Guideline No. 19/2021 of October 27

GUIDELINE NO. 19/2021 of October 27 SUBJECT: FINANCIAL SYSTEM

• Reporting on the Composition of Own Funds and Own Funds Ratios

Whereas it is necessary to regulate the information that Banking Financial Institutions must provide to the Banco Nacional de Angola regarding the composition of regulatory own funds and respective ratios foreseen in Notice No. 08/21 of July 05 on Prudential Requirements; Pursuant to the combined provisions of paragraphs d) and f) of paragraph 1 of Article 31.º and paragraph c) of paragraph 1 of Article 54.º, both of Law No. 16/10 of July 15, Law of the Banco Nacional de Angola, and Article 164.º of Law No. 14/21 of May 19, Law on the General Regime of Financial Institutions. I HEREBY DETERMINE:

1. Information Reporting 1.1. Institutions must report information on the composition of own funds, own funds requirements, and own funds ratios foreseen in Notice No. 08/21 of July 05 on Prudential Requirements, quarterly on an individual basis, using the forms and filling notes attached to this Guideline, and monthly on a consolidated basis; 1.2. For the purposes of the preceding subpoint, if it is a financial group, the parent company must report the information according to the consolidation perimeter foreseen in Article 5.º of Notice No. 08/21 of July 05 on Prudential Requirements.

CONTINUATION OF GUIDELINE NO. 19/2021 Page 2 of 16 1.3. Institutions that, due to the nature of their activity, do not have information to report to the Banco Nacional de Angola, must declare this fact through the forms attached to this Guideline and forming an integral part thereof 1.4. Institutions must ensure that the data reported in the table attached to this Guideline are properly documented.

2. Sanctions Non-compliance with the standards established in this Guideline constitutes an offense punishable under Law No. 14/21 of May 19, Law on the General Regime of Financial Institutions.

3. Transitional Provisions 3.1. Institutions must comply with the provisions of this Guideline starting from December 31, 2021. 3.2. For the purposes of subpoint 1.1 of this Guideline, Institutions must report to the Banco Nacional de Angola on an individual basis, monthly, and on a consolidated basis, quarterly, until August 2022. 3.3. Without prejudice to the preceding subpoint, Institutions must report the required information, on an individual and consolidated basis, quarterly, starting from September 2022.

4. Doubts and Omissions Doubts and omissions resulting from the interpretation and application of this Guideline are resolved by the Banco Nacional de Angola.

5. Repeal All regulations contrary to the provisions of this Guideline are hereby repealed, notably Guideline No. 18/16 of August 08 on Reporting on the Composition of Own Funds and Solvency Ratio.

CONTINUATION OF GUIDELINE NO. 19/2021 Page 3 of 16 6. Entry into Force This Guideline enters into force on the date of its publication. PUBLISH. Luanda, October 27, 2021. THE GOVERNOR JOSÉ DE LIMA MASSANO

ANNEX I Filling Notes for the "Own Funds Components" Form

1. The "Own Funds Components" form in Annex IV of this Guideline includes the amount of institutions' own funds, broken down into the elements necessary to arrive at that amount.
2. The reporting of information for the form must be carried out in accordance with the provisions present in Notice No. 08/21 of July 05 on Prudential Requirements, namely: a) For the calculation of own funds: i. Core Tier 1; ii. Additional Tier 1; iii. Tier 2; b) For the calculation of deductions from own funds: i. Core Tier 1; ii. Additional Tier 1; iii. Tier 2; c) For the determination of own funds on a consolidated basis.
3. In this context, the references made in this annex must be understood as parts of Notice No. 08/21 of July 05 on Prudential Requirements, except in cases where another regulation is specified.
4. When filling out the information reporting form, the following must be considered: a) Items whose designation is preceded by a (-) sign must be filled with a negative value; b) Line 1 represents the aggregation of the values of lines 1.1 and 1.2, and corresponds to regulatory funds for solvency purposes; c) Line 1.1 presents the aggregation of the values of lines 1.1.1 and 1.1.2, and corresponds to Tier 1 own funds; d) Line 1.1.1 presents the aggregation of the values of lines 1.1.1.1, 1.1.1.2, 1.1.1.3, 1.1.1.4, 1.1.1.5 and 1.1.1.6, and corresponds to Core Tier 1 own funds; e) Line 1.1.1.1 presents the aggregation of the values of lines 1.1.1.1.1, 1.1.1.1.2, 1.1.1.1.3, 1.1.1.1.4, 1.1.1.1.5, and corresponds to own fund instruments eligible as Core Tier 1 own funds: i. Line 1.1.1.1.1 corresponds to paragraph 2(a) of Article 18.º; ii. Line 1.1.1.1.2 corresponds to paragraph 2(f) of Article 18.º, elements already referred to in the previous point must not be included; iii. Line 1.1.1.1.3 corresponds to paragraph 2(g) of Article 18.º; iv. Line 1.1.1.1.4 corresponds to paragraph 5(a) of Article 18.º; v. Line 1.1.1.1.5 corresponds to paragraph 5(b) of Article 18.º; f) Line 1.1.1.2 presents the aggregation of the values of lines 1.1.1.2.1, 1.1.1.2.2 and 1.1.1.2.3, and corresponds to reserves and carried-forward results: i. Line 1.1.1.2.1 corresponds to paragraph 2(b) of Article 18.º; ii. Line 1.1.1.2.2 corresponds to paragraph 2(c) of Article 18.º; iii. Line 1.1.1.2.3 corresponds to paragraph 5(c) of Article 18.º; g) Line 1.1.1.3 presents the aggregation of the values of lines 1.1.1.3.1, 1.1.1.3.2, 1.1.1.3.3, 1.1.1.3.4, and corresponds to results of the last financial year and the current financial year, in which the provisions of paragraphs 3 and 4 of Article 18.º must also be taken into account: i. Line 1.1.1.3.1 corresponds to paragraph 2(d) of Article 18.º; ii. Line 1.1.1.3.2 corresponds to paragraph 5(d) of Article 18.º; iii. Line 1.1.1.3.3 corresponds to paragraph 2(e) of Article 18.º; iv. Line 1.1.1.3.4 corresponds to paragraph 5(e) of Article 18.º; h) Line 1.1.1.4 presents the aggregation of lines 1.1.1.4.1, 1.1.1.4.2, 1.1.1.4.3, 1.1.1.4.4 and 1.1.1.4.5, in accordance with points i. and ii. of paragraph c) of paragraph 2 of Article 26.º. This line is only applicable to Institutions that calculate their own funds on a consolidated basis. i) Line 1.1.1.4.1 corresponds to the accounting value of minority interests subject to the following adjustments, when applicable: i. This value must be deducted by the portion of results attributable to minority interests, in cases where it is verified, cumulatively, that this portion is positive and that the consolidated result of the group has not been certified by an external auditor as required in Notice No. 09/21 of July 05 on External Audit; ii. It must be deducted by foreseeable dividends to be distributed regarding the portion of results attributable to minority interests that is being considered in the calculation of own funds. j) Line 1.1.1.5 presents the aggregation of lines 1.1.1.5.1, 1.1.1.5.2, 1.1.1.5.3, 1.1.1.5.4, and corresponds to adjustments to Core Tier 1 own funds due to prudential filters: i. Line 1.1.1.5.1 corresponds to paragraph 1 of Article 17.º; ii. Line 1.1.1.5.2 corresponds to paragraph 2(a) of Article 17.º. The amount to be reported may be positive or negative. It is positive when cash flow hedges result in losses (i.e., when they reduce accounting equity) and vice-versa. Thus, the sign is opposite to that used in accounting statements. The amount must be indicated after deducting any foreseeable taxes at the time of calculation; iii. Line 1.1.1.5.3 corresponds to paragraph 2(b) of Article 17.º. The amount to be reported may be positive or negative. It is positive when changes in own credit risk result in losses (i.e., when they reduce accounting equity) and vice-versa. Thus, the sign is opposite to that used in accounting statements. Unaudited profits cannot be included in this element;

