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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