Regulatory Alerts2019-03-08 | BSD/DIR/GEN/LAB/12/004Guidelines on the Management of Interest Rate Risk in the Banking Book (IRRBB)
The Central Bank of Nigeria (CBN) outlines guidelines for banks to manage interest rate risk in the banking book (IRRBB), including measurement, monitoring, and control. Banks must adopt the Standardized Methodology for IRRBB assessment and reporting, focusing on economic value and earnings-based methodologies. The board oversees IRRBB management and risk appetite, ensuring proper frameworks and policies are implemented. IRRBB exposures are identified, measured, monitored, and controlled, with Credit Spread Risk in the Banking Book (CSRBB) also assessed. Reporting standards and supervisory expectations are detailed, including disclosure requirements. Capital adequacy for IRRBB is addressed, with banks assessing internal capital requirements and ensuring sufficient capital. The CBN will regularly collect information to monitor industry trends, assess IRRBB management, and identify outlier banks.