In some cases, cash flows used during instrument valuation in the Cash Flow Optimization analysis task of SAS^® Asset and Liability Management for Banking are counted twice. When this happens, instrument valuations are incorrect.

This can happen when an instrument meets both of the following conditions:

1. The instrument is included in the optimization because its Asset Product Type Code and Asset Product Subtype Code combination is listed in the configuration table CF_OPT_ASSET_TYPE_LIST.
2. The instrument is included in the optimization because its Asset Issue Key is listed in configuration table CF_OPT_ASSET_LIST.

To determine whether any cash flows have been counted twice, you can check the All Analysis Cash Flows (CashFlow) output data set for duplicate observations.

As a workaround, delete the assets that meet criterion (1) above from the CF_OPT_ASSET_LIST configuration table. After this is done, both criteria listed above are not met and therefore cash flows are counted only once.

For information about an available fix for this issue, contact SAS Technical Support.

Operating System and Release Information

A fix for this issue for SAS Risk Management for Banking 3.1 is available at: