An Authorised Firm should adjust the minimum holding period upwards for any Financial Instrument where the specified holding period would be inappropriate given the liquidity of the instrument concerned. When the outcome of the model consistently results in a large number of exceptions, either overall or for one significant Counterparty, the Authorised Firm is expected to review the model assumptions and make modifications as appropriate.
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]