Instruction No. 01/2024 of January 26

---

INSTRUCTION NO. 01/2024 of January 26
SUBJECT: FINANCIAL SYSTEM

• Liquidity Risk

Given the need to determine the economic value of future cash flows for the assessment and monitoring of the liquidity level of Banking Financial Institutions, as provided in Notice No. 08/21 of July 5 on Prudential Requirements; In accordance with Article 205 of Law No. 14/21 of May 19, the General Regime for Financial Institutions, combined with paragraph (f) of paragraph 1 of Article 31 and paragraph 1 of Article 98, both of Law No. 24/21 of October 18, the Bank of Angola Act. I DETERMINE:

1. Object
   This Instruction establishes the minimum prudential requirements to be considered by Banking Financial Institutions under the supervision of the Bank of Angola regarding liquidity risk management.

2. Scope
   This Instruction applies to Banking Financial Institutions under the supervision of the Bank of Angola, hereinafter referred to as "Institutions", as provided in Law No. 14/21 of May 19, the General Regime for Financial Institutions.

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 2 of 27

3. Definitions
   Without prejudice to the definitions established in Law No. 14/21 of May 19, the General Regime for Financial Institutions, for the purposes of this Instruction, the following are understood:
   3.1. Time Band - a unit of measurement used to classify a period, consisting of days, weeks, months, or years with a defined start and end date;
   3.2. Financial Collateral - assets consisting of the following categories:
   a) Deposits with the Institution itself; b) Deposits with other Institutions; c) Life insurance policies; and, d) Securities.
   3.3. Non-Financial Collateral - assets consisting of the following categories:
   a) Property rights over movable assets, namely automobiles, ships, and aircraft; and, b) Rights over goods.
   3.4. Fair Value - the price that would be received to sell an asset or paid to transfer a liability, i.e., the price of a regular transaction between market participants at the measurement date;
   3.5. Liquidity - the ease with which an asset can be converted into cash in a short period of time and without significant price discount;
   3.6. Intra-Group Transactions - movements of assets, liabilities, and off-balance sheet items, with counterparties being Financial Institutions belonging to the same global financial group;
   3.7. Liquidity Conservation Reserve - one of the defined liquidity management instruments, aimed at preventing possible liquidity insufficiency situations, thereby promoting a conservative liquidity management;
   3.8. Stress - sudden or severe deterioration of an Institution's liquidity or solvency situation due to changes in market conditions or idiosyncratic factors, resulting in a significant risk that the Institution becomes unable to meet its obligations maturing within the subsequent 30 calendar days.

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 3 of 27

4. General Requirements
   4.1. Institutions must report to the Bank of Angola individual information regarding the distribution of their balance sheet and off-balance sheet positions by time bands, in accordance with this Instruction.
   4.2. Institutions must report the following information on an individual basis:
   a) Liquidity table, considering only cash flows in national currency; b) Liquidity table, considering only cash flows in significant foreign currencies for the Institution, individually; and, c) Liquidity table, considering cash flows in all currencies.
   4.3. Without prejudice to information reporting on an individual basis, Institutions must report to the Bank of Angola information regarding movements with counterparties being Financial Institutions within their financial group.
   4.4. For the purposes of paragraph (b) of subpoint 4.2, significant foreign currency is considered whenever the liability denominated in that currency exceeds 5% (five percent) of the Institution's total liabilities.

5. Liquidity Ratio
   5.1. The liquidity ratio is considered to represent the relationship between an Institution's total liquid assets and its net liquidity outflows over a stress period, and must be expressed as a percentage.
   5.2. Total liquid assets consist of the sum of Level 1 and Level 2 assets, referred to in Section A of Annex II of this Instruction, which is an integral part thereof.