CONTINUATION OF GUIDELINE NO. 19/2021 Page 5 of 16 iv. Line 1.1.1.5.4 corresponds to paragraph 2(c) of Article 17.º. The amount to be reported may be positive or negative. It is positive when changes in the institution's own credit risk result in losses and vice-versa. Thus, the sign is opposite to that used in accounting statements. Unaudited profits cannot be included in this element. k) Line 1.1.1.6 presents the aggregation of lines 1.1.1.6.1, 1.1.1.6.2, 1.1.1.6.3, 1.1.1.6.4, 1.1.1.6.5, 1.1.1.6.6, 1.1.1.6.7, 1.1.1.6.8, 1.1.1.6.9, 1.1.1.6.10, 1.1.1.6.11, and corresponds to other elements to be deducted from Core Tier 1 own funds: i. Line 1.1.1.6.1 corresponds to paragraph 5(f) of Article 18.º; ii. Line 1.1.1.6.2 corresponds to paragraph 5(g) of Article 18.º; iii. Line 1.1.1.6.3 corresponds to paragraph 5(h) of Article 18.º; iv. Line 1.1.1.6.4 corresponds to paragraph 5(i) of Article 18.º; v. Line 1.1.1.6.5 corresponds to paragraph 5(k) of Article 18.º; vi. Line 1.1.1.6.6 corresponds to paragraph 5(l) of Article 18.º; vii. Line 1.1.1.6.7 corresponds to paragraph 5(m) of Article 18.º; viii. Line 1.1.1.6.8 corresponds to paragraph 5(n) of Article 18.º, carried out in accordance with Article 25.º; ix. Line 1.1.1.6.9 corresponds to paragraph 5(o) of Article 18.º, carried out in accordance with Article 25.º; x. Line 1.1.1.6.10 corresponds to paragraph 5(p) of Article 18.º, carried out in accordance with Article 25.º; xi. Line 1.1.1.1.6.11 corresponds to paragraph 5(q) of Article 18.º; l) Line 1.1.2 presents the aggregation of lines 1.1.2.1, 1.1.2.2, 1.1.2.2, 1.1.2.3, 1.1.2.4, 1.1.2.5, 1.1.2.6 and 1.1.2.7, and corresponds to Additional Tier 1 own funds; m) Line 1.1.2.1 presents the aggregation of lines 1.1.2.1.1, 1.1.2.1.2, 1.1.2.1.3, 1.1.2.1.4 and 1.1.2.1.5, and corresponds to own fund instruments eligible as Additional Tier 1 own funds: i. Line 1.1.2.1.1 corresponds to paragraph 2(a) of Article 20.º; ii. Line 1.1.2.1.2 corresponds to paragraph 2(b) of Article 20.º; iii. Line 1.1.2.1.3 corresponds to paragraph 2(c) of Article 20.º; iv. Line 1.1.2.1.4 corresponds to paragraph 2(d) of Article 20.º; v. Line 1.1.2.1.5 corresponds to paragraph 3(a) of Article 20.º, carried out in accordance with Article 25.º; n) Line 1.1.2.2 corresponds to paragraph 3(b) of Article 20.º, carried out in accordance with Article 25.º; o) Line 1.1.2.3 corresponds to paragraph 3(c) of Article 20.º, carried out in accordance with Article 25.º; p) Line 1.1.2.4 corresponds to paragraph 3(d) of Article 20.º, carried out in accordance with Article 25.º; q) Line 1.1.2.5 corresponds to paragraph 3(e) of Article 20.º; r) Line 1.1.2.6 corresponds to the symmetric of the value presented in point vi. of paragraph k) of this number, resulting from the fact that Additional Tier 1 own funds cannot be negative, but it may happen that deductions to Additional Tier 1 own funds exceed Additional Tier 1 own funds together with related issuance premiums. In these cases, Additional Tier 1 own funds must be equal to zero and the excess deductions to these own funds must be deducted from Core Tier 1 own funds; s) Line 1.1.2.7 corresponds to paragraph 3(f) of Article 20.º; t) Line 1.2 presents the aggregation of lines 1.2.1, 1.2.2, 1.2.3, 1.2.4, 1.2.5 and 1.2.6, and corresponds to Tier 2 own funds; u) Line 1.2.1 presents the aggregation of lines 1.2.1.1, 1.2.1.2, 1.2.1.3, 1.2.1.4, 1.2.1.5, and corresponds to own fund instruments eligible as Tier 2 own funds: i. Line 1.2.1.1 corresponds to paragraph 2(a) of Article 22.º; ii. Line 1.2.1.2 corresponds to paragraph 2(c) of Article 22.º;

CONTINUATION OF GUIDELINE NO. 19/2021 Page 6 of 16 iii. Line 1.2.1.3 corresponds to paragraph 2(d) of Article 22.º; iv. Line 1.2.1.4 corresponds to paragraph 2(e) of Article 22.º; v. Line 1.2.1.5 corresponds to paragraph 3(a) of Article 22.º, carried out in accordance with Article 25.º; v) Line 1.2.2 corresponds to paragraph 2(b) of Article 22.º; w) Line 1.2.3 corresponds to paragraph 3(b) of Article 22.º, carried out in accordance with Article 25.º; x) Line 1.2.4 corresponds to paragraph 3(c) of Article 22.º, carried out in accordance with Article 25.º; y) Line 1.2.5 corresponds to paragraph 3(d) of Article 22.º, carried out in accordance with Article 25.º; z) Line 1.2.6 corresponds to the symmetric of the value presented in paragraph q) of this number, resulting from the fact that Tier 2 own funds cannot be negative, but it may happen that deductions to Tier 2 own funds exceed Tier 2 own funds together with related issuance premiums. In these cases, Tier 2 own funds must be equal to zero and the excess deductions to these own funds must be deducted from Additional Tier 1 own funds; aa) Line 1.3.1 corresponds to the minimum share capital amount stipulated in specific regulation.

