SME Credit Data

From Open Risk Manual

Definition

The SME Credit Data Table enumerates a list of variables that can be used for diverse SME Credit Risk analyses, in particular:

  • Support Acceptance Credit Scoring Models for new clients
  • Support Behavioral Credit Scoring / Rating Models for existing clients
  • Support Collection Scoring Models for clients in difficulty

Composition and Structure

  • The starting point of the table is the European Banking Authority's recommended information set (data template) for Non-Performing Loans, in particular the EBA NPL Counterparty Table as it applies to Borrowers that are SME Legal Entities
  • The SME scope is
    • SME's that are sufficiently large that data of any related Private Individuals are not relevant
    • Are not listed in public markets
    • Are not already designated Non-Performing Loan
  • The Modeling scope is SME Credit Score or Rating, linked to Risk Ranking and Probability of Default of the SME Borrower, not Expected Credit Loss or Loss Given Default (which would require additional product and collateral data)
  • Either Credit Scores or Credit Ratings may available from various possible sources (external and/or internal)
  • The variables are grouped according to families of related concepts. The context and further meaning and utility of these are discussed in the SME Credit Score Factor entry
  • Variables that are of Array type (Cashflow Histories) are listed with reference to the more detailed table
  • Current focus is on traditional Credit Data sources. With meaningful Alternative Credit Data sources to be added in the future
  • Variables are listed as raw inputs. No attempt to form ratios or other scaled forms
  • When reference is made to formal choice lists (Sector, Geography, Currency etc.), the dictionaries mentioned are the same as the EBA NPL Template

Table Fields

Field Type Definition Acceptance Behavioral Collections
Identification
Counterparty Identifier Text Unique internal identifier for the Counterparty. One or multiple Counterparties can be part of a Counterparty Y Y Y
Legal Entity Identifier Choice Global standard 20-character corporate identifier of the SME Counterparty (If available)
Name of Counterparty Text Name used to refer to the Counterparty Y Y Y
Registration number Text Company registration number of the Corporate Counterparty according to the country specific registration office Y Y Y
Company and Business Information
Date of Incorporation Date Date that the Corporate Counterparty was incorporated as a company, partnership or fund, and therefore became a separate legal entity from its owners, with its own rights and obligations Y Y Y
Address of Registered Location Text Address where the Corporate Counterparty is registered, including flat / house number Y Y Y
City of Registered Location Choice City where the Corporate Counterparty is registered Y Y Y
Geographic Region of Registered Location Choice Province or Region where the Corporate Counterparty is registered Y Y Y
Geographic Region Classification Choice NUTS3 classification used for the field "Geographic Region of Registered Location", i.e. NUTS3 2013 (1), NUTS3 2010 (2), NUTS3 2006 (3), NUTS3 2003 (4), Other (5) Y Y Y
Postcode of Registered Location Text Postcode where the Corporate Counterparty is registered Y Y Y
Country of Registered Location Choice Country where the Corporate Counterparty is registered Y Y Y
Enterprise Size Choice Classification of enterprises by size for the Corporate Counterparty Y Y Y
Industry Segment Choice Industry in which the Corporate Counterparty mainly operates Y Y Y
Business Description Text Description of the business operations of the Corporate Counterparty, providing more detail for field "Industry Segment" Y Y Y
Number of FTE Number Number of full-time employees (or equivalent) working for the Corporate Counterparty as at the last financial reporting date Y Y Y
Financial Statements
Basis of Financial Statements Choice Financial reporting practice the Corporate Counterparty has adopted Y Y Y
Date of Latest Annual Financial Statements Date Date of the latest available Financial Statements Y Y Y
Currency of Financial Statements Choice Currency that the latest available financial statements are expressed in Y Y Y
Fixed Assets Number Amount of fixed assets held by the Corporate Counterparty as per the latest available financial statements Y Y Y
Current Assets Number Amount of current assets held by the Corporate Counterparty, excluding cash and cash equivalent items as per the latest available financial statements Y Y Y
Cash and Cash Equivalent Items Number Amount of cash and cash equivalent items held by the Corporate Counterparty as per the latest available financial statements Y Y Y
Total Assets Number Amount of total assets held by the Corporate Counterparty as per the latest available financial statements Y Y Y
Net Assets Number Amount of net assets held by the Corporate Counterparty as per the latest available financial statements Y Y Y
Total Liabilities Number Amount of total liabilities held by the Corporate Counterparty on the balance sheet as defined by the applicable accounting standard as per the latest available financial statements Y Y Y
Total Debt Number Amount of total debt held by the Corporate Counterparty as per the latest available financial statements Y Y Y
Annual Revenue Number Amount of annual revenue held by the Corporate Counterparty as per the latest available financial statements Y Y Y
Annual EBIT Number Amount of annual EBIT held by the Corporate Counterparty as per the latest available financial statements Y Y Y
Financials Audited Boolean Indicator as to whether the financial statements have been audited or not by the Corporate Counterparty Y Y Y
Relevant Product Information
Cross Default for Counterparty Choice Indicator as to whether contractual breach of any loans held by the Counterparty would trigger the default event of any other loans N Y Y
Description of Cross Default Text Description of cross default when "Partial" is selected in field "Cross Default for Counterparty" N Y Y
Cross Collateralisation for Counterparty Choice Indicator as to whether all / some of the loans held by the Counterparty are secured by all / some of the collaterals held by the Counterparty N Y Y
Description of Cross Collateralisation Text Description of cross collateralisation when "Partial" is selected in field "Cross Collateralisation for Counterparty" N Y Y
Other Products with Institution Text Other products that the Counterparty holds with the Institution N Y Y
Contingent Obligations Boolean Indicator as to whether the Corporate Counterparty has contingent obligations N Y Y
Description of Contingent Obligations Text Description of contingent obligations when "Yes" is selected in field "Contingent Obligations" N Y Y
Behavioral Information
Date of Last Contact Date Date of last direct contact with the Counterparty N Y Y
Deposit Balance with Institution Number Deposit amount the Counterparty holds with the Institution N Y Y
Currency of Deposit Choice Currency that the deposit held with the Institution is expressed in N Y Y
Historical Collection & Repayment Schedule Arrays History of Repayments and any Delinquencies N Y Y
Indicator of Counterparty Cooperation Boolean Indicator as to whether the Counterparty is cooperative or not N N Y
External Credit Information
Internal Credit Rating at Origination Text Internal credit rating issued to the Counterparty applicable at the point in time when the Counterparty became a customer. For systems that support credit ratings N Y Y
External Credit Rating at Origination Text External credit rating issued to the Corporate Counterparty applicable at the point in time when the Counterparty became a customer. For larger SME's that my have external ratings Y Y Y
Source of External Credit Rating at Origination Text From which agency the external credit rating at the point in time when the Counterparty became a customer Y Y Y
External Credit Scoring at Origination Text External credit scoring issued to the Private Individual Counterparty at loan origination Y Y Y
Source of External Credit Scoring at Origination Text From which agency the external credit scoring at the point in time when the Counterparty became a customer Y Y Y
Current Internal Credit Rating Text Internal credit rating issued to the Counterparty at the Portfolio Cut-Off Date N Y Y
Current External Credit Rating Text External credit rating issued to the Corporate Counterparty at Portfolio Cut-Off Date N Y Y
Source of Current External Credit Rating Text Agency which provided the external credit rating at cut-off date N Y Y
Current External Credit Scoring Text External credit scoring issued to the SME Counterparty at cut-off date N Y Y
Source of Current External Credit Scoring Text From which agency the external credit scoring at Portfolio Cut-Off Date was obtained N Y Y