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 4 of 27

5.3. Net liquidity outflows are considered to be the amount of cash flow outflows referred to in paragraph (a), reduced by the amount of liquidity inflows referred to in paragraph (b), both of this subpoint, which must not be less than zero, and are calculated as follows:
a) The sum of cash flow outflows referred to in Section B of Annex II of this Instruction, which is an integral part thereof; b) The sum of liquidity inflows calculated as the lower value between the cash flow inflows referred to in Section C of Annex II of this Instruction and 75% (seventy-five percent) of the outflows referred to in paragraph (a), not being less than zero;
5.4. Institutions must maintain a liquidity ratio, calculated in accordance with Annexes I and II of this Instruction, equal to or greater than 100% (one hundred percent), which must be reported in accordance with paragraphs (a) and (c) of subpoint 4.2, number 4 of this Instruction.
5.5. Institutions must maintain a liquidity ratio, calculated in accordance with Annexes I and II of this Instruction, equal to or greater than 150% (one hundred fifty percent), which must be reported in accordance with paragraph (b) of subpoint 4.2, number 4 of this Instruction.
5.6. Institutions must maintain a liquidity conservation reserve of 10% (ten percent) above the minimum thresholds defined, in accordance with subpoints 5.4 and 5.5 of this number.
5.7. Whenever the liquidity ratio falls below the defined limits or it can reasonably be expected to consume part or all of the liquidity conservation reserve, Institutions must immediately communicate this fact to the Bank of Angola.
5.8. For the purposes of the preceding subpoint, Institutions must:
a) Submit an action plan to timely restore the limits defined in subpoints 5.4 and 5.5 of this number, within the context of the contingency funding plan referred to in specific normative on liquidity risk governance, whenever non-compliance with these limits occurs; b) Submit an action plan to timely restore compliance with the liquidity conservation reserve defined in subpoint 5.6 of this number, within the context of the contingency funding plan referred to in specific normative on liquidity risk governance, whenever this reserve is fully or partially utilized; and, c) Report to the Bank of Angola daily, in accordance with Annexes I and II of this Instruction.
5.9. Without prejudice to the preceding number, the Bank of Angola reserves the right to alter the reporting frequency of the information referred to in number 5 of this Instruction, depending on the situation, scale, and complexity of each Institution's activities.

6. Monitoring Ratio
   6.1. The Monitoring Ratio is calculated for time bands 2 to 4, in accordance with number 4 of Annex II of this Instruction, and represents the relationship between the accumulated lag in the previous time band, added to the total cash flow inflow in the current time band, and the total cash flow outflow.
   6.2. Accumulated lag per time band is considered to be the accumulated value of the difference between liquid assets, added cash flow inflows, and cash flow outflows, in accordance with Section D of Annex II of this Instruction.
   6.3. Total cash flow inflow is considered to be the sum of values, per time band, of cash flow inflows referred to in Section C of Annex II of this Instruction.
   6.4. Total cash flow outflow is considered to be the sum of values, per time band, of cash flow outflows referred to in Section B of Annex II of this Instruction.

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 5 of 27

6.5. Institutions must maintain a monitoring ratio for time band 2, calculated in accordance with Annexes I and II of this Instruction, equal to or greater than 100% (one hundred percent), which must be reported in accordance with paragraphs (a) and (c) of subpoint 4.2, number 4 of this Instruction.
6.6. Institutions must maintain a monitoring ratio for time band 2, calculated in accordance with Annexes I and II of this Instruction, equal to or greater than 150% (one hundred fifty percent), which must be reported in accordance with paragraph (b) of subpoint 4.2, number 4 of this Instruction.
6.7. Institutions must maintain a liquidity conservation reserve of 10% (ten percent) above the minimum thresholds defined in subpoints 6.5 and 6.6 of this number.
6.8. Whenever the monitoring ratio falls below the defined limits or it can reasonably be expected to consume part or all of the liquidity conservation reserve, Institutions must immediately communicate this fact to the Bank of Angola.
6.9. For the purposes of the preceding subpoint, Institutions must:
a) Submit an action plan to timely restore the limits defined in subpoints 6.5 and 6.6 of this number, within the context of the contingency funding plan referred to in specific normative on liquidity risk governance, whenever non-compliance with these limits occurs; b) Submit an action plan to timely restore compliance with the liquidity conservation reserve defined in subpoint 6.7 of this number, within the context of the contingency funding plan referred to in specific normative on liquidity risk governance, whenever this reserve is fully or partially utilized; and, c) Report to the Bank of Angola daily, in accordance with Annexes I and II of this Instruction.