CONTINUATION OF GUIDELINE NO. 19/2021 Page 7 of 16 ANNEX II Filling Notes for the "Own Funds Requirements and Risk-Weighted Assets" Form

1. The "Own Funds Requirements and Risk-Weighted Assets" form in Annex IV of this Guideline summarizes own funds requirements and risk-weighted assets within the meaning of paragraph 4 of Article 9.º of Notice No. 08/21 of July 05 on Prudential Requirements.
2. In this context, the references made in this annex must be understood as made to Notice No. 08/21 of July 05 on Prudential Requirements, except in cases where another regulation is specified.
3. When filling out the information reporting form, the following must be considered: a) Column a) presents the own funds requirements (OFRs); b) Column b) corresponds to risk-weighted assets (RWAs), obtained by multiplying the values of column a) by 12.5; c) Line 1 represents the aggregation of the values of lines 1.1, 1.2, 1.3, 1.4, 1.5 and 1.6, and corresponds to the total OFRs and RWAs; d) Line 1.1 presents the aggregation of the values of lines 1.1.1, 1.1.2, 1.1.3, 1.1.4, 1.1.5, 1.1.6, 1.1.7, 1.1.8 and 1.1.9, and corresponds to the total OFRs and RWAs of Credit Risk, Counterparty Credit Risk and Incomplete Transactions within the meaning of paragraphs a) and e) of paragraph 4 of Article 9.º; e) Line 1.1.1 presents the aggregation of the values of lines 1.1.1.1, 1.1.1.2 and 1.1.1.3, and corresponds to the total OFRs and RWAs of Credit Risk, Counterparty Credit Risk and Incomplete Transactions regarding the public entities risk class. f) Line 1.2 presents the aggregation of the values of lines 1.2.1 and 1.2.2, and corresponds to the total OFRs and RWAs of Settlement/Delivery Risk within the meaning of paragraph d) of paragraph 4 of Article 9.º; g) Line 1.3 presents the aggregation of the values of lines 1.3.1, 1.3.2, 1.3.3, 1.3.4 and 1.3.5, and corresponds to the total OFRs and RWAs of Market Risk within the meaning of paragraph c) of paragraph 4 of Article 9.º; h) Line 1.4 presents the aggregation of the values of lines 1.4.1 and 1.4.2, and corresponds to the total OFRs and RWAs of Operational Risk within the meaning of paragraph b) of paragraph 4 of Article 9.º; i) Line 1.5 corresponds to the total OFRs and RWAs of Credit Valuation Adjustment Risk within the meaning of paragraph f) of paragraph 4 of Article 9.º; j) Line 1.6 presents the aggregation of the values of lines 1.6.1 and 1.6.2, and corresponds to the total OFRs and RWAs for covering excesses against Prudential Limits on Large Exposures and Holdings in Non-Financial Enterprises within the meaning of paragraph 8 of Article 36.º: i. Line 1.6.1 refers to excesses against the limits of paragraphs 3 to 5 of the aforementioned Article; ii. Line 1.6.2 refers to excesses against the limits of paragraphs 6 to 8 of the aforementioned Article.

CONTINUATION OF GUIDELINE NO. 19/2021 Page 8 of 16 ANNEX III Filling Notes for the "Own Funds Ratios" Form

1. The "Own Funds Ratios" form in Annex IV of this Guideline includes the solvency ratios for which Notice No. 08/21 of July 05 on Prudential Requirements determines own funds requirements.
2. In this context, the references made in this annex must be understood as made to Notice No. 08/21 of July 05 on Prudential Requirements, except in cases where another regulation is specified.
3. When filling out the information reporting form, the following must be considered: a) Line 1 corresponds to the institution's Core Tier 1 own funds (CT1) expressed as a percentage of risk-weighted assets (RWAs) within the meaning of paragraph c) of paragraph 3 of Article 9.º; b) Line 2 presents, in absolute values, the amount of the surplus or deficit of CT1 in relation to the requirement established in paragraph c) of paragraph 3 of Article 9.º (4.5%); c) Line 3 corresponds to the institution's Tier 1 own funds (T1) expressed as a percentage of RWAs within the meaning of paragraph b) of paragraph 3 of Article 9.º; d) Line 4 presents, in absolute values, the amount of the surplus or deficit of T1 in relation to the requirement established in paragraph b) of paragraph 3 of Article 9.º (6%); e) Line 5 corresponds to the institution's regulatory own funds (ROF) expressed as a percentage of RWAs within the meaning of paragraph a) of paragraph 3 of Article 9.º; f) Line 6 presents, in absolute values, the amount of the surplus or deficit of ROF in relation to the requirement established in paragraph a) of paragraph 3 of Article 9.º (8%); g) Line 7 corresponds to the additional own funds requirement (requirements under Pillar 2 - R2), referred to in Article 10.º, in the form of a ratio. This element must be communicated to the institution by the Banco Nacional de Angola. If the Banco Nacional de Angola has not communicated any R2, the value to be reported must be 0%; h) Line 8 corresponds to the sum of the following points: i. the CT1 ratio (4.5%) as specified in paragraph c) of paragraph 3 of Article 9.º; ii. the R2 referred to in paragraph g) of this number; i) Line 9 corresponds to the sum of the following points: i. the T1 ratio (6%) as specified in paragraph b) of paragraph 3 of Article 9.º; ii. the R2 referred to in paragraph g) of this number; j) Line 10 corresponds to the sum of the following points: i. the ROF ratio (8%) as specified in paragraph a) of paragraph 3 of Article 9.º; ii. the R2 referred to in paragraph g) of this number; k) Line 11 presents, in absolute values, the amount of the surplus or deficit of CT1 in relation to the total own funds requirements ratios of the SREP (TRFRR), established in paragraphs h) to j) of this number; l) Line 12 presents the aggregation of the values of lines 12.1, 12.2 and 12.3, and corresponds to the combined reserve requirement, referred to in Article 11.º, in the form of a ratio: i. Line 10.1 corresponds to the conservation reserve within the meaning of Article 12.º; ii. Line 10.2 corresponds to the countercyclical reserve within the meaning of Article 13.º; iii. Line 10.3 corresponds to the reserve for Systemically Important Institutions within the meaning of Article 14.º; m) Line 13 corresponds to the sum of the following points: i. The TRFRR ratio referred to in paragraph h) of this number; ii. The combined reserve requirement referred to in paragraph l) of this number;

CONTINUATION OF GUIDELINE NO. 19/2021 Page 9 of 16 n) Line 14 corresponds to the sum of the following points: i. The TRFRR ratio referred to in paragraph i) of this number; ii. The combined reserve requirement referred to in paragraph l) of this number; o) Line 15 corresponds to the sum of the following points: i. The TRFRR ratio referred to in paragraph j) of this number; ii. The combined reserve requirement referred to in paragraph l) of this number; p) Line 16 presents, in absolute values, the amount of the surplus or deficit of CT1 in relation to the total own funds requirements ratios (TOFRR), established in paragraphs m) to o) of this number; q) Line 17 corresponds to the additional own funds guidance (guidance under Pillar 2 - G2), referred to in Article 15.º, in the form of a ratio. This element must be communicated to the institution by the Banco Nacional de Angola. If the Banco Nacional de Angola has not communicated any G2, the value to be reported must be 0%; r) Line 18 corresponds to the sum of the following points: i. The TOFRR ratio referred to in paragraph m) of this number; ii. The G2 referred to in paragraph q) of this number; s) Line 19 corresponds to the sum of the following points: i. The TOFRR ratio referred to in paragraph n) of this number; ii. The G2 referred to in paragraph q) of this number; t) Line 20 corresponds to the sum of the following points: i. The TOFRR ratio referred to in paragraph o) of this number; ii. The G2 referred to in paragraph q) of this number; u) Line 21 presents, in absolute values, the amount of the surplus or deficit of CT1 in relation to the TOFRR and G2 ratios, established in paragraphs r) to t) of this number.

CONTINUATION OF GUIDELINE NO. 19/2021 Page 10 of 16 ANNEX IV Forms "Own Funds Components, Own Funds Requirements and Own Funds Ratios" Own Funds Components

CONTINUATION OF GUIDELINE NO. 19/2021 Page 11 of 16 *The header must be part of all tables Own Funds Requirements and Risk-Weighted Assets Own Funds Ratios