INSTRUCTION NO. 06/2016

of August 8

SUBJECT: DISCLOSURES OF FINANCIAL INSTRUMENTS

Given the need to establish a set of procedures in the preparation of disclosures on financial instruments, within the framework of the provisions established in Notice No. 06/2016, of June 22, regarding the general principles to be observed by Banking Financial Institutions in the full adoption of International Accounting Standards/International Financial Reporting Standards.

Considering that this Instruction does not intend to make any interpretations of the International Accounting Standards/International Financial Reporting Standards, which are developed exclusively by the IFRS Interpretations Committee and issued by the International Accounting Standards Board (IASB).

In these terms, and under the combined provisions of Article 21 and Article 51, both of Law No. 16/10 of July 15 – Law of the National Bank of Angola, and Article 93 of Law No. 12/15 of June 17 – Law of the Bases of Financial Institutions.

I DETERMINE:

1. Object

This Instruction establishes the procedures that Banking Financial Institutions must observe in the preparation of disclosures on financial instruments, as provided for by International Financial Reporting Standard 7 – Financial Instruments: Disclosures, hereinafter abbreviated as IFRS 7.

2. Scope

This Instruction is intended for Banking Financial Institutions under the supervision of the National Bank of Angola, under the terms and conditions provided for in the Law of the Bases of Financial Institutions, hereinafter abbreviated as Institutions.

3. Definitions

Without prejudice to the definitions established in the Law of the Bases of Financial Institutions, for the purposes of this Instruction, the following are understood:

3.1 Fair value: The price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

3.2 Other price risks: The risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market prices, other than those arising from interest rate risk or foreign exchange risk, whether those changes are caused by factors specific to the individual financial instrument or its issuer, or by factors that affect all similar financial instruments traded in the market.

3.3 Foreign exchange risk: The risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates.

3.4 Credit risk: The risk that one party to a financial instrument will fail to discharge an obligation, causing a financial loss to the other party.

3.5 Liquidity risk: The risk that an entity will encounter difficulty in fulfilling obligations associated with financial liabilities that are settled by delivering cash or another financial asset.

3.6 Market risk: The risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market prices. Market risk comprises three types of risk: interest rate risk, foreign exchange risk, and other price risks.

3.7 Interest rate risk: The risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates.

4. Application

4.1 Institutions must apply this Instruction to all financial instruments, except for:

a) Interests in subsidiaries, associates, and joint ventures that are accounted for in accordance with IFRS 10 – Consolidated Financial Statements, IAS 27 – Separate Financial Statements, or IAS 28 – Investments in Associates and Joint Ventures. However, in some situations, IAS 27 and IAS 28 allow Institutions to account for these interests in accordance with IAS 39 – Financial Instruments: Recognition and Measurement;

b) Derivatives linked to interests in subsidiaries, associates, or joint ventures that do not meet the definition of an equity instrument;

c) Rights and obligations of employers arising from employee benefit plans, to which IAS 19 – Employee Benefits applies;

d) Insurance contracts, as defined in IFRS 4 – Insurance Contracts;

e) Financial instruments, contracts, and obligations under share-based payment transactions to which IFRS 2 – Share-based Payment applies, except for contracts within paragraphs 5 to 7 of IAS 39 to which IFRS 7 applies; and

f) Instruments that should be classified as equity instruments, in accordance with the definition of equity instruments presented in IAS 32.

5. Classes of Financial Instruments

Whenever disclosures are required by class of financial instrument, Institutions must group financial instruments into classes that are appropriate to the nature of the information disclosed and that take into consideration the characteristics of those financial instruments.

6. Disclosures

6.1 For the purposes of this Instruction, Institutions must disclose:

a) Regarding the balance sheet, sufficient information to enable users of the financial statements to assess the relevance of financial instruments to the financial position and performance of the Institutions;

b) Regarding the statement of profit or loss and other comprehensive income, information regarding income, expenses, gains, or losses of financial instruments;

c) Other relevant information related to accounting policies, hedge accounting, and fair value;

d) Information that enables users of their financial statements to assess the nature and extent of risks inherent in the financial instruments to which the Institutions are exposed at the reporting date. These risks include, among others, credit risk, liquidity risk, and market risk.

6.2 Without prejudice to the disclosure requirements established by IFRS 7, Institutions must disclose the information required by the disclosure models presented in Annex I to this Instruction.

6.3 Although Annex I of this Instruction does not include disclosure models regarding transferred financial assets that have not been recognized in the balance sheet, if such assets exist, Institutions must observe the requirements established in IFRS 7.