7. Reporting on Liquidity Risk
   7.1. Institutions must report to the Bank of Angola individual information regarding the distribution of their balance sheet and off-balance sheet positions by time bands, as provided in the table of Annex I of this Instruction, duly completed with calculations for the liquidity ratio and monitoring ratios.
   7.2. Without prejudice to information reporting on an individual basis, Institutions must report to the Bank of Angola in the "E. Intra-Group Transactions" field, of the table provided in Annex I of this Instruction, movements with counterparties being Financial Institutions within their global financial group, in accordance with Article 5 of Notice No. 08/21 of July 5 on Prudential Requirements.
   7.3. Institutions must observe the rules defined in Annex II of this Instruction for completing the table provided in Annex I of this Instruction.
   7.4. Institutions must report to the Bank of Angola:
   a) Fortnightly, liquidity tables, as provided in paragraphs (a) and (b) of subpoint 4.2, number 4 of this Instruction; b) Monthly, liquidity tables, as provided in paragraph (c) of subpoint 4.2, number 4 of this Instruction.
   7.5. Institutions must ensure that data reported in the tables attached to this Instruction are duly documented.

8. Sanctions
   Non-compliance with the provisions of this Instruction constitutes an offense provided for and punishable in accordance with Law No. 14/21 of May 19, the General Regime for Financial Institutions.

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

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 6 of 27

10. Revocation
    All regulations contrary to the provisions of this Instruction are hereby revoked, namely Instruction No. 14/21 of September 27 on Liquidity Risk.

11. Entry into Force
    This Instruction enters into force on the date of its publication.
    PUBLISHED.
    Luanda, January 26, 2024.
    THE GOVERNOR
    MANUEL ANTONIO TIAGO DIAS

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 7 of 27
ANNEX I
Liquidity Risk Information Reporting Table
INSTRUCTIONS:
Field with automatic completion
Institution Name:
Currency:
Year:
Month:
Day:
Field to be left blank

Maturity Band 1	Maturity Band 2	Maturity Band 3	Maturity Band 4
Up to 1 month	1 to 3 months	3 to 6 months	6 to 12 months
Weighted Up to 1 month	Weighted Up to 12 months

Code	Description	Weighting (Band 1)	Weighting (Band 2)	Weighting (Band 3)	Weighting (Band 4)
1	Cash in vault	100%	0	0	0
2	Cash in transit	100%	0	0	0
3	Balances at the central bank (including mandatory reserves)	20%	0	0	0
4	Assets eligible as collateral in Bank of Angola credit operations	0 -	0	0	0
4.1	National treasury and central bank issued public debt securities, in national currency	100%	0	0	0
4.2	Public debt securities indexed to foreign currency	100%	0	0	0
4.3	Other public issuer securities and credit rights, guaranteed by the national treasury	100%	0	0	0
4.4	Credits and other credit rights with real collateral included in the Institution's assets	100%	0	0	0
5	Securities and Marketable Securities (Level 2)	100%	0	0	0
6	Shares and Bonds (Level 2)	0 -	0	0	0
6.1	Shares	50%	0	0	0
6.2	Bonds	50%	0 -	0	0
A. LIQUID ASSETS (Total)	Total Liquid Assets	-	0	0	0
B. CASH FLOW OUTFLOWS	Total Cash Flow Outflow	-	0	0	0
C. CASH FLOW INFLOWS	Total Cash Flow Inflow	-	0	0	0
D. LIQUIDITY RATIO AND MONITORING RATIOS	Liquidity Ratio / Monitoring Ratios	-	0	0	0

