2018-09-27 | BSD/DIR/GEN/LAB/11/019 /3

Exposure Draft- Guidance Notes on the Calculation of Capital Requirement for Market Risk Standardized Approach

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 market risk measurement, including equity position, benchmark, foreign exchange, and commodities and inventory risks. The total market risk capital charge is the sum of these individual risks. Foreign exchange risk is calculated by measuring single currency exposure and portfolio mix, while commodities and inventory risk is addressed with a capital charge of 15% for directional risk and 3% for basis risk.

Nigeria

Central Bank of Nigeria

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