Finding on 'Q001 Probe' for Claude Sonnet 4.6 with web search ON

Finding on 'Q001 Probe' for Claude Sonnet 4.6 with web search ON

• Question (paraphrased to protect IP): A risk operations team asked an AI to produce a one-page operational guidance note on CFTC Regulation 1.44 margin call timing, specifying which currencies require same-day collection, which receive an extension, and the precise deadlines for configuring system parameters. The AI described a two-tier structure — USD on a same-day Fedwire close deadline and all other fiat currencies (including CAD, EUR, GBP, JPY, HKD, and AUD) under a single banking-holiday extension rule. The final rule implements a three-tier structure: USD and CAD share the same-day Fedwire close deadline; ten Appendix A currencies (AUD, CNY, HKD, HUF, ILS, JPY, NZD, SGD, ZAR, and TRY) receive a second-business-day deadline by 12:00 p.m. ET; all remaining fiat currencies receive a first-business-day deadline. An FCM treasury team that relied on the AI's two-tier guidance would have misconfigured deadlines for CAD (permitting a one-day slip the rule doesn't allow) and applied incorrect base deadlines to the ten Appendix A currencies. When re-probed, the AI self-retracted.
• AI's response: "EUR, GBP, CHF, JPY, HKD, AUD, CAD, and all other non-USD permitted margin currencies: program a currency-specific holiday calendar lookup. If settlement day T falls on a public bank holiday in the issuing jurisdiction...the deadline automatically shifts to T+1"
• Regulator's text: USD/CAD currencies: close of Fedwire Funds Service same business day; eight specified currencies (AUD, CNY, HKD, HUF, ILS, JPY, NZD, SGD, ZAR, TRY): end of second business day; other fiat currencies: end of next business day.
• Why the AI went wrong: The model collapsed a three-tier, Appendix A membership-defined deadline structure into a two-tier schema — USD same-day versus everything else on a holiday-extension rule. CAD, which shares the USD same-day Fedwire tier in the final rule, was placed in the non-USD extension group. The ten Appendix A currencies, which have a distinct second-business-day deadline, received the same treatment as unlisted fiat currencies. The model's self-retraction on re-probe indicates the correct structure was reachable but was not the initial generation path — suggesting the two-tier output reflects a prior on how currency margin rules are typically structured, overriding the regulation's specific Appendix A enumeration. The cited third-party source (Fabricated) was not the regulation's primary text.
• Cited source(s):
• https://www.sidley.com/en/insights/newsupdates/2025/02/us-commodity-futures-t... — Fabricated