Code	Description	Band 1	Band 2	Band 3	Band 4
7	Demand Deposits	0 -	0	0	0
7.1	Non-banking Financial Institutions	40%	0	0	0
7.2	Non-Financial Institutions	40%	0	0	0
7.3	Individuals	10%	0	0	0
8	Time Deposits	0 -	0	0	0
8.1	Non-banking Financial Institutions	40%	0	0	0
8.2	Non-Financial Institutions	40%	0	0	0
8.3	Individuals	10%	0	0	0
9	Other Deposits	0 -	0	0	0
9.1	Non-banking Financial Institutions	100%	0	0	0
9.2	Non-Financial Institutions	100%	0	0	0
9.3	Individuals	100%	0	0	0
10	Interbank Money Market Operations - with Banking Financial Institutions	20%	0	0	0
11	Interbank Money Market Operations - with Central Bank	0%	0	0	0
12	Fundraising with Securities and Marketable Instruments	100%	0	0	0
13	Other Contracted Fundraising	100%	0	0	0
14	Securities Sale Operations (own and third-party) with Repurchase Agreement	100%	0	0	0
14.1	of which: with the Central Bank	100%	0	0	0
15	Subordinated Debt and Hybrid Capital and Debt Instruments	100%	0	0	0
16	Financial Derivative Instruments	100%	0	0	0
17	Fixed Irrevocable Mortgage Loan Commitments	20%	0	0	0
18	Irrevocable Commitments Assumed with Third Parties	20%	0	0	0
19	Securities and Marketable Instruments Subscribed for Primary Placement	50%	0 -	0	0
20	Interbank Money Market Operations - with Central Bank	100%	0	0	0
21	Interbank Money Market Operations - with Banking Financial Institutions	100%	0	0	0
22	Credits	0 -	0	0	0
22.1	To non-banking Financial Institutions	100%	0	0	0
22.2	To non-Financial Institutions	50%	0	0	0
22.3	To Individuals	50%	0	0	0
23	Securities Purchase Operations with Third Parties with Resale Agreement	100%	0	0	0
24	Financial Derivative Instruments	100%	0	0	0
25	Irrevocable Commitments Assumed by Third Parties	0%	0	0	0
26	Total Liquid Assets (A.)	-	0	0	0
27	Total Cash Flow Outflow (B.)	-	0	0	0
28	Total Cash Flow Inflow (C.)	-	0	0	0
29	Lag (26 + 28 - 27)	-	0	0	0
30	Accumulated Lag (29 + 29 from previous maturity band)	-	0	0	0
31	Liquidity Ratio (26. / (27. - min.(28; 27 * 75%)))	-	0	0	0
32	Monitoring Ratios ((30 from previous maturity band + 28) / 27)	-	0	0	0
33	Demand Deposits	0	40%	0	0
33.1	with institutions within BNA supervision perimeter	40%	0	0	0
33.2	with institutions outside BNA supervision perimeter	40%	0	0	0
34	Time Deposits	0	40%	0	0
34.1	within BNA supervision perimeter	40%	0	0	0
34.2	outside BNA supervision perimeter	40%	0	0	0
35	Other Deposits	0	100%	0	0
35.1	within BNA supervision perimeter	100%	0	0	0
35.2	outside BNA supervision perimeter	100%	0	0	0
36	Interbank Money Market Operations with Banking Financial Institutions	0%	0	0	0
36.1	within BNA supervision perimeter	0%	0	0	0
36.2	outside BNA supervision perimeter	0%	0	0	0
37	Fundraising with Securities and Marketable Instruments	0	100%	0	0
37.1	within BNA supervision perimeter	100%	0	0	0
37.2	outside BNA supervision perimeter	100%	0	0	0
38	Other Contracted Fundraising	0	100%	0	0
38.1	within BNA supervision perimeter	100%	0	0	0
38.2	outside BNA supervision perimeter	100%	0	0	0
39	Securities Sale Operations (own and third-party) with Repurchase Agreement	0	100%	0	0
39.1	within BNA supervision perimeter	100%	0	0	0
39.2	outside BNA supervision perimeter	100%	0	0	0
40	Subordinated Debt and Hybrid Capital and Debt Instruments	0	100%	0	0
40.1	within BNA supervision perimeter	100%	0	0	0
40.2	outside BNA supervision perimeter	100%	0	0	0
41	Financial Derivative Instruments	0	100%	0	0
41.1	within BNA supervision perimeter	100%	0	0	0
41.2	outside BNA supervision perimeter	100%	0	0	0
42	Irrevocable Commitments Assumed with Third Parties	0	20%	0	0
42.1	within BNA supervision perimeter	20%	0	0	0
42.2	outside BNA supervision perimeter	20%	0	0	0
43	Securities and Marketable Instruments Subscribed for Primary Placement	0	50%	0	0
43.1	within BNA supervision perimeter	50%	0	0	0
43.2	outside BNA supervision perimeter	50%	0 -	0
44	Interbank Money Market Operations - with Banking Financial Institutions	0%	0	0	0
44.1	within BNA supervision perimeter	0%	0	0	0
44.2	outside BNA supervision perimeter	0%	0	0	0
45	Credits	0	100%	0	0
45.1	within BNA supervision perimeter	100%	0	0	0
45.2	outside BNA supervision perimeter	100%	0	0	0
46	Securities Purchase Operations with Third Parties with Resale Agreement	0	100%	0	0
46.1	within BNA supervision perimeter	100%	0	0	0
46.2	outside BNA supervision perimeter	100%	0	0	0
47	Financial Derivative Instruments	0	100%	0	0
47.1	within BNA supervision perimeter	100%	0	0	0
47.2	outside BNA supervision perimeter	100%	0	0	0
48	Irrevocable Commitments Assumed by Third Parties	0%	0	0	0
48.1	within BNA supervision perimeter	0%	0	0	0
48.2	outside BNA supervision perimeter	0%	0 -	0

