And to give you some technical background:
Whenever you let SAS create something without an explicit absolute path, the SAS session will try to put that in its current working directory, which is the location of the script that started SAS on the backend (or a location set within that script). This location is (in server-based SAS setups) within the SAS configuration tree, where only the SAS installation user (or the superuser, as you are on UNIX) have write permission.
An absolute path starts at the root of the filesystem (/ in UNIX, or a drive letter/backslash or UNC location in Windows). SAS On Demand allows the use of the tilde (~) as an absolute path to your home directory; you could also use $HOME for that.
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