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  • General Market Risk for Sukuk — Maturity Method

    • CA-5.4.3

      The general market risk must be provided on the residual term to maturity or to the next repricing date, using either a simplified form of the Maturity Method on the net positions in each time-band in accordance with the table below or the Duration Method shown in Paragraph CA-5.4.3A:

      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%
      15–20 years 5.25%
      >20 years 6.00%
      January 2015