Instruction No. 20/2021 of 27 October on the Leverage Ratio

INSTRUCTION NO. 20/2021 of 27 October SUBJECT: FINANCIAL SYSTEM - Leverage Ratio

Given the need to regulate technical specifics regarding the total exposure measure of the leverage ratio, in accordance with Instruction No. 08/21 of 5 July on Prudential Requirements, considering the importance of monitoring said ratio within the prudential supervision of Banking Financial Institutions supervised by the National Bank of Angola; In accordance with the combined provisions of letters d) and f) of paragraph 1 of Article 31, and letter c) of paragraph 1 of Article 54, both of Law No. 16/10 of 15 July – Law of the National Bank of Angola, and Article 206 of Law No. 14/21 of 19 May, Law on the General Regime of Financial Institutions. DETERMINE:

1. Object This Instruction establishes the Leverage Ratio that Banking Financial Institutions must consider, in accordance with the provisions of Instruction No. 08/21 of 5 July on Prudential Requirements.

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

3. Definitions Without prejudice to the definitions established in Law No. 14/21 of 19 May, Law on the General Regime of Financial Institutions, for the purposes of this Instruction, it is understood that: a) Leverage: corresponds to the relative level of Tier 1 capital of the institution in relation to the total exposure measure, including on-balance sheet and off-balance sheet elements. b) Credit Derivatives: a financial derivative instrument that results in the transfer of credit risk between parties. c) Risk Position: considered an asset or off-balance sheet element. d) Risk: possibility of a future event occurring with negative impact on the institution's net position. e) Notional Value: declared face value upon which future payments for certain financial derivative instruments are based.

4. Leverage Ratio 4.1. The leverage ratio is calculated taking into account the following equation: Leverage Ratio = Tier 1 Capital / Total Exposure Measure

4.2. For the purposes of the preceding subsection, the Tier 1 capital measure to be considered for the leverage ratio corresponds to Tier 1 capital net of respective deductions, as provided in Chapter IV of Instruction No. 08/21 of 5 July on Prudential Requirements, and the total exposure measure corresponds to the sum of exposures, as established in Annex II of this Instruction.

5. Information Reporting 5.1. Institutions must report the information required in Article 16 of Instruction No. 08/21 of 5 July on Prudential Requirements, quarterly, on an individual and consolidated basis, through the form provided in Annex I of this Instruction. 5.2. For the purposes of the preceding subsection, the values to be filled in must comply with the filling notes of Annex II of this Instruction. 5.3. For the purposes of the preceding subsection, if it is a financial group, the parent company must report the information according to the consolidation perimeter provided in Article 5 of Instruction No. 08/21 of 5 July on Prudential Requirements. 5.4. Institutions must report to the National Bank of Angola, the information required in Article 16 of Instruction No. 08/21 of 5 July on Prudential Requirements, individually on a monthly basis, and consolidated on a quarterly basis, until August 2022. 5.5. Without prejudice to the preceding subsection, Institutions must report information on the leverage ratio, individually and consolidated, quarterly, starting from September 2022. 5.6. Institutions must ensure that the data reported in the tables annexed to this Instruction are duly documented. 5.7. Whenever it is verified that the leverage ratio falls below the limit, Institutions must inform the National Bank of Angola within 1 (one) week, as provided in Article 16 of Instruction No. 08/21 of 5 July on Prudential Requirements. 5.8. For the purposes of the preceding subsection, within 1 (one) month from the date of its identification, Institutions must submit an action plan to restore results, in order to align with the limit established in this Instruction.

6. Sanctions Non-compliance with the mandatory norms established in this Instruction constitutes an infraction punishable under Law No. 14/21 of 19 May, Law on the General Regime of Financial Institutions.

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

8. Entry into Force This Instruction enters into force on the date of its publication. PUBLISH. Luanda, 27 October 2021. THE GOVERNOR JOSÉ DE LIMA MASSANO

CONTINUAÇÃO DO INSTRUTIVO N.º 20/2021 Página 5 de 10 ANNEX I Form “Leverage Ratio”

CONTINUAÇÃO DO INSTRUTIVO N.º 20/2021 Página 6 de 10 ANNEX II Filling Notes for the “Leverage Ratio” Form

1. The elements necessary for quantitative information reporting to the National Bank of Angola, within the scope of the leverage ratio, are described below: (A) The Leverage Ratio considering mandatory reserves (Y), resulting from the combination of the following components: (C) / ((D) – (X)) (B) The Leverage Ratio disregarding mandatory reserves (Y), resulting from the combination of the following components: (C) / ((D) – (X) – (Y)) (C) Tier 1 Capital net of respective deductions, as provided in Chapter IV of Instruction No. 08/21 of 5 July on Prudential Requirements. (D) Total exposure resulting from the sum of components (D1), (D2), and (D3) described below: (D1) Assets at their accounting value, in accordance with the rules of the Chart of Accounts for Banking Financial Institutions (PCIFB); (D2) Off-balance sheet high, medium, medium/low, and low risk exposures, referred to in Annex III of this Instruction, resulting from multiplying their notional value by the following factors: i. 100% (one hundred percent) for high risk elements; ii. 50% (fifty percent) for medium risk; iii. 20% (twenty percent) for medium/low risk; and, iv. 10% (ten percent) for low risk. (D3) Off-balance sheet elements related to financial derivative instruments (excluding credit derivatives), referred to in Annex III of this Instruction, resulting from multiplying their notional value by the percentages in the table presented below:

