Instruction No. 14/2021 of 27 September

INSTRUCTION NO. 14/2021 of 27 September SUBJECT: FINANCIAL SYSTEM

• Liquidity Risk

Whereas it is necessary to know the economic value of future cash flows for the assessment and monitoring of the liquidity level of Banking Financial Institutions, as provided for in Notice No. 08/21 of 05 July on Prudential Requirements; In accordance with the combined provisions of points (d) and (f) of paragraph 1 of Article 21 and point (d) of paragraph 1 of Article 51, both of Law No. 16/10 of 15 July, the Law of the Banco Nacional de Angola, and Article 205 of Law No. 14/21 of 19 May, the Law on the General Regime of Financial Institutions. I HEREBY DETERMINE:

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

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

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Definitions Without prejudice to the definitions established in Law No. 14/21 of 19 May, the Law on the General Regime of Financial Institutions, for the purposes of this Instruction, the following shall be understood: 3.1. Time Band - a unit of measurement used to classify a period, space of days, weeks, months, or years with a defined start and end date; 3.2. Real Financial Guarantee - assets embodied in the following categories: a) Deposits with the Institution itself; b) Deposits with other Institutions; c) Life insurance policies; and d) Securities. 3.3. Real Non-Financial Guarantee - assets embodied in the following categories: e) Property rights over movable assets, namely automobiles, ships, and aircraft; and f) 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 an orderly 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 a significant price discount; 3.6. Intra-Group Movements - movements of assets, liabilities, and off-balance sheet items, whose counterparties are Financial Institutions belonging to the same global financial group; 3.7. Liquidity Conservation Reserve - one of the liquidity management instruments defined with the objective of preventing possible liquidity insufficiency situations, thereby promoting a conservative liquidity management approach;

CONTINUATION OF INSTRUCTION NO. 14/2021 Page 3 of 27 3.8. Stress - a 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 of the institution becoming unable to meet its obligations maturing within the subsequent 30 calendar days;

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

Liquidity Ratio 5.1. The liquidity ratio is considered to represent the relationship between the total liquid assets of an Institution and its net liquidity outflows during a stress period, and must be expressed as a percentage. 5.2. Total liquid assets consist of the sum of Level 1 assets and Level 2 assets, referred to in Section A of Annex II of this Instruction. 5.3. Net liquidity outflows are considered to be the amount of cash flow outflows referred to in point (a), reduced by the amount of liquidity inflows referred to in point (b), which must not be less than zero, 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 value of cash flow inflows referred to in Section C of Annex II of this Instruction, and 75% (seventy-five percent) of outflows referred to in point (a) of this subpoint, 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 points (a) and (c) of subpoint 4.2 of 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 and fifty percent), which must be reported in accordance with point (b) of subpoint 4.2 of 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 in part or in full the liquidity conservation reserve, Institutions must immediately communicate this fact to the Banco Nacional de Angola.

CONTINUATION OF INSTRUCTION NO. 14/2021 Page 4 of 27 5.8. For the purposes of the preceding subpoint, Institutions must: a) Present 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 regulation on liquidity risk governance, whenever there is a breach of these limits; b) Present 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 regulation on liquidity risk governance, whenever there is a total or partial use of this reserve; and, c) Report to the Banco Nacional de Angola, daily, in accordance with Annexes I and II of this Instruction. 5.9. Without prejudice to the preceding number, the Banco Nacional de 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.

Observation Ratio 6.1. The Observation 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 cumulative shortfall 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. Cumulative shortfall per time band is considered to be the accumulated value of the difference between liquid assets, added to 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, as 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, as referred to in Section B of Annex II of this Instruction. 6.5. Institutions must maintain an observation 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 points (a) and (c) of subpoint 4.2 of number 4 of this Instruction. 6.6. Institutions must maintain an observation ratio for time band 2, calculated in accordance with Annexes I and II of this Instruction, equal to or greater than 150% (one hundred and fifty percent), which must be reported in accordance with point (b) of subpoint 4.2 of number 4 of this Instruction. 6.7. Institutions must maintain a liquidity conservation reserve of 10% (ten percent) above the minimum thresholds, defined in accordance with subpoints 6.5 and 6.6 of this number. 6.8. Whenever the observation ratio falls below the defined limits or it can reasonably be expected to consume in part or in full the liquidity conservation reserve, Institutions must immediately communicate this fact to the Banco Nacional de Angola. 6.9. For the purposes of the preceding subpoint, Institutions must: a) Present 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 regulation on liquidity risk governance, whenever there is a breach of these limits; b) Present an action plan to timely restore compliance with the liquidity conservation reserve, defined in

CONTINUATION OF INSTRUCTION NO. 14/2021 Page 5 of 27 subpoint 6.7 of this number, within the context of the contingency funding plan, referred to in specific regulation on liquidity risk governance, whenever there is a total or partial use of this reserve; and, c) Report to the Banco Nacional de Angola, daily, in accordance with Annexes I and II of this Instruction.