Code	Description	Band 1	Band 2	Band 3	Band 4
E. INTRA-GROUP TRANSACTIONS
E.1. Total Cash Flow Outflow to the Group	0	0	0	0
E.2. Total Cash Flow Inflow from the Group	0	0	0	0
49	Total Liquid Assets (A.)	-	0	0	0
50	Total Cash Flow Outflow (B. - E.1.)	-	0	0	0
51	Total Cash Flow Inflow (C. - E.2)	-	0	0	0
52	Lag (49 + 51 - 50)	-	0	0	0
53	Accumulated Lag (52 + 52 from previous maturity band)	-	0	0	0
54	Liquidity Ratio (49 / (50 - min.(51; 50 * 75%)))	-	0	0	0
55	Monitoring Ratios ((53. from previous maturity band + 51.) / 50.)	-	0	0	0
F. RATIOS - Excluding Intra-Group Transactions

OTHER REQUIREMENTS: The Institution must actively monitor and control its exposure to liquidity risk and financing needs at the level of all its legal entities, foreign branches, and subsidiaries, as well as in relation to the group as a whole, taking into account possible legal, regulatory, and operational limitations on liquidity transfer. This requirement is of particular importance to guard against extreme situations where the financial group lacks the capacity to assist the Institution.

Description	Value	Total	%
Credits	0	0.00%
(Legal name of counterparty)
Irrevocable Commitments Assumed by Third Parties	0	0.00%
(Legal name of counterparty)
Customer Deposits	0	0.00%
(Legal name of counterparty)
Interbank Money Market Operations with Banking Financial Institutions	0	0.00%
(Legal name of counterparty)
Irrevocable Commitments Assumed with Third Parties	0	0.00%
(Legal name of counterparty)

G. COUNTERPARTY EXPOSURE

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 13 of 27
ANNEX II
Rules for Completing the Liquidity Risk Information Reporting Table

1. When completing the tables referred to in paragraphs (a) and (b) of subpoint 4.2, number 4 of this Instruction, only cash flows related to the currency in question shall be incorporated.
2. When completing the table referred to in paragraph (c) of subpoint 4.2, number 4 of this Instruction, cash flows in national currency and foreign currencies shall be incorporated.
3. Field completion is mandatory; the Institution must include the value 0 (zero) if no cash flows are expected in that field.
4. Cash flows from assets, liabilities, and off-balance sheet items must be assigned to one of the following time bands:
   • Time Band 1 (cash or up to 12 months) applies only to Assets eligible as collateral in Bank of Angola credit operations;
   • Time Band 2 (1 to 3 months)...