Entire Section

  • Minimum Holding Periods, Remargining or Revaluation Conditions

    • PIB A4.3.24

      The following table sets out the minimum holding periods and remargining or revaluation conditions for different types of transactions where an Authorised Firm uses own-estimate haircuts:

      Minimum holding periods and remargining/revaluation conditions

      Transaction type Minimum holding period Remargining/ Revaluation Condition
      Repos, reverse repos, Securities or commodities lending or Securities or commodities borrowing transactions 5 business days daily remargining
      OTC Derivative transactions and margin lending transactions 10 business days daily remargining
      Exposures secured by eligible financial Collateral 20 business days daily revaluation
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.3.25

      Where the assumed minimum holding period is not met or remargining or revaluation conditions are not fulfilled, an Authorised Firm must calculate the applicable haircut using the following formula:

      H = HM √{[NR + (TM − 1)]/ TM}

      where —

      "H" refers to the haircut;

      "HM" refers to the haircut under the minimum holding period;

      "TM" refers to the minimum holding period for the type of transaction or eligible financial Collateral; and

      "NR" refers to the actual number of business days between remargining or revaluation, as the case may be.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.3.26

      When an Authorised Firm uses a holding period, TN, which is different from the specified minimum holding period, TM, the Authorised Firm must calculate HM using the following formula:

      HM = HN√(TM/TN)

      where —

      "TN" refers to the holding period used by the Authorised Firm for deriving HN; and

      "HN" refers to the haircut based on the holding period TN.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]