIC(8) | N | | Time 0 Expected Loss Amount | Time 0 expected loss amount |
133 | | INDIVIDUAL_PROVISION_AMT | NUMERIC(8) | N | | Individual Provision Amount | Individual Provision Amount |
134 | | COLLECTIVE_PROVISION_AMT | NUMERIC(8) | N | | Collective Provision Amount | Collective Provision Amount |
135 | | TOTAL_PROVISION_AMT | NUMERIC(8) | N | | Total Provision Amount | Total Provision Amount |
136 | | NCO_AMT | NUMERIC(8) | N | | Net Charge Off Amount | Net Charge Off Amount |
137
138 \ingroup ddlReportMart
139 \author SAS Institute Inc.
140 \date 2018
141*/
142
143create table &libref..VALUE_AT_RISK_DETAIL (
144 ANALYSIS_RUN_ID NUMERIC label = "Analysis Run Id",
145 ANALYSIS_RUN_NAME VARCHAR(150) label = "Analysis Run Name",
146 ANALYSIS_TYPE_CD VARCHAR(32) label = "Analysis Type Code",
147 LOAD_ID VARCHAR(32) label = "Load Id",
148 REPORTING_DT DATE label = "Reporting Date" FORMAT = yymmddd10.,
149 ENTITY_ID VARCHAR(32) label = "Entity",
150 WORKGROUP VARCHAR(32) label = "Workgroup",
151 PROJECT_NAME VARCHAR(64) label = "Project Name",
152 SCENARIO_ID VARCHAR(32) label = 'Scenario Id',
153 SCENARIO_NAME VARCHAR(512) label = 'Scenario Name',
154 RULE_ID VARCHAR(32) label = 'Adjustment Rule Id',
155 RULE_DESC VARCHAR(4096) label = 'Adjustment Rule Description',
156 INSTID VARCHAR(64) label = 'Instrument Identifier',
157 INSTTYPE VARCHAR(32) label = 'Instrument Type',
158 PORTFOLIO_SEGMENT VARCHAR(50) label = 'Portfolio Segment',
159 ACCOUNTING_METHOD VARCHAR(14) label = 'Accounting Method',
160 ASSET_TYPE_DESC VARCHAR(200) label = 'Asset Type',
161 PRODUCT_CD VARCHAR(100) label = 'Product Code',
162 PRODUCT_LEV1 VARCHAR(200) label = 'Product Category',
163 PRODUCT_LEV2 VARCHAR(200) label = 'Product Sub-Category',
164 PRODUCT_LEV3 VARCHAR(200) label = 'Product Name',
165 REGULATORY_PRODUCT_LEV1 VARCHAR(200) label = 'FR Y-14 Category 1',
166 REGULATORY_PRODUCT_LEV2 VARCHAR(200) label = 'FR Y-14 Category 2',
167 REGULATORY_PRODUCT_LEV3 VARCHAR(200) label = 'FR Y-14 Category 3',
168 REGULATORY_PRODUCT_LEV4 VARCHAR(200) label = 'FR Y-14 Category 4',
169 LOB_ID VARCHAR(100) label = 'Line of Business Id',
170 LOB_LEV1 VARCHAR(200) label = 'Line of Business Level 1',
171 LOB_LEV2 VARCHAR(200) label = 'Line of Business Level 2',
172 LOB_LEV3 VARCHAR(200) label = 'Line of Business Level 3',
173 GEOGRAPHY_CD VARCHAR(32) label = 'Geography Code',
174 GEOGRAPHY_LEV1 VARCHAR(100) label = "Geography Level 1",
175 GEOGRAPHY_LEV2 VARCHAR(100) label = "Geography Level 2",
176 GEOGRAPHY_LEV3 VARCHAR(100) label = "Geography Level 3",
177 GEOGRAPHY_LEV4 VARCHAR(100) label = "Geography Level 4",
178 SECTOR_DESC VARCHAR(100) label = 'Sector Description',
179 CURRENCY VARCHAR(3) label = 'Currency',
180 ORIG_RATING_AGENCY VARCHAR(32) label = 'Rating Agency at Origination',
181 ORIG_RATING_GRADE VARCHAR(32) label = 'Rating Grade at Origination',
182 ORIG_STD_RATING_GRADE VARCHAR(32) label = 'Standardised Rating Grade at Origination',
183 RATING_AGENCY VARCHAR(32) label = 'Rating Agency',
184 RATING_GRADE VARCHAR(32) label = 'Rating Grade',
185 STD_RATING_GRADE VARCHAR(32) label = 'Standardised Rating Grade',
186 DRAWDOWN_PERIOD_FLG VARCHAR(3) label = 'Drawdown Period Flag',
187 ISSUED_GUARANTEE_FLG VARCHAR(3) label = 'Issued Guarantee Flag',
188 REVOLVING_FLG VARCHAR(3) label = 'Revolving Flag',
189 DELINQUENCY_FLG VARCHAR(3) label = 'Delinquency Flag',
