Regulatory Alerts2015-06-27 | BSD/DIR/GEN/BAS/08/031/2Guidance Notes on the Calculation of Capital Requirement for Credit Risk
The Central Bank of Nigeria's guidance note outlines the standardized approach for calculating capital requirements for credit risk. It covers on-balance sheet and off-balance sheet exposures, external credit assessments, risk weight determination, and credit risk mitigation techniques. The note provides risk weights for various types of exposures, including central governments, public sector entities, and corporate exposures. It also details the treatment of past due and high-risk exposures, as well as unsettled and failed transactions. The note further explains the measurement of off-balance sheet exposures, including OTC derivative transactions, and the recognition of risk transfer in securitization transactions. Finally, it outlines the eligibility criteria for financial collaterals and the calculation of net credit exposure under the comprehensive approach.