Regulatory Alerts2016-06-22
Notice No. 08/2016 of June 22 on Interest Rate Risk in the Banking Book
The Bank of Angola issued Notice No. 08/2016 to establish supervisory requirements for financial institutions regarding interest rate risk in the banking book. The regulation mandates the submission of detailed quantitative and qualitative data assessing the impact of a standardized 2% parallel shift in the yield curve on economic value and net interest margin. Institutions face corrective measures if the shock results in a potential reduction of economic value equal to or exceeding 20% of their regulatory capital.
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