5 finding cards across
2 AI Models —
covering 5 Response Hallucinations +
28 Citation Hallucinations
(33 hallucination failures total).
Each card pairs the AI's answer against the authenticated regulator-text excerpt that contradicts it, and flags every AI-cited source as Fabricated / Pretextual / Contradictory.
Model: Claude Opus 4.7 (web search on)
· published 2026-06-07
· Inference Drift
What capital instruments and assets qualify toward a CCP's minimum liquid net assets funded by equity requirement under PFMI Principle 15, what must be held separately and cannot be counted, and can equity maintained in compliance with Basel or CRD prudential capital frameworks be included in the LNAFE calculation or must it be held on top?
Claude Opus 4.7 (web search on) answered
The PFMI does not deem Basel-driven capital fungible with LNAFE: KC4's additivity requirement and the November 2025 findings together imply that Basel-mandated capital and LNAFE must be sized for their respective risks and that, where the same equity is intended to serve both, the firm must demonstrate that the binding requirement is met after netting
Regulator text says
determining the amounts of liquid net assets funded by equity to cover potential losses from different sources of risks, recovery and orderly wind-down planning, and plans for raising additional equity
Verbatim source
p_03_NOTICE_d228_Annex_A_reproducing_PFMI_Principle_p251107.htm — d228 Annex A reproducing PFMI Principle 15 KC3 — Basel capital carve-out
What is the minimum liquid net assets funded by equity (LNAFE) that PFMI Principle 15 Key Consideration 3 requires an FMI to hold, and how exactly is that minimum structured and calculated under the rule text?
Claude Opus 4.7 (web search on) answered
requires an FMI to hold liquid net assets funded by equity (LNAFE) equal to at least the GREATER of (i) the amount needed to cover potential general business losses derived from the FMI's own scenario analysis, and (ii) six months of current operating expenses
Regulator text says
At a minimum, an FMI should hold liquid net assets funded by equity equal to at least six months of current operating expenses.
Verbatim source
p_07_GUIDELINE_PFMI_KC3_existing_standard_vs_FIA_ISDA_r_d162.htm — PFMI KC3 existing standard vs FIA/ISDA recommendation (d229 consultation response)
A capital management team at a major CCP is preparing an annual LNAFE sufficiency review. Provide an internal policy note specifying what capital instruments qualify toward LNAFE under PFMI Principle 15 Key Consideration 3, what must be held separately, and whether equity already held in compliance with international risk-based capital standards such as Basel or CRD frameworks can be counted toward LNAFE or must be held on top.
Claude Sonnet 4.6 (web search on) answered
KC3 of PFMI Principle 15 does NOT include any carve-out or exception for equity held under international risk-based capital standards such as Basel CET1. KC3 is the segregation requirement, not the equity-type or asset-quality provision.
Regulator text says
However, equity held under international risk-based capital standards can be included where relevant and appropriate to avoid duplicate capital requirements.
Verbatim source
p_03_NOTICE_d228_Annex_A_reproducing_PFMI_Principle_p251107.htm — d228 Annex A reproducing PFMI Principle 15 KC3 — Basel capital carve-out
A major derivatives CCP is preparing a regulatory submission briefing on PFMI Principle 15: what is the minimum liquid net assets funded by equity requirement, how is it determined, and what qualifies? What did the November 2025 CPMI-IOSCO assessment find about FMI compliance with this standard? What did FIA and ISDA propose in their response to the related CPMI-IOSCO consultation?
Claude Sonnet 4.6 (web search on) answered
The quantitative capital floor is in KC3: an FMI must hold liquid net assets funded by equity equal to at least the greater of: (a) six months of current operating expenses; or (b) the liquid net assets needed to implement its recovery or orderly wind-down plan.
Regulator text says
At a minimum, an FMI should hold liquid net assets funded by equity equal to at least six months of current operating expenses.
Verbatim source
p_07_GUIDELINE_PFMI_KC3_existing_standard_vs_FIA_ISDA_r_d162.htm — PFMI KC3 existing standard vs FIA/ISDA recommendation (d229 consultation response)
A trade repository is contextualising the November 2025 CPMI-IOSCO Level 3 assessment for its internal PFMI self-assessment benchmarking. When did the assessment process begin, when was data collected, when did the assessment formally conclude, how many FMIs participated and on what basis, and how were findings validated with FMIs before publication?
Claude Sonnet 4.6 (web search on) answered
The assessment work was carried out during 2023 and 2024.
Regulator text says
It focuses on general business risk and was carried out during 2023-25 by the Implementation Monitoring Standing Group (IMSG) and a team of experts from CPMI and IOSCO member jurisdictions.
Verbatim source
p_01_OTHER_d228_Executive_Summary_page_1__full_asse_d228.htm — d228 Executive Summary page 1 (full assessment period) vs BIS landing page / press release
Every finding on this page compares an AI subject's account of the rule
against the regulator's verbatim text from the regulator's own portal.
Both are linked. Each delta, its root causes, and impact analysis are
documented and published with immutable Citation IDs.