Regulatory Alerts2022-03-28 | CBE3.1Added · Updated
CBE Regulation Book 3.1 - Capital Adequacy Standard Credit Risks
The document establishes the standardized approach for calculating capital requirements to cover market risks, specifically detailing the Maturity and Duration methods for debt instruments and specific rules for equity positions. It mandates the use of mark-to-market or mark-to-model valuation techniques, defines criteria for trading book inclusion, and sets out disallowance and netting procedures across time bands and zones. The regulation specifies risk weight tables for sovereign, public sector, and corporate debt based on credit ratings and remaining maturity, while also outlining diversification and liquidity thresholds for equity holdings.
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