The HPSPLIT procedure is designed for high-performance computing. As a result, it does not create utility files but rather stores all the data in memory. Data sets that have a large number of predictor variables and a large number of response levels can cause PROC HPSPLIT to run out of memory. One way to overcome this problem is to give SAS more memory to use. Another way is to use fewer threads, which reduces the memory that is required. You can use the NTHREADS= option in the PERFORMANCE statement to specify the number of threads. For more information, see the section PERFORMANCE Statement in SAS/STAT 14.1 User's Guide: High-Performance Procedures.