Basel Framework: FAQ1 under MAR21.34 vs MAR21.33(1)

The FAQ to MAR21.34 uses 'at least 75%' for assigning an index CTP to a sector bucket while MAR21.33(1) requires 'more than 75%', so an index at exactly 75% maps differently.

Consequence

Position: Index CTP instrument, delta CS01 sensitivity 100; exactly 75% (by weight) of constituents are IG financials (bucket 3) Reading a: FAQ 'at least 75%': bucket 3, CTP RW 8.0% (Table 6), WS 8.0 Reading b: MAR21.33(1) 'more than 75%' not met; FAQ fallback bucket 16 'Other sector', RW 13.0%, WS 13.0 Difference: WS 5.0 per 100 of sensitivity

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 MAR21 (in force 2023-01-01, published 2026-03-23)

Place

FAQ1 under MAR21.34 vs MAR21.33(1)

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

Reproduced by execution. Quotations are verbatim from the official material; translations are ours and marked.

The delta CSR sensitivity of an index CTP instrument should be assigned to a single specific delta sector bucket consistent with the characteristics of, at least, 75% of the index constituents

Where more than 75% of constituents in that index (taking into account the weightings of that index) would be mapped to a specific sector bucket

How to check it without Arxo's tools

1. Open Basel Framework MAR21 (in force 2023-01-01, published 2026-03-23) and find FAQ1 under MAR21.34 vs MAR21.33(1). Compare the text with the quotation above. A copy is kept in this register: 702d93bcc11364c3-MAR21@2023-01-01~2026-03-23.txt (SHA-256 702d93bcc11364c3ffc2c0c81eb0c5981d89544031c7ebc2a84605f86b22df28, 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-2026-0384, https://arxo.io/findings/ARXO-2026-0384/ (status as of 2026-10-31). Data: ARXO-2026-0384.json.