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Problem Note 54316: If IRBF exposures are split into secured and unsecured parts and they have multiple CRMs, the resulting risk weights (RWs) might be incorrect
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In SAS® Credit Risk Management for Banking, if Foundation Internal Ratings-Based (IRBF) exposures are split into secured and unsecured parts and they have multiple credit risk mitigants (CRMs), the resulting RWs might be incorrect. The multiple CRMs per exposure are incorrectly handled. There are no warnings or errors.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS Credit Risk Management for Banking | Microsoft® Windows® for x64 | 4.8 | 5.2 | 9.3 TS1M1 | 9.4 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.8 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2003 Enterprise Edition | 4.8 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2003 Standard Edition | 4.8 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2003 for x64 | 4.8 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2008 | 4.8 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2008 R2 | 4.8 | 5.2 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2008 for x64 | 4.8 | 5.2 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Microsoft Windows XP Professional | 4.8 | 9.3 TS1M1 | ||||
| Windows 7 Enterprise 32 bit | 4.8 | 9.3 TS1M1 | ||||
| Windows 7 Enterprise x64 | 4.8 | 5.2 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Windows 7 Home Premium 32 bit | 4.8 | 9.3 TS1M1 | ||||
| Windows 7 Home Premium x64 | 4.8 | 9.3 TS1M1 | ||||
| Windows 7 Professional 32 bit | 4.8 | 9.3 TS1M1 | ||||
| Windows 7 Professional x64 | 4.8 | 5.2 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Windows 7 Ultimate 32 bit | 4.8 | 9.3 TS1M1 | ||||
| Windows 7 Ultimate x64 | 4.8 | 9.3 TS1M1 | ||||
| Windows Vista | 4.8 | 9.3 TS1M1 | ||||
| Windows Vista for x64 | 4.8 | 9.3 TS1M1 | ||||
| 64-bit Enabled AIX | 4.8 | 5.2 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| 64-bit Enabled Solaris | 4.8 | 5.2 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Linux | 4.8 | 5.2 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Linux for x64 | 4.8 | 5.2 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Solaris for x64 | 4.8 | 5.2 | 9.3 TS1M1 | 9.4 TS1M0 | ||