When running stored processes in SAS® Credit Risk Management for Banking, you might encounter one or more warnings like the following in the SAS log:

WARNING: The variable counterpartyid specified in the variable list for
instrument <instrument-name> is not defined in the instrument default list, or the
instrument methods, and is missing from at least one of the data sets used to
create the portfolio.

These warnings might appear unnecessarily when you run any of the following analysis tasks:

• Capital calculations
• FX stress test
• PD stress test
• Regulatory calculations
• Refresh regulatory report data
• Valuation project

Although the warning is technically correct, in some cases it can be ignored. In SAS Credit Risk Management for Banking, some analysis tasks do not reference any positions that require a counterparty ID. Therefore, a counterparty ID variable is not created (or needed) in the input data set. In these cases, even though warnings are issued, the processing continues correctly, it produces the expected results, and the warnings should be ignored. In fact, SAS Credit Risk Management for Banking should not issue the warnings in these cases.

Click the Hot Fix tab in this note to access the hot fix for this issue.

Operating System and Release Information

A fix for this issue for SAS Credit Risk Management for Banking 4.6 is available at:

A fix for this issue for SAS Credit Risk Management for Banking 4.6_M1 is available at: