IBANK 6.6.11 Swaps

(1) An Islamic banking business firm must treat a swap as 2 notional positions in government securities with maturities. Both legs of the swap must be reported at their market values.
(2) For swaps that pay or receive a fixed or floating profit rate against some other reference price (for example, a stock index), the firm must:
(a) enter the profit rate component into the appropriate maturity category; and
(b) include any equity component in the measurement of equity risk.
(3) Each leg of a cross-currency swap must be reported in the maturity ladder for the currency concerned. The capital charge for any foreign exchange risk arising from the swaps must be calculated in accordance with rules 6.2.2 to 6.2.5.
Derived from QFCRA RM/2015-2 (as from 1st January 2016).