For example, for banks using the standard CBB haircuts, the 10-business day haircuts provided in paragraph CA-4.3.7 will be the basis and this haircut will be scaled up or down depending on the type of transaction and the frequency of re-margining or revaluation using the formula below:

where:

H = Haircut

H₁₀ = 10-business day standard CBB haircut for instrument

N_R = Actual number of business days between re-margining for capital

      = Market transactions or revaluation for secured transactions.

T_M = Minimum holding period for the type of transaction