When the frequency of re-margining or revaluation is longer than the minimum, the minimum haircut numbers will be scaled up depending on the actual number of business days between re margining or revaluation using the square root of time formula below:

where:

H = Haircut

H_M = Haircut under the minimum holding period

T_M = Minimum holding period for the type of transaction

N_R = Actual number of business days between re margining for capital market transactions or revaluation for secured transactions.

When a conventional bank licensee calculates the volatility on a T_N day holding period which is different from the specified minimum holding period T_M, the H_M will be calculated using the square root of time formula:

T_N = Holding period used by the bank for deriving H_N

H_N = Haircut based on the holding period T_N