6.4 For the purposes of point 2 of this section, Institutions must consider the filling instructions presented in Annex II to this Instruction.

6.5 Institutions must disclose the information required by this Instruction, without prejudice to the information disclosure requirements established by Instruction No. 05/16 of the National Bank of Angola, regarding impairment losses for the credit portfolio.

7. Transitional Provisions

7.1 Institutions that meet at least one of the criteria provided for in paragraph 2 of Article 5 of Notice No. 06/2016, of June 22, regarding the full adoption of International Accounting Standards/International Financial Reporting Standards, must be in compliance with the provisions of this Instruction starting from the 2016 fiscal year, inclusive.

7.2 Institutions that do not meet the conditions provided for in the previous point must observe the provisions of paragraph 3 of Article 5 of Notice No. 06/2016, of June 22, regarding the full adoption of International Accounting Standards/International Financial Reporting Standards.

8. Final Provisions

8.1 This Instruction does not dispense with the consultation of International Accounting Standards/International Financial Reporting Standards or International Accounting Standards/International Financial Reporting Standards, hereinafter abbreviated as IAS/IFRS.

In the event of any discrepancies between this Instruction and the IAS/IFRS, the standards issued by the IASB shall prevail.

9. Doubts and Omissions

Doubts and omissions arising from the interpretation and application of this Instruction will be resolved by the National Bank of Angola.

10. 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

Disclosure Models

This Annex presents a set of models that Financial Institutions must consider within the framework of disclosures of financial instruments.

Index

1. Balance Sheet

• Categories of financial instruments
• Carrying amount of financial instruments – Table I
• Reclassification
• Reclassification of financial assets – Table II
• Gains/(losses) associated with changes in fair value not recognized in profit or loss and Other gains/(losses) recognized in profit or loss or other comprehensive income – Table III
• Offsetting between financial assets and financial liabilities
• Financial assets and liabilities related but not offset in the financial statements – Table IV
• Financial assets and liabilities offset – Table V
• Credit losses
• Credit losses – Table VI

2. Statement of Profit or Loss and Other Comprehensive Income

• Line items of income, expenses, gains, or losses
• Net gains or losses on financial instruments – Table VII
• Interest income and expense of financial instruments not measured at fair value through profit or loss – Table VIII
• Fee and commission income and expense not included in the calculation of the effective interest rate of financial instruments not measured at fair value through profit or loss – Table IX

3. Other Disclosures

• Hedge Accounting
  • Fair Value Hedge – Table X
  • Gains and losses recognized in profit or loss with fair value hedge transactions – Table XI
  • Cash Flow Hedge – Table XII
• Fair Value
  • Fair value of financial instruments – Table XIII
  • Fair Value: Valuation Hierarchy – Table XIV
  • Movement of financial instruments measured at fair value classified in Level 3 – Table XV

4. Nature and Extent of Risks

• Credit Risk
  • Maximum exposure to credit risk – Table XVI
  • Credit quality of financial assets – Table XVII
  • Geographic concentration of credit risk – Table XVIII
  • Sectoral concentration of credit to customers – Table XIX
  • Composition of credit to customers – Table XX
  • Composition of past due credit without impairment – Table XXI
  • Composition of past due credit with impairment – Table XXII
  • Restructured credit – Table XXIII
  • Guarantees or other collateral executed in the context of granted credit operations – Table XXIV
• Liquidity Risk
  • Total contractual cash flows – Table XXV
  • Contractual cash flows regarding capital – Table XXVI
• Market Risk
  • Detail of financial instruments by exposure to interest rate risk – Table XXVII
  • Detail of financial instruments with exposure to interest rate risk based on maturity or repricing date – Table XXVIII
  • Detail of financial instruments by currency – Table XXIX
  • Sensitivity analysis of the net asset value of financial instruments to changes in interest rates – Table XXX
  • Sensitivity analysis of the net asset value of financial instruments to changes in exchange rates – Table XXXI.

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Table I Carrying Amount of Financial Instruments (Values expressed in thousands of Kwanzas)

	Measured at Fair Value	Measured at Amortized Cost	Measured at Historical Cost	Impairment	Net Value
Assets<br>(Include line items related to financial assets that are applicable)
Liabilities<br>(Include line items related to financial liabilities that are applicable)
Total	-	-	-	-	-

	Measured at Fair Value	Measured at Amortized Cost	Measured at Historical Cost	Impairment	Net Value
Assets<br>(Include line items related to financial assets that are applicable)
Liabilities<br>(Include line items related to financial liabilities that are applicable)
Total	-	-	-	-	-

Year n Year n - 1

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Table II Reclassification of Financial Assets (Values expressed in thousands of Kwanzas)

