2019-04-12 | BSD/DIR/GEN/LAB/12/011/1

Guidance Notes on the Calculation of Capital Requirement for Market Risk for Non-Interest Financial Institutions in Nigeria

The Central Bank of Nigeria's guidance notes outline capital requirements for market risk in non-interest financial institutions (NIFIs). NIFIs must define policies for including or excluding positions in the trading book, with active management and frequent valuation. The notes cover valuation practices, methodologies, and specific risks like equity position, benchmark risk in Sukuk, foreign exchange, and commodities/inventory risk. The total market risk capital charge is the sum of these individual risk calculations. Foreign exchange risk is calculated by measuring single currency exposure and portfolio mix, while commodities and inventory risk is addressed with a simplified approach or maturity ladder method.

Nigeria

Central Bank of Nigeria

Show thumbnail