In reply to Bob Pearson.

Post any SAS-related questions to one of the discussion forums at SAS at http://communities.sas.com/index.jspa?view=overview
For SAS/IML questions, there is a SAS/IML Discussion Forum. The direct link is http://communities.sas.com/community/sas_iml_and_sas_iml_studio

To answer your question, if you have a symmetric positive semi-definite matrix, the Cholesky decomposition is your best choice. If ROOT is "balking" (I assume this means "giving an error") then your alleged correlation matrix is not actually positive semi-definite. This means it has a negative eigenvalue, which you can verify with the EIGENVAL function.