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  • General Market Risk for Sukuk

    • CA-5.4.2

      The general market risk16 must be provided on the residual term to maturity or to the next repricing date, using a simplified form of the Maturity Method on the net positions in each time-band in accordance with the table below:

      Residual term to maturity RW
      1 month or less 0.00%
      1-3 months 0.20%
      3-6 months 0.40%
      6-12 months 0.70%
      1-2 years 1.25%
      2-3 years 1.75%
      3-4 years 2.25%
      4-5 years 2.75%
      5-7 years 3.25%
      7-10 years 3.75%
      10-15 years 4.50%

      16 At the CBB's discretion, the bank may alternatively use the duration method as set out in the Market risk section of the Basel II Accord (June 2006).

      Apr 08

    • CA-5.4.3

      In the case of equity investments made by means of a Musharaka or a Mudaraba contract where the underlying assets are commodities, the market risk provisions for commodities, as described below, will be applicable.

      Apr 08