Hong Kong Regulations

BANKING (CAPITAL) RULES - SECT 91

Minimum holding periods

Where in respect of an exposure of an authorized institution, there is—

   (a)  a daily revaluation of the exposure and the recognized  collateral
        provided in respect of the exposure; or

   (b)  a requirement that the obligor in respect of the exposure has to bring
        the value of the recognized collateral provided in respect of the
        exposure up to a value required under the terms of the transaction
        giving rise to the exposure based on the daily mark-to-market value of
        the
exposure and the collateral (referred to in this Division as "daily
remargining"), the institution shall, for the purposes of determining whether
adjustment of the standard supervisory haircuts applicable to the recognized 
collateral and the exposure under section 92 is needed, take the assumed
minimum holding periods to be as set out in Table 12 based on the type of the
transaction giving rise to the exposure.

TABLE 12

ASSUMED MINIMUM HOLDING PERIODS

Type of transaction Assumed minimum
holding period
Condition Repo-style transactions 5 business days Daily remargining Other
capital market transactions 10 business days Daily remargining Secured lending
transactions 20 business days Daily revaluation