190 EVER_DELINQUENT_FLG VARCHAR(3) label = 'Ever Delinquent Flag',
191 LOAN_STATUS_DESC VARCHAR(32) label = 'Loan Status',
192 PCD_FLG VARCHAR(3) label = 'Purchased Credit Deteriorated Flag',
193 TDR_FLG VARCHAR(3) label = 'Troubled Debt Restructuring Flag',
194 FORECLOSURE_FLG VARCHAR(3) label = 'Foreclosure Flag',
195 RELATED_PARTY_FLG VARCHAR(3) label = 'Related Party Flag',
196 COLLATERAL_SUPPORT_FLG VARCHAR(3) label = 'Collateral Support Flag',
197 FINANCIAL_DIFFICULTIES_FLG VARCHAR(3) label = 'Financial Difficulties Flag',
198 UNCONDITIONALLY_CANCELABLE_FLG VARCHAR(3) label = 'Unconditionally Cancelable Flag',
199 DEACTIVATION_FLG VARCHAR(3) label = 'Deactivation Flag',
200 SYNTHETIC_INSTRUMENT_FLG VARCHAR(3) label = 'Synthetic Instrument Flag',
201 ACTIVATION_SCENARIO VARCHAR(32) label = 'Activation Scenario',
202 ACTIVATION_HORIZON NUMERIC(8) label = 'Activation Horizon',
203 START_DT DATE label = 'Start Date' FORMAT = yymmddd10.,
204 MATURITY_DT DATE label = 'Maturity Date' FORMAT = yymmddd10.,
205 MOVEMENT_ID NUMERIC(8) label = 'Movement Id',
206 MOVEMENT_DESC VARCHAR(100) label = 'Movement Description',
207 MOVEMENT_TYPE_CD VARCHAR(32) label = 'Movement Type Code',
208 MOVEMENT_TYPE VARCHAR(100) label = 'Movement Type',
209 MOVEMENT_CATEGORY VARCHAR(100) label = 'Movement Category',
210 FORECAST_PERIOD VARCHAR(32) label = 'Forecast Period',
211 FORECAST_TIME NUMERIC(8) label = 'Forecast Time',
212 DAYS_PAST_DUE_CNT NUMERIC(8) label = 'Days Past Due',
213 ORIG_UNPAID_BALANCE_AMT NUMERIC(8) label = 'Unpaid Balance Amount at Origination' FORMAT = comma25.2,
214 ORIG_PIT_PD NUMERIC(8) label = 'PIT PD at Origination' FORMAT = percent8.2,
215 ORIG_LTV_RT NUMERIC(8) label = 'LTV at Origination' FORMAT = percent8.2,
216 PIT_PD NUMERIC(8) label = 'PIT PD' FORMAT = percent8.2,
217 LTV_RT NUMERIC(8) label = 'LTV' FORMAT = percent8.2,
218 LGD NUMERIC(8) label = 'LGD' FORMAT = percent8.2,
219 CURRENT_RT NUMERIC(8) label = 'Current Contractual Interest Rate' FORMAT = percent8.2,
220 EFFECTIVE_INTEREST_RT NUMERIC(8) label = 'Effective Interest Rate' FORMAT = percent8.2,
221 MARGIN_RT NUMERIC(8) label = 'Interest Rate Margin' FORMAT = percent8.2,
222 CREDIT_LIMIT_AMT NUMERIC(8) label = 'Credit Limit Amount' FORMAT = comma25.2,
223 UNPAID_BALANCE_AMT NUMERIC(8) label = 'Unpaid Balance Amount' FORMAT = comma25.2,
224 OFF_BALANCE_AMT NUMERIC(8) label = 'Off-Balance Amount' FORMAT = comma25.2,
225 WRITE_OFF_AMT NUMERIC(8) label = 'Write-off Amount' FORMAT = comma25.2,
226 FEE_AMT NUMERIC(8) label = 'Amount of Fees' FORMAT = comma25.2,
227 ACCRUED_INTEREST_AMT NUMERIC(8) label = 'Accrued Interest' FORMAT = comma25.2,
228 PCD_PURCHASE_AMT NUMERIC(8) label = 'PCD Purchase Amount' FORMAT = comma25.2,
229 ECL_12M NUMERIC(8) label = 'ECL (12 Months)' FORMAT = comma25.2,
230 ECL_LIFETIME NUMERIC(8) label = 'ECL (Lifetime)' FORMAT = comma25.2,
231 ECL_STAGE1 NUMERIC(8) label = 'ECL Stage 1' FORMAT = comma25.2,
232 ECL_STAGE2 NUMERIC(8) label = 'ECL Stage 2' FORMAT = comma25.2,
233 ECL NUMERIC(8) label = 'ECL (Staged)' FORMAT = comma25.2,
234 INCURRED_LOSS_AMT NUMERIC(8) label = 'Incurred Loss' FORMAT = comma25.2,
235 ALLOWANCE_AMT NUMERIC(8) label = 'Allowance' FORMAT = comma25.2,
236 RWA NUMERIC(8) label = 'RWA' FORMAT = comma25.2,
237 RULE_ID VARCHAR(32) label = 'Posting Id',
238 RULE_DESC VARCHAR(4096) label = 'Management Action Description',
