BANCO NACIONAL DE ANGOLA

Governor's Office

INSTRUCTION NO. 03/17

of January 30

SUBJECT: REPORTING ON PRUDENTIAL LIMITS FOR LARGE EXPOSURES

Where it is necessary to regulate the submission of information to be provided by Financial Institutions to the Bank of Angola, within the scope of provisions regarding prudential limits for large exposures and holdings in non-financial enterprises by financial institutions under the supervision of the Bank of Angola, in accordance with Article 14 of the Notice on prudential limits for large exposures;

Under the combined provisions of letters d) and f) of paragraph 1 of Article 21, and letter d) of paragraph 1 of Article 51, both of Law No. 16/10 of July 15, the Bank of Angola Law, and of Article 90 of Law No. 12/15 of June 17, the Basic Law of Financial Institutions.

I DETERMINE:

1. Reporting on prudential limits for large exposures

1.1. Financial institutions must submit to the Bank of Angola information regarding their large exposures and holdings in non-financial enterprises, using the forms and filling notes provided in Annexes I and II, which form an integral part of this Instruction. The values to be filled in must comply with the provisions of Article 14 of the Notice on prudential limits for large exposures.

1.2. Without prejudice to the submission of information on an individual basis, parent companies of the financial group must submit the information provided for in this Instruction on a consolidated basis, taking into account

Avenida 4 de Fevereiro, nº 151 - Luanda, Angola - Caixa Postal 1243 Tel: (+244) 222 679 200 Fax: (+244) 222 679 217

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the consolidation perimeter for prudential purposes provided for in Notice No. 03/2013 of April 22, on prudential supervision on a consolidated basis.

1.3. Financial institutions must report the information required by this Instruction on an individual basis monthly and on a consolidated basis quarterly, both by the end of the month following the period to which they refer.

1.4. Additionally, financial institutions must, at any time and through supporting documentation, be in a position to justify to the Bank of Angola the data reported in the Annex forms.

2. Sanctions

Failure to comply 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 the Notice on prudential limits for large exposures.

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, January 30, 2017.

THE GOVERNOR VALTER FILIPE DUARTE DA SILVA

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ANNEX I

Filling Notes for the "Prudential Limits for Large Exposures" Form

1. The "Prudential Limits" form is applicable to financial institutions for calculating their large exposures according to the method provided for in the Notice on prudential limits for large exposures. The reporting to be made in the form must be carried out in accordance with the instructions set out in this Instruction.

2. When filling in the form, all exposures must be considered, and those denominated in foreign currency must be converted into Kwanzas, at the reference exchange rate of the Bank of Angola for the respective date.

3. The tabs "GR_01" and "GR_02" must be filled in with all exposures to counterparties, individually. The tabs "GR_03" and "GR_04" are analogous to the first two, with the particularity that all individual exposures are grouped by groups of interconnected counterparties. In the case where the counterparty does not belong to any group of interconnected counterparties, "No Group" must be entered in the "Group" column.

4. In the context of filling in the form, it is necessary to take into account the items of the Manual of the Accounting Plan of Financial Institutions (CONTIF), due to the need for their use in calculating the exposures considered in Article 9 of the Notice on prudential limits for large exposures.

5. In this context, the scope of the notes in the form is as follows:

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Regarding tabs "GR_01" and "GR_03":

a. The columns "Counterparty", "Risk Position Reference", "Country", and "Group" serve to identify the counterparty to which exposures have been established. Specifically, in the "Counterparty" column, the legal name of the person, singular or collective, to which the financial institution is exposed must be entered; the "Risk Position Reference" column serves as a unique identifier of the operation according to the financial institution's information systems (e.g., credit contract number); the "Country" column serves to identify the country of origin of the counterparty; the "Group" column serves to identify, if relevant, the economic group to which the counterparty belongs.

b. The column "Holder of Qualified Participations? Yes/No" in tabs "GR_01" and "GR_03" serves to determine whether the counterparty to which the financial institution is exposed holds qualified participations, for the purpose of calculating the limit established in paragraph 2 of Article 6 of the Notice on prudential limits for large exposures.

c. Columns (1) to (9) comprise the elements referred to in letter a) of paragraph 1 of Article 9 of the Notice on prudential limits for large exposures.

i) Column (1) results from the sum of items 1.10.10, 1.10.20, and 1.10.30.

ii) Column (2) results from the sum of items 1.20.10, 1.20.20, 1.20.30, and 1.20.40.

iii) Column (3) results from the sum of item 1.30.10 with 1.30.30. Item 1.30.20 is not included, in accordance with letter a) of paragraph 1 of Article 9 of the Notice on prudential limits for large exposures, as it is an exposure

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belonging to the trading book. Additionally, in this column, exposures referred to in letter b) of paragraph 2 of Article 9 of the Notice on prudential limits for large exposures are not considered.

iv) Column (4) results from the sum of items 1.4.10, 1.40.20, 1.40.30, and 1.40.40.

v) Column (5) results from the sum of item 1.50.10 with 1.50.20. In item 1.50.20, exposures referred to in letter c) of paragraph 2 of Article 9 of the Notice on prudential limits for large exposures are not considered.