Table 01

Residual Maturity	Interest Rate Contracts	Foreign Exchange and Gold Contracts	Equity Securities Contracts	Precious Metals (except Gold) Contracts	Commodities (non-precious metals) Contracts
≤ 1 year	0.0%	1.0%	6.0%	7.0%	10.0%
> 1 to ≤ 5 years inclusive	0.5%	5.0%	8.0%	7.0%	12.0%
> 5 years	1.5%	7.5%	10.0%	8.0%	15.0%

(X) Total exclusions to be applied to exposure resulting from the sum of components (X1), (X2), (X3), and (X4) described below: (X1) Assets deducted in the calculation of Tier 1 capital measure, as provided in Chapter IV of Instruction No. 08/21 of 5 July on Prudential Requirements; (X2) Risk positions assumed by an Institution towards companies with which it is in a relationship of control or group, provided they are included in the consolidation perimeter for prudential purposes, as provided in Article 5 of Instruction No. 08/21 of 5 July on Prudential Requirements; (X3) Guaranteed portions of risk positions arising from export credits that meet both of the following conditions: i. The guarantee is provided by a provider of personal credit protection eligible under Annex IV of the specific normative on capital requirements for credit risk and counterparty credit risk; and, ii. A 0% (zero percent) risk weight is applicable to the guaranteed portion of the risk position over central administrations or public sector entities equivalent to risk positions over central administrations, as provided in Annex I of the specific normative on capital requirements for credit risk and counterparty credit risk. (X4) Risk positions that cumulatively meet the following conditions: i. Are risk positions over a public sector entity; ii. Are treated as risk positions over central administration in accordance with Annex I of the specific normative on capital requirements for credit risk and counterparty credit risk; and, iii. Are risk positions resulting from deposits that the institution is obliged to transfer to the public sector entity referred to in point i., in order to finance investments of general interest. (Y) The following risk positions related to mandatory reserves with the National Bank of Angola may be exempt from the exposure measure, at the initiative of the competent authority for a maximum period of 1 year: i. Coins and banknotes denominated in national currency; and, ii. Assets representing credits on the National Bank of Angola, including reserves held at the National Bank of Angola.

2. Institutions must calculate the total exposure measure of the leverage ratio according to the following principles: i. Real or financial collateral, guarantees, or credit risk reductions that are acquired cannot be used to reduce the total exposure measure; ii. Assets cannot be offset with liabilities; and, iii. Securities lending/borrowing operations, long settlement operations, and margin loan operations are not offset.

CONTINUAÇÃO DO INSTRUTIVO N.º 20/2021 Página 9 de 10 ANNEX III Classification of Off-Balance Sheet Elements

High Risk • Guarantees with the nature of credit substitutes • Acceptances • Endorsements of instruments without another Institution's signature • Irrevocable stand-by letters of credit with the nature of credit substitutes • Asset sales with repurchase agreements • Unpaid portion of shares and other partially paid securities • Forward deposits (forward depositis) • Asset purchases on terms • Transactions with recourse PCIFB Account: 9.10.20 | Class: Liability to Third Parties

Medium Risk • Indemnities and guarantees that do not have the nature of credit substitutes • Unused credit lines with an initial maturity exceeding one year • Irrevocable stand-by letters of credit that do not have the nature of credit substitutes • Documentary credits, issued and confirmed, except medium/low risk PCIFB Account: 9.10.30.20 | Class: Securities and securities subscribed for primary placement

Medium / Low Risk • Unused credit lines with an initial maturity of one year or less and irrevocable • Documentary credits for which shipping documents serve as guarantee and other potential automatic settlement transactions

Low Risk • Unused credit lines that can be unconditionally cancelled at any time without prior notice or that provide for automatic cancellation due to deterioration of the borrower's credit situation

Medium Risk (Derivatives) • Note issuance facilities (NIF), revolving underwriting facilities (RUF) and other similar instruments PCIFB Account: 9.10.40 | Class: Reference value of financial derivative instruments

High Risk (Derivatives) • Credit derivatives PCIFB Account: N/a

N/a (Derivatives) • Interest rate swaps in the same currency • Variable interest rate swaps of different nature (“base swaps”) • Interest rate forward contracts • Interest rate futures • Acquired interest rate options • Interest rate swaps in different currencies or gold • Futures on currencies or gold • Acquired options on currencies or gold • All of the above related to other reference elements or indices relating to equity securities, precious metals and commodities

N/a (Derivatives) • Forward contracts on currencies or gold PCIFB Account: 9.10.60 | Class: Foreign Exchange Operations