Basel Framework: CRE54.8 bullet 1 (reference to CRE22.61)

CRE54.8 points to CRE22.61 for the 20-day MPOR floor on netting sets above 5000 trades, but that floor is in CRE22.58.

Consequence

Position: Banks using the comprehensive approach, SFT netting set with 6000 trades, no illiquid collateral, no disputes, cleared at a QCCP Reading a: Follow the pointer literally: CRE22.61 contains no floor, so for the SFT leg the disapplication in CRE54.8 has nothing to disapply and the reader must guess the holding period Reading b: Read CRE22.58 by intent: 20-day floor disapplied, holding period 5 business days (repo-style, CRE22.57) Difference: Holding period 20 vs 5 business days under a literal reading of CRE22.58 without the CCP exception; sqrt scaling of haircuts about x2

Proposed correction

Clarify or correct the cited passage so that the rule and its references give one result for the stated case.

Issued by

Basel Committee on Banking Supervision

Act

Basel Framework CRE54 (in force 2023-01-01, published 2020-03-27)

Place

CRE54.8 bullet 1 (reference to CRE22.61)

Record

Discrepancy

Class

Text of the act

Where it arose

The text of the act

Arxo's conclusion

Confirmed

Official text

Unchanged at last check

Last checked

2026-10-31

Evidence

Contradiction within the text. Quotations are verbatim from the official material; translations are ours and marked.

CRE22.61 of comprehensive approach within the standardised approach to credit risk

The holding periods for SFT calculations in CRE22.61 to CRE22.64 apply.

How to check it without Arxo's tools

1. Open Basel Framework CRE54 (in force 2023-01-01, published 2020-03-27) and find CRE54.8 bullet 1 (reference to CRE22.61). Compare the text with the quotation above. A copy is kept in this register: 2566fdd305261db0-CRE54@2023-01-01~2020-03-27.txt (SHA-256 2566fdd305261db0f597498bd48bab7e70d9f65f1c8e30ad8276093796a271b2, copy of the official file).
2. The finding holds if the quoted passages read as shown and the comparison gives the result stated at the top of this page. If it does not, write to us with the record ID.

How this finding was made

AI models read the texts, built the examples and reviewed the findings.

Responsible institutions

• Basel Committee on Banking Supervision — maintains the Basel Framework

Reported to

Responses

No response recorded.

History

1. 2026-10-31Confirmed by Arxo
2. 2026-10-31Entered in the register
3. 2026-10-31Reported to Basel Committee on Banking Supervision (e-mail)

Cite this record

Arxo Law, Arxo Findings Register, ARXO-2026-0374, https://arxo.io/findings/ARXO-2026-0374/ (status as of 2026-10-31). Data: ARXO-2026-0374.json.