	Carrying amount at reclassification date	Carrying amount at December 31 of Year n	Fair value at December 31 of Year n	Carrying amount at reclassification date	Carrying amount at December 31 of Year n - 1	Fair value at December 31 of Year n - 1
Financial assets reclassified in year n - 3<br>(Include line items related to financial assets that are applicable)
Financial assets reclassified in year n - 2<br>(Include line items related to financial assets that are applicable)
Financial assets reclassified in year n - 1<br>(Include line items related to financial assets that are applicable)
Financial assets reclassified in year n<br>(Include line items related to financial assets that are applicable)
Total	-	-	-	-	-	-

Year n Year n - 1

Effective interest rate at the date of reclassification Estimated amounts of cash flows expected to be recovered at the date of reclassification

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Table III Gains/(losses) associated with changes in fair value not recognized in profit or loss and other gains/(losses) recognized in profit or loss or other comprehensive income (Values expressed in thousands of Kwanzas)

	Profit or Loss	Other Comprehensive Income
Total	-	-
(Include line items related to financial assets that are applicable)

	Profit or Loss	Other Comprehensive Income
Total	-	-
(Include line items related to financial assets that are applicable)

Other gains/(losses) recognized in Year n Year n - 1

Other gains/(losses) recognized in Gains/(losses) associated with changes in fair value not recognized in profit or loss

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Table IV Offset Financial Assets and Liabilities (Values expressed in thousands of Kwanzas)

Year n

	Gross amount of financial assets	Gross amount of financial liabilities offset in the balance sheet	Net amount of financial assets presented in the balance sheet
Assets<br>(Include line items related to financial assets that are applicable)
Total	-	-	-

	Gross amount of financial liabilities	Gross amount of financial assets offset in the balance sheet	Net amount of financial liabilities presented in the balance sheet
Liabilities<br>(Include line items related to financial liabilities that are applicable)
Total	-	-	-

(Values expressed in thousands of Kwanzas)

Year n - 1

	Gross amount of financial assets	Gross amount of financial liabilities offset in the balance sheet	Net amount of financial assets presented in the balance sheet
Assets<br>(Include line items related to financial assets that are applicable)
Total	-	-	-

	Gross amount of financial liabilities	Gross amount of financial assets offset in the balance sheet	Net amount of financial liabilities presented in the balance sheet
Liabilities<br>(Include line items related to financial liabilities that are applicable)
Total	-	-	-

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Table V Related Financial Assets and Liabilities, but Not Offset in the Financial Statements (Values expressed in thousands of Kwanzas)

Year n

	Financial assets presented in the financial statements	Related amounts not offset in the financial statements	Net Value
Counterparty	Financial Instruments	Cash Collateral Received as Guarantee
Financial Institutions
Administrative Public Sector
Corporate Public Sector
Other Financial Intermediaries
Companies
Individuals
Total	-	-	-

	Financial liabilities presented in the financial statements	Related amounts not offset in the financial statements	Net Value
Counterparty	Financial Instruments	Cash Collateral Received as Guarantee
Financial Institutions
Other Financial Intermediaries
Insurance Companies and Pension Funds
Companies
Individuals
Total	-	-	-

(Values expressed in thousands of Kwanzas)

Year n - 1

	Financial assets presented in the financial statements	Related amounts not offset in the financial statements	Net Value
Counterparty	Financial Instruments	Cash Collateral Received as Guarantee
Financial Institutions
Administrative Public Sector
Corporate Public Sector
Other Financial Intermediaries
Companies
Individuals
Total	-	-	-

	Financial liabilities presented in the financial statements	Related amounts not offset in the financial statements	Net Value
Counterparty	Financial Instruments	Cash Collateral Received as Guarantee
Financial Institutions
Other Financial Intermediaries
Insurance Companies and Pension Funds
Companies
Individuals
Total	-	-	-

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Table VI Credit Losses (Values expressed in thousands of Kwanzas)

	Balance at December 31 of n - 2	Increases	Write-offs/Reversals	Utilizations	Exchange Differences and Others	Balance at December 31 of n - 1	Increases	Write-offs/Reversals	Utilizations	Exchange Differences and Others	Balance at December 31 of n
Impairment on [include line items related to financial assets that are applicable]
Total	-	-	-	-	-	-	-	-	-	-	-

Year n - 1 Year n

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Table VII Net Gains or Losses on Financial Instruments (Values expressed in thousands of Kwanzas)

	Assets	Liabilities	Total
Off-Balance Sheet

(Values expressed in thousands of Kwanzas)

