The automatic macro variable is SYSERR as in following example:
%macro PROCESS;
data eric;set kenny;
killed='YES';run;
%if &syserr=4 then %let warn_rc=YES;
%else %if &syserr ^= 0 %then error_rc=YES;
proc sort data = eric;by date age;run;
%if &syserr=4 then %let warn_rc=YES;
%else %if &syserr ^=...
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