Problem Note 54296: CR SA report is incorrect for an exposure that is secured by a residential mortgage, if the CRM is invalidated
For an exposure that is secured by a residential mortgage in SAS® Credit Risk Management for Banking, if the credit risk mitigant (CRM) is invalidated, then the Credit and Counterparty Credit Risks and Free Deliveries: Standardized Approach to Capital Requirements (CR SA) report is incorrect. Specifically, the CR SA report is generated with the columns that are related to an exposure value that is populated as zero (0). The subsequent risk-weight (RW) calculations can also be incorrect. There are no warnings or errors.
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Operating System and Release Information
| SAS System | SAS Credit Risk Management for Banking | Microsoft Windows 8.1 Pro | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows 8.1 Enterprise x64 | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows 8.1 Enterprise 32-bit | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows 8 Pro x64 | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows 8 Pro 32-bit | 4.8 | | 9.3 TS1M2 | |
| Microsoft Windows 8 Enterprise x64 | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows 8 Enterprise 32-bit | 4.8 | | 9.3 TS1M2 | |
| Microsoft® Windows® for x64 | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows 8.1 Pro 32-bit | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.8 | | 9.3 TS1M2 | |
| Microsoft Windows Server 2003 Enterprise Edition | 4.8 | | 9.3 TS1M2 | |
| Microsoft Windows Server 2003 Standard Edition | 4.8 | | 9.3 TS1M2 | |
| Microsoft Windows Server 2003 for x64 | 4.8 | | 9.3 TS1M2 | |
| Microsoft Windows Server 2008 | 4.8 | | 9.3 TS1M2 | |
| Microsoft Windows Server 2008 R2 | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2012 Datacenter | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2012 R2 Datacenter | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2012 R2 Std | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2012 Std | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows XP Professional | 4.8 | | 9.3 TS1M2 | |
| Windows 7 Enterprise 32 bit | 4.8 | | 9.3 TS1M2 | |
| Windows 7 Enterprise x64 | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows 7 Home Premium 32 bit | 4.8 | | 9.3 TS1M2 | |
| Windows 7 Home Premium x64 | 4.8 | | 9.3 TS1M2 | |
| Windows 7 Professional 32 bit | 4.8 | | 9.3 TS1M2 | |
| Windows 7 Professional x64 | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows 7 Ultimate 32 bit | 4.8 | | 9.3 TS1M2 | |
| Windows 7 Ultimate x64 | 4.8 | | 9.3 TS1M2 | |
| Windows Vista | 4.8 | | 9.3 TS1M2 | |
| Windows Vista for x64 | 4.8 | | 9.3 TS1M2 | |
| 64-bit Enabled AIX | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| 64-bit Enabled Solaris | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Linux | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Linux for x64 | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
| Solaris for x64 | 4.8 | 5.2 | 9.3 TS1M2 | 9.4 TS1M0 |
*
For software releases that are not yet generally available, the Fixed
Release is the software release in which the problem is planned to be
fixed.
| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis
|
| Date Modified: | 2015-03-18 09:52:48 |
| Date Created: | 2014-10-06 17:21:04 |
