INSTRUCTION NO. 13/2016

of August 8

SUBJECT: PROVISION OF INFORMATION REGARDING REGULATORY CAPITAL REQUIREMENTS FOR CREDIT RISK AND COUNTERPARTY CREDIT RISK

Whereas it is necessary to regulate the submission of information to the Bank of Angola by Financial Institutions, within the scope of the provisions contained in Notice No. 03/2016, of June 16, regarding regulatory capital requirements for credit risk and counterparty credit risk;

Under the combined provisions of paragraphs d) and f) of number 1 of Article 21.º and paragraph d) of number 1 of Article 51.º, both of Law No. 16/10, of July 15 – Law of the Bank of Angola, and of Article 88.º of Law No. 12/15, of June 17 – Basic Law of Financial Institutions.

I DETERMINE:

1. Provision of credit risk information

1.1 Financial Institutions must provide the information required in Article 4.º of Notice No. 03/2016, of June 16, regarding regulatory capital requirements for credit risk and counterparty credit risk, on an individual basis, monthly, and on a consolidated basis, quarterly, using for this purpose the forms and filling notes attached to this Instruction.

1.2 Without prejudice to the provision of information on an individual basis, the parent company of the financial group must submit the information provided for in this Instruction on a consolidated basis, in accordance with the consolidation perimeter provided for in Notice No. 03/2013, of April 22, regarding prudential supervision on a consolidated basis.

1.3 Institutions that, due to the nature of their activity, do not have information to provide in any of the forms, must declare this fact through the forms attached to this Instruction.

1.4 Institutions must, at any time, be in a position to justify the information submitted, through supporting documentation.

2. Sanctions

Non-compliance with the mandatory norms established in this Instruction constitutes an offense punishable under the Basic Law of Financial Institutions.

3. Transitional provisions

Institutions must comply with the provisions of this Instruction in accordance with the transitional provisions of Notice No. 02/2016, of June 15, regarding regulatory capital.

4. Doubts and omissions

Doubts and omissions resulting from the interpretation and application of this Instruction are resolved by the Bank of Angola.

5. Entry into force

This Instruction enters into force on the date of its publication.

PUBLISH

Luanda, August 8, 2016

THE GOVERNOR VALTER FILIPE DUARTE DA SILVA

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Annex I Filling notes for the forms of Regulatory Capital Requirements for coverage of credit risk

1. This annex applies to the provision of information regarding the determination of the regulatory capital requirement for coverage of credit risk, including: a) credit risk regarding the total activity, with the exception of the trading book and assets deducted directly from own funds, in accordance with the provisions of Article 4.º of Notice No. 03/2016, of June 16, regarding regulatory capital requirements for credit risk and counterparty credit risk; b) counterparty credit risk of the trading book, in accordance with the provisions of Annex VIII of Instruction No. 14/2016, regarding calculation and regulatory capital requirements for market risk and counterparty credit risk in the trading book; and c) incomplete transactions treated as risk positions, in accordance with the provisions of Annex VII of Instruction No. 14/2016, regarding calculation and regulatory capital requirements for market risk and counterparty credit risk in the trading book.

2. A form with the regulatory capital requirement must be sent, filled in accordance with numbers 1 to 3 of Annex I of Instruction No. 12/2016, regarding calculation and regulatory capital requirements for credit risk and counterparty credit risk, for each of the following risk classes: a) public entities; b) organizations; c) Financial Institutions; d) companies; e) retail portfolio;

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f) risk positions secured by real estate;
g) past due items;
h) mortgage bonds or bonds on the public sector; and
i) other items.

3. The information on the regulatory capital requirement is disaggregated by line, first by type of exposure and, secondly, by risk weight. a) in line 1.1, the values regarding the decomposition of risk positions referring to asset items are recorded; b) in line 1.2, the values regarding the decomposition of risk positions referring to off-balance sheet items listed in Table 1 of Annex II of Instruction No. 12/2016, regarding calculation and regulatory capital requirements for credit risk and counterparty credit risk, are recorded; c) in line 1.3, the values regarding the decomposition of risk positions of the trading book referring to repurchase operations, granting or contracting of loans of securities or commodities, long settlement operations, and lending operations with margin imposition are recorded; d) in line 1.4, the values regarding the decomposition of risk positions of the banking and trading books referring to financial derivatives included in Table 2 of Annex II of Instruction No. 12/2016, regarding calculation and regulatory capital requirements for credit risk and counterparty credit risk, are recorded; e) in line 1.5, the values regarding risk reductions referring to multi-product contractual netting agreements are recorded, with a negative sign, in accordance with numbers 8 to 10 of Annex III of Instruction No. 12/2016, regarding calculation and regulatory capital requirements for credit risk and counterparty credit risk, covering only operations subject to counterparty credit risk;

