Arxo Findings Register · Arxo Law

ARXO-2026-0391 · Reported

Basel Framework: MAR33.15 IMCC(C_i)

IMCC(C_i) in MAR33.15 contains the ratio ES_F,C,i / ES_R,C,i, which has no value for a risk class without positions. The CRR writes the convention out (Article 325bb(3) includes a risk class only where the portfolio has a modellable risk factor in it); the Basel text does not.

Consequence

Position: Bank with IMA desks in rates, equity, FX, credit only; no commodity positions. Commodity class: ES_R,S,i = 0, ES_F,C,i = 0, ES_R,C,i = 0. Reading a: IMCC(C_commodity) = 0 x 0/0 undefined, IMCC cannot be computed Reading b: class skipped / contributes 0, IMCC = rho*IMCC(C) + (1-rho)*sum over 4 classes Difference: undefined vs defined capital number; also applies when ES_R,C,i is 0 while ES_F,C,i > 0 (factors not in reduced set): ratio infinite

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 MAR33 (in force 2023-01-01, published 2020-06-05)
Place
MAR33.15 IMCC(C_i)
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.

ES_{R,S} is then scaled up by the ratio of (i) the current ES using the full set of risk factors to (ii) the current ES measure using the reduced set of factors.
Normative text · Basel Framework MAR33 (in force 2023-01-01, published 2020-06-05) · MAR33.15 IMCC(C_i) · Published 2020-06-05 · retrieved 2026-10-31 · SHA-256 f33a3dc87d0a26846946b21e43938925ea5c15da64019e71c2fbdb63e73444b8 · copy

How to check it without Arxo's tools

  1. Open Basel Framework MAR33 (in force 2023-01-01, published 2020-06-05) and find MAR33.15 IMCC(C_i). Compare the text with the quotation above. A copy is kept in this register: f33a3dc87d0a2684-MAR33@2023-01-01~2020-06-05.txt (SHA-256 f33a3dc87d0a26846946b21e43938925ea5c15da64019e71c2fbdb63e73444b8, 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

Reported to

DateInstitutionChannelReference
2026-10-31Basel Committee on Banking Supervisione-mailhttps://mail.google.com/mail/u/0/#sent/KtbxLthRTjRNkqRtWGvxMWmXhVdckfWkGV

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-2026-0391, https://arxo.io/findings/ARXO-2026-0391/ (status as of 2026-10-31). Data: ARXO-2026-0391.json.