Regulatory Alerts2021-10-28
Instruction No. 18/2021 on the Calculation and Regulatory Capital Requirement for Credit Valuation Adjustment Risk
The National Bank of Angola issued Instruction No. 18/2021 to establish the calculation methodology and regulatory capital requirements for Credit Valuation Adjustment (CVA) risk across banking and non-banking portfolios. Financial institutions must compute CVA capital charges using a specified formula that incorporates eligible single-name credit default swaps, counterparty risk weights based on external ratings, and defined maturity parameters. Institutions are required to report these calculations quarterly on an individual and consolidated basis, ensuring full compliance by December 31, 2021.
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