An appropriate time period for calculating and updating this amount is likely to be a period that produces an average value that is representative of the overall liquidity risk arising out of the provision of guarantees to clients.
in this case, it may be appropriate for the firm to use the principles for calculating average COH to calculate an average value for the guarantees that the firm has had outstanding over an appropriate time period;
average COH is calculated as the arithmetic mean of historic daily COH values. The firm could use the arithmetic mean of historic daily values for outstanding guarantees to calculate its amount for guarantees;
average COH is calculated by reference to the historic three-month period beginning six months ago (i.e. excluding the three most recent months). The firm could calculate its amount for guarantees by reference to the same time period, if this produces an average value for guarantees that is representative of the overall liquidity risk in these guarantees; and