Basel Framework: CRE52.50

CRE52.50 defines the margin period of risk by reference to CRE50.18, which defines the margin threshold; the MPOR definition is CRE50.19.

Consequence

Position: Margined netting set, daily VM, bank estimates MPOR 15 business days; trade effective notional d*delta = 1000. Reading a: Following the intended CRE50.19 definition: MPOR 15 days, higher than floor 10, MF = 1.5*sqrt(15/250) = 0.367, D = 367 Reading b: Following CRE50.18 literally: no MPOR definition applies to estimate, bank uses only the floor of 10 days, MF = 0.300, D = 300 Difference: effective notional 67 (about 22%)

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 CRE52 (in force 2023-01-01, published 2020-06-05)

Place

CRE52.50

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.

banks must first estimate the margin period of risk (as defined in CRE50.18) for each of their netting sets

Margin threshold is the largest amount of an exposure that remains outstanding until one party has the right to call for variation margin.

How to check it without Arxo's tools

1. Open Basel Framework CRE52 (in force 2023-01-01, published 2020-06-05) and find CRE52.50. Compare the text with the quotation above. A copy is kept in this register: 5b52b72681dbea4d-CRE52@2023-01-01~2020-06-05.txt (SHA-256 5b52b72681dbea4d0ded7a317ea06ca15241c115478efa5dba0fc38f6df9d99d, copy of the official file).
2. Open Basel Framework CRE50 (in force 2019-12-15, published 2024-07-05) and find CRE50.18. Compare the text with the quotation above. A copy is kept in this register: e989b7a31dccdb50-CRE50@2019-12-15~2024-07-05.txt (SHA-256 e989b7a31dccdb507d3285de455ec97aa212655b51c919d1676e00d04938a07f, copy of the official file).
3. 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-2026-0372, https://arxo.io/findings/ARXO-2026-0372/ (status as of 2026-10-31). Data: ARXO-2026-0372.json.