Reporting on Liquidity Risk 7.1. Institutions must report to the Banco Nacional de Angola individual information on the distribution of their balance sheet and off-balance sheet positions by time bands, as provided for in the map of Annex I of this Instruction, duly completed with the calculations relating to the liquidity ratio and observation ratios. 7.2. Without prejudice to the provision of information on an individual basis, Institutions must report to the Banco Nacional de Angola information in the field "E. Intra-Group Movements", of the map provided for in Annex I of this Instruction, regarding movements whose counterparties are Financial Institutions within their global financial group, in accordance with Article 5 of Notice No. 08/2021 of 05 July on Prudential Requirements. 7.3. Institutions must observe the rules defined in Annex II of this Instruction for completing the map provided for in Annex I of this Instruction. 7.4. Institutions must report to the Banco Nacional de Angola: a) Biweekly, the liquidity maps, as provided for in points (a) and (b) of subpoint 4.2 of number 4 of this Instruction; b) Monthly, the liquidity maps, as provided for in point (c) of subpoint 4.2 of number 4 of this Instruction. 7.5. Institutions must ensure that the data reported in the tables annexed to this Instruction are properly documented.

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

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

Revocation All regulation contrary to the provisions of this Instruction is hereby revoked, notably Instruction No. 19/16 of 30 August on Liquidity Risk.

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

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CONTINUATION OF INSTRUCTION NO. 14/2021 Page 13 of 27 ANNEX II Rules for Completing the Liquidity Risk Reporting Map

1. When completing the maps referred to in points (a) and (b) of subpoint 4.2 of number 4 of this Instruction, only cash flows relating to the currency in question shall be included.
2. When completing the map referred to in point (c) of subpoint 4.2 of number 4 of this Instruction, cash flows in national currency and foreign currencies shall be included.
3. Field completion is mandatory, and the Institution must include the value 0 (zero) in case no cash flows are expected in the field in question.
4. Cash flows of assets, liabilities, and off-balance sheet items must be assigned to one of the following time bands:

• Time band 1 (at sight or up to 1 month);
• Time band 2 (from 1 to 3 months);
• Time band 3 (from 3 to 6 months);
• Time band 4 (from 6 to 12 months).

5. The recording of cash flows in time bands must be done according to their residual maturities or the term of monetary inflow/outflow. Whenever cash flows do not have a defined maturity, they must be considered in time band 1 – at sight or up to 1 (one) month.
6. The amount inserted in the various time bands should be the value of the liquid asset or future cash flows associated with each inflow or outflow of cash flow, respectively.
7. For the purposes of calculating the minimum ratios defined in subpoints 5.4 and 5.5 of number 5 and subpoints 6.5 and 6.6 of number 6 of this Instruction, weighted values shall be considered.
8. The reporting map allows Institutions to calculate the liquidity ratio and observation ratios, by multiplying the inserted values by weightings that intend to simulate a liquidity stress situation in which Institutions must continue to comply with their payment obligations on contractually stipulated dates.
9. The amount inserted in the various time bands should not take into account the associated weightings, as the weighted value is subsequently calculated automatically. A. Liquid Assets Level 1 Liquid Assets:
10. Cash at Hand: The nominal value of cash at hand amounts shall be recorded in time band 1. Note: these elements belong to account 1.10.10.10 – Cash at hand, of the Chart of Accounts for Banking Financial Institutions (PCIFB).
11. Items in Transit: The nominal value of items in transit amounts shall be recorded in time band 1, namely checks, direct debit authorizations, and traveler's checks, provided they are realized within 30 (thirty) days. Note: these elements belong to account 1.10.10.20 – Items in transit, of the PCIFB.
12. Balances at the Central Bank: The nominal value of balances held at the Banco Nacional de Angola shall be recorded in time band 1, including mandatory reserves defined in specific regulation on mandatory reserves. In foreign currency liquidity maps, mandatory reserves corresponding to the foreign currency to which the map refers shall be