Synthetic monthly facility snapshots for the EAD/CCF module

1,200 revolving facilities (cards, overdrafts and revolving lines) of 950 obligors, observed monthly (snapshots dated the first day of the month) over 30 months. Utilization follows a facility-specific level with a mild drift; about 10% of the facilities default, with the utilization ramping up over the twelve months before the default month at an intensity that depends on the drivers a CCF model is expected to find (utilization, product, months on book, days past due). Some defaulters are fully drawn or over the limit at the reference date, some repay before default (negative realized CCF), some have their limit cut before default, a share of all facilities gets a limit change and a few facilities originate inside the window (fast defaults). Built for scr_ead_data(), scr_ead() and scr_ead_validate().

Usage

scr_demo_ead

Format

A data.frame with 34,811 rows and 9 columns:

facility_id

Facility identifier.

obligor_id

Obligor identifier (a few obligors hold two facilities).

ref_date

Month (first day), 30 periods from 2023-01.

limit

Limit of the facility at the month end.

drawn

Drawn amount at the month end, gross; may exceed the limit.

product

"card", "overdraft" or "line".

months_on_book

Age of the facility in months.

dpd

Days past due at the month end (multiples of 30).

defaulted

0/1 flag, 1 from the default month onward.

Source

Synthetic. Generated by data-raw/scr_demo_ead.R, seed 20260904, in the package source repository https://github.com/evandeilton/scorecraft.

See also

Other data: scr_demo, scr_demo_lgd, scr_demo_lgd_cashflows, scr_demo_panel, scr_demo_portfolio, scr_demo_rates

Examples

head(scr_demo_ead)
#>   facility_id obligor_id   ref_date limit drawn product months_on_book dpd
#> 1       F0001      O0001 2023-01-01 12000  6730    card             58   0
#> 2       F0001      O0001 2023-02-01 12000  6420    card             59   0
#> 3       F0001      O0001 2023-03-01 12000  5850    card             60   0
#> 4       F0001      O0001 2023-04-01 12000  6730    card             61   0
#> 5       F0001      O0001 2023-05-01 12000  5740    card             62   0
#> 6       F0001      O0001 2023-06-01 12000  6470    card             63   0
#>   defaulted
#> 1         0
#> 2         0
#> 3         0
#> 4         0
#> 5         0
#> 6         0
length(unique(scr_demo_ead$facility_id[scr_demo_ead$defaulted == 1]))
#> [1] 135