239 Component_ValueAtRisk NUMERIC(8) label = 'Value-at-Risk (component)' FORMAT = comma25.2,
240 Component_Economic_Capital NUMERIC(8) label = 'Economic Capital (component)' FORMAT = comma25.2,
241 ValueAtRisk NUMERIC(8) label = 'Value-at-Risk' FORMAT = comma25.2,
242 ValueAtRisk_Alpha NUMERIC(8) label = 'Value-at-Risk Alpha' FORMAT = comma25.2,
243 Economic_Capital NUMERIC(8) label = 'Economic Capital' FORMAT = comma25.2,
244 VAR_SECTOR1 NUMERIC(8) label = 'Value-at-Risk Sector 1' FORMAT = comma25.2,
245 VAR_SECTOR2 NUMERIC(8) label = 'Value-at-Risk Sector 2' FORMAT = comma25.2,
246 VAR_SECTOR3 NUMERIC(8) label = 'Value-at-Risk Sector 3' FORMAT = comma25.2,
247 VAR_SECTOR4 NUMERIC(8) label = 'Value-at-Risk Sector 4' FORMAT = comma25.2,
248 EconomicCapital_SECTOR1 NUMERIC(8) label = 'Economic Capital Sector 1' FORMAT = comma25.2,
249 EconomicCapital_SECTOR2 NUMERIC(8) label = 'Economic Capital Sector 2' FORMAT = comma25.2,
250 EconomicCapital_SECTOR3 NUMERIC(8) label = 'Economic Capital Sector 3' FORMAT = comma25.2,
251 EconomicCapital_SECTOR4 NUMERIC(8) label = 'Economic Capital Sector 4' FORMAT = comma25.2,
252 ExpectedLoss NUMERIC(8) label = 'Expected Loss' FORMAT = comma25.2,
253 EvalDate DATE label = 'Evaluation Date' FORMAT = yymmddd10.,
254 HORIZON NUMERIC(8) label = 'Horizon',
255 INITIAL_RISK_RATING VARCHAR(32) label = 'Initial Risk Rating',
256 TO_RISK_RATING VARCHAR(32) label = 'Migrated Risk Rating',
257 OUTSTANDING_AMT NUMERIC(8) label = 'Outstanding Amount' FORMAT = comma25.2,
258 DEFAULT_AMT NUMERIC(8) label = 'Default Amount' FORMAT = comma25.2,
259 PD NUMERIC(8) label = 'PD' FORMAT = percent8.2,
260 EAD_AMT NUMERIC(8) label = 'EAD Amount' FORMAT = comma25.2,
261 EL NUMERIC(8) label = 'EL Rate' FORMAT = percent8.2,
262 EL_AMT NUMERIC(8) label = 'EL Amount' FORMAT = comma25.2,
263 BASECASE_EL NUMERIC(8) label = 'Time 0 EL Amount' FORMAT = comma25.2,
264 INDIVIDUAL_PROVISION_AMT NUMERIC(8) label = 'Individual Provision Amount' FORMAT = comma25.2,
265 COLLECTIVE_PROVISION_AMT NUMERIC(8) label = 'Collective Provision Amount' FORMAT = comma25.2,
266 TOTAL_PROVISION_AMT NUMERIC(8) label = 'Total Provision Amount' FORMAT = comma25.2,
267 NCO_AMT NUMERIC(8) label = 'Net Charge Off Amount' FORMAT = comma25.2,
268 EXPECTEDSHORTFALL NUMERIC(8) label = 'Expected Short Fall' FORMAT = comma25.2,
269 COMPONENT_EXPECTEDSHORTFALL NUMERIC(8) label = 'Expected Short Fall (component)' FORMAT = comma25.2,
270 ALTYPE VARCHAR(5) label = 'AL Type',
271 ASSET_CLASS VARCHAR(32) label = 'Asset Class',
272 COUNTERPARTY_NAME VARCHAR(42) label = 'Counterparty Name',
273 COUNTERPARTYTYPE VARCHAR(100) label = 'Counterparty Type',
274 VARWO NUMERIC(8) label = 'Value-at-risk (without)' FORMAT = comma25.2,
275 INCVAR NUMERIC(8) label = 'Value-at-risk (incremental)' FORMAT = comma25.2,
276 MYVAR NUMERIC(8) label = 'Value-at-risk (custom measure)' FORMAT = comma25.2,
277 MYVAR95 NUMERIC(8) label = 'Value-at-risk (custom measure 95)' FORMAT = comma25.2,
278 ESWO NUMERIC(8) label = 'Expected Shortfall (without)' FORMAT = comma25.2,
279 INCES NUMERIC(8) label = 'Expected Shortfall (incremental)' FORMAT = comma25.2,
280 MYES NUMERIC(8) label = 'Expected Shortfall (custom measure)' FORMAT = comma25.2,
281 MYES95 NUMERIC(8) label = 'Expected Shortfall (custom measure 95)' FORMAT = comma25.2,
282 SIMULATIONPART VARCHAR(32) label = 'Simulation Output Variables'
283);