vi) Column (6) results from the sum of items 1.60.10, 1.60.20, and 1.60.90. In this column, exposures referred to in letter a) of paragraph 2 of Article 9 of the Notice on prudential limits for large exposures are not considered.

vii) Column (7) results from the sum of item 1.70.10 with 1.70.90.

viii) Column (8) results from the sum of items 1.80.10, 1.80.20, 1.80.30, 1.80.40, 1.80.80, and 1.80.90.

ix) Column (9) results from the sum of items 1.90.10.10, 1.90.10.20, 1.90.10.30, and 1.90.10.90.

x) Column (9a) corresponds to item 1.90.10.20. Its breakdown serves for the purpose of verifying the limits set out in Article 7 of the Notice on prudential limits for large exposures.

d. Column 10 corresponds to the sum of columns 1 to 9, enumerated above, and corresponds to the value to be carried over to tabs "GR_02" and "GR_04", [(10) = (1) + (2) + (3) + (4) + (5) + (6) + (7) + (8) + (9)].

Regarding tabs "GR_02" and "GR_04":

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a. Column (11) corresponds to the value of column (10) carried over to tabs "GR_02" and "GR_04", coming respectively from tabs "GR_01" and "GR_03".

b. Numbers (12) to (14) comprise the elements referred to in letter b) of column 1 of Article 9 of the Notice on prudential limits for large exposures.

c. Numbers (12) and (13) correspond to long and short positions, respectively, belonging to the trading book, calculated in accordance with Annex I of the Instruction on calculation and requirement of regulatory capital for market risk and counterparty credit risk in the trading book.

d. Column (14) represents the excess in the trading book of long positions, recorded in (12), relative to short positions, recorded in (13), [(14) = (12) – (13)].

e. Numbers (15) to (17) comprise exposures arising from off-balance sheet elements referred to in letter c) of paragraph 1 of Article 9 of the Notice on prudential limits for large exposures.

f. Column (15) results from the sum of item 9.10.20.10 with 9.10.20.20.

g. Column (16) corresponds to item 9.10.30.40. In this column, exposures referred to in letter d) of paragraph 2 of Article 9 of the Notice on prudential limits for large exposures are not considered.

h. Column (17) results from the sum of item 9.10.60.10 with 9.10.60.20.

i. Column (18) comprises instruments referred to in letter d) of paragraph 1 of Article 9 of the Notice on prudential limits for large exposures. The value to be inserted in this column corresponds to the multiplication of the notional value in item 9.10.40, by the percentage in the table presented in Annex II of the Notice on prudential limits for large exposures, corresponding.

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j. Column (19) corresponds to the total value of exposures to each counterparty or group of interconnected counterparties, [(19) = (11) + (14) + (15) + (16) + (17) + (18)].

k. Column (20) corresponds to exemptions from large exposure limits enumerated in Article 11 of the Notice on prudential limits for large exposures.

l. Column (21) corresponds to partial deductions, at 80%, to exposures to counterparties, as indicated in paragraph 1 of Article 12 of the Notice on prudential limits for large exposures.

m. Column (22) corresponds to partial deductions, at 50%, to exposures to counterparties, as indicated in paragraph 1 of Article 12 of the Notice on prudential limits for large exposures.

n. According to Article 10 of the Notice on prudential limits for large exposures, guarantees that meet the eligibility criteria established in Notice No. 10/2014 of December 10, on guarantees for prudential purposes, may be considered within the scope of exemptions and deductions referred to in letters o), p), and q).

o. Column (23) corresponds to exposures, or portions of exposures, fully covered by regulatory capital, in accordance with paragraph 1 of Article 8 of the Notice on prudential limits for large exposures. The total regulatory capital allocated to said coverage corresponds to line 1.4.2., "Risks covered by regulatory capital", of the regulatory capital reporting form.

p. Column (24) corresponds to the total risks subject to limit, to each counterparty or group of interconnected counterparties, and results from the subtraction of exemptions and deductions, contemplated in letters o), p), and q) from the total value of exposures contemplated in letter n), [(24) = (19) – (20) – 20% × (21) – 50% × (22)].

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q. Columns (25a), (25b), (26a), and (26b) correspond to values to be deducted from regulatory capital. The sum of columns (25a) and (25b) corresponds to the value to be deducted from regulatory capital, according to the provisions of paragraphs 1 and 2 of Article 6. The sum of columns (26a) and (26b) corresponds to the value to be deducted from regulatory capital, according to the provisions of paragraph 1 of Article 7 of the Notice on prudential limits for large exposures.

i) Columns (25a) and (25b) comprise the value to be deducted from regulatory capital, arising from exposures to counterparties that do not form part of a group of interconnected counterparties.

ii) Columns (26a) and (26b) comprise the value to be deducted from regulatory capital, arising from exposures to groups of interconnected counterparties. Exposures to counterparties that are part of a group of interconnected counterparties are not considered in columns (25a) and (25b).

r. Column (27), of tab "GR_04", corresponds to the value to be deducted from regulatory capital, according to the provisions of paragraph 3 of Article 6 of the Notice on prudential limits for large exposures.

s. Column (28), of tab "GR_04", corresponds to the value to be deducted from regulatory capital, according to the provisions of paragraph 2 of Article 7 of the Notice on prudential limits for large exposures.

Regarding tab "GR_05":

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