	Assets	Liabilities	Total
Off-Balance Sheet

Gains	Losses	Net	Gains	Losses	Net
(Include line items related to financial liabilities that are applicable)
(Include line items related to off-balance sheet elements that are applicable)

Year n - 1

Gains	Losses	Net
By way of profit or loss
By way of equity

Year n

Gains	Losses	Net
(Include line items related to financial assets that are applicable)
(Include line items related to financial liabilities that are applicable)
(Include line items related to off-balance sheet elements that are applicable)
(Include line items related to financial assets that are applicable)

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Table VIII Interest Income and Expense of Financial Instruments Not Measured at Fair Value Through Profit or Loss

Table VII - Net Gains or Losses on Financial Instruments (Values expressed in thousands of Kwanzas)

	Income	Expense	Net	Income	Expense	Net
Assets<br>(Include line items related to financial assets that are applicable)
Total	-	-	-	-	-	-
Liabilities<br>(Include line items related to financial liabilities that are applicable)
Total	-	-	-	-	-	-
Off-Balance Sheet<br>(Include line items related to off-balance sheet elements that are applicable)

Year n Year n - 1

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Table IX Fee and Commission Income and Expense Not Included in the Calculation of the Effective Rate of Instruments Not Measured at Fair Value Through Profit or Loss (Values expressed in thousands of Kwanzas)

	Income	Expense	Net	Income	Expense	Net
Assets<br>(Include line items related to financial assets that are applicable)
Total	-	-	-	-	-	-
Liabilities<br>(Include line items related to financial liabilities that are applicable)
Total	-	-	-	-	-	-
Off-Balance Sheet<br>(Include line items related to off-balance sheet elements that are applicable)

Year n Year n - 1

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Table X Fair Value Hedge (Values expressed in thousands of Kwanzas)

Year n

	Covered Elements					Hedging Instruments
	Nominal Amount	Interest, Premiums and Potential Fair Values	Impairment	Fair Value Adjustments	Total	Nominal Amount	Interest and Premiums	Fair Value
Assets<br>(Include line items related to financial assets that are applicable)	-	-	-	-	-	-	-	-
Liabilities<br>(Include line items related to financial liabilities that are applicable)	-	-	-	-	-	-	-	-
Total	-	-	-	-	-	-	-	-

Year n - 1

	Covered Elements					Hedging Instruments
	Nominal Amount	Interest, Premiums and Potential Fair Values	Impairment	Fair Value Adjustments	Total	Nominal Amount	Interest and Premiums	Fair Value
Assets<br>(Include line items related to financial assets that are applicable)	-	-	-	-	-	-	-	-
Liabilities<br>(Include line items related to financial liabilities that are applicable)	-	-	-	-	-	-	-	-
Total	-	-	-	-	-	-	-	-

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Table XI Gains and Losses Recognized in Profit or Loss with Fair Value Hedge Transactions

Table X - Fair Value Hedge Table X - Fair Value Hedge (Values expressed in thousands of Kwanzas)

	Year n			Year n - 1
	Covered Elements	Hedging Instruments	Inefficiency	Covered Elements	Hedging Instruments	Inefficiency
Assets<br>(Include line items related to financial assets that are applicable)	-	-	-	-	-	-
Liabilities<br>(Include line items related to financial liabilities that are applicable)	-	-	-	-	-	-
Total	-	-	-	-	-	-

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Table XII Cash Flow Hedge (Values expressed in thousands of Kwanzas)

	Up to 3 months	Between 3 to 6 months	Between 6 to 12 months	Between 1 to 3 years	More than 3 years	Total
Covered Element 1
Hedging Instrument 1	-	-	-	-	-	-
Covered Element 2
Hedging Instrument 2	-	-	-	-	-	-
Covered Element 3
Hedging Instrument 3	-	-	-	-	-	-
Total	-	-	-	-	-	-

	Up to 3 months	Between 3 to 6 months	Between 6 to 12 months	Between 1 to 3 years	More than 3 years	Total
Covered Element 1
Hedging Instrument 1	-	-	-	-	-	-
Covered Element 2
Hedging Instrument 2	-	-	-	-	-	-
Covered Element 3
Hedging Instrument 3	-	-	-	-	-	-
Total	-	-	-	-	-	-

Year n - 1 Year n

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Table XIII Fair Value of Financial Instruments (Values expressed in thousands of Kwanzas)

Year n

	Carrying Amount (Net)	Fair Value of Financial Instruments	Difference
Assets measured at historical cost	Total Carrying Amount	Registered in the balance sheet at fair value	Registered in the balance sheet at amortized cost
Assets<br>(Include line items related to financial assets that are applicable)

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