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f) in lines 2.1 to 2.9, the disaggregation of the aforementioned values by risk weights referred to in number 5 of Annex I and Annex IV of Instruction No. 12/2016, regarding calculation and regulatory capital requirements for credit risk and counterparty credit risk, is recorded;
g) in column 1, the value of the risk position is recorded, as provided for in numbers 1 to 3 of Annex I of Instruction No. 12/2016, regarding calculation and regulatory capital requirements for credit risk and counterparty credit risk and, where applicable, before the value adjustments provided for in the following number;
h) column 2 records the value of adjustments to risk positions, understood as accounting adjustments that count towards the determination of their balance sheet value and that are a negative element of own funds in accordance with Notice No. 02/2016, of June 15, regarding regulatory capital;
i) column 3 comprises the result of the difference between the values of column 1 and the values of column 2;
j) columns 4 to 8 are used for the provision of information regarding the recognition of credit risk reduction techniques. Specifically, risk reduction techniques that lead to the application, total or partial, of the weighting coefficient of the provider of protection to the risk position, in accordance with Annex IV of Instruction No. 12/2016, regarding calculation and regulatory capital requirements for credit risk and counterparty credit risk. In this context:
    i. in column 4, information must be provided on the recognition of credit risk reduction resulting from the use of personal guarantees. The value to be recorded corresponds to the protection value determined in accordance with number 9 of the aforementioned annex. The value to be recorded in this column must be entered between lines 2.1 and 2.9;

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    ii. in column 5, information must be provided on the recognition of credit risk reduction resulting from the use of credit derivatives. The value to be recorded corresponds to the protection value determined in accordance with number 10 of the aforementioned annex. The value to be recorded in this column must be entered between lines 2.1 and 2.9;
    iii. in column 6, information must be provided on the recognition of credit risk reduction resulting from the use of real guarantees. The value to be recorded corresponds to the protection value determined in accordance with number 7 of the aforementioned annex. The value to be recorded in this column must be entered between lines 2.1 and 2.9;
    iv. in column 7 (“Total: Outflows”), the value of risk positions that are deducted from the risk class or, where applicable, from the risk weight of the original debtor must be recorded, and consequently transferred to the risk class or to the risk weight of the provider of protection or, where applicable, to the degree or category of debtor of that protection provider;
    The amounts transferred to the risk class or to the risk weight of the provider of protection, as mentioned above, will be recorded in column 8 (“Total: Inflows”) of the risk class or risk weight of the protection provider.
    The “outflows” and “inflows”, as stated above, which are associated with the same risk class or, where applicable, the same risk weight, must also be submitted.
    The values to be recorded in columns 7 and 8 must be recorded in duplicate, being entered both between lines 1.1 to 1.5 and between lines 2.1 and 2.9;

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k) in column 9, information must be provided on the recognition of credit risk reduction resulting from the use of netting agreements. The value to be recorded corresponds to the protection value determined in accordance with number 8 of Annex IV of Instruction No. 12/2016, regarding calculation and regulatory capital requirements for credit risk and counterparty credit risk;
l) column 10 comprises the amount resulting from the aggregation of columns 3 and 8 and the subtraction of columns 7 and 9;
m) columns 11 to 14 refer to the decomposition of the value of the risk position of off-balance sheet items by the percentages provided for in paragraph b), of number 3 of Annex I of Instruction No. 12/2016, regarding calculation and regulatory capital requirements for credit risk and counterparty credit risk;
n) column 15 comprises the result of the difference between the values of column 10 and the values of columns 11 to 14 weighted by one, minus the respective weight of each of these columns, respectively.
o) column 16 comprises the risk-weighted amounts resulting from the multiplication of the values of column 15 by the respective risk weight, in accordance with number 5 of Annex I of Instruction No. 12/2016, regarding calculation and regulatory capital requirements for credit risk and counterparty credit risk;
p) the values of column 17 comprise the regulatory capital requirement for credit risk resulting from the multiplication of the values of column 16 by 10% (ten percent);

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Annex II Forms “Regulatory capital requirement for coverage of credit risk”

• The header must be part of all tables

Forms submitted Past due items Month:

IDENTIFICATION AND INDEX

Public Entities Name of the Institution: Reporting Base: Year:

Organizations

It is declared that there are no values to report for the forms not marked above.

Mortgage bonds or bonds on the public sector

Companies

Retail portfolio

Risk positions secured by real estate

Other items

Financial Institutions

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Public Entities Organizations

	Real credit protection	Real credit protection
Personal Guarantees	Credit Derivatives	Real Guarantees
0%	20%	50%
1	2	3=1-2