CA-5.4.3B
Calculate the price sensitivity of each Sukuk position (called "weighted positions") in terms of a change in profit rates between 0.6 and 1 percentage points depending on the maturity of the Sukuk and subject to supervisory guidance. Slot the resulting sensitivity measures into a duration-based ladder with 13 time bands as set out in Table 1 below. Subject long positions in each time band to a 5% vertical disallowance on the smaller of offsetting positions (i.e. a matched position) in each time band.
Table 1 Duration Method: Time Bands and Assumed Changes in Yield
Zone | Time Band (Expected profit rate >=3%) | Time Band (Expected profit rate <3%) | Assumed Change in Expected Yield (%) |
Zone 1 | 1 month or less | 1 month or less | 1.00 |
>11–3 months | >1–3 months | 1.00 | |
>3–6 months | >3–6 months | 1.00 | |
>6–12 months | >6–12 months | 1.00 | |
Zone 2 | >1–2 years | >1.0–1.9 years | 0.90 |
>2–3 years | >1.9–2.8 years | 0.80 | |
>3–4 years | >2.8–3.6 years | 0.75 | |
Zone 3 | >4–5 years | >3.6–4.3 years | 0.75 |
>5–7 years | >4.3–5.7 years | 0.70 | |
>7–10 years | >5.7–7.3 years | 0.65 | |
>10–15 years | >7.3–9.3 years | 0.60 | |
>15–20 years | >9.3–10.6 years | 0.60 | |
>20 years | >10.6–12 years | 0.60 | |
>12–20 years | 0.60 | ||
>20 years | 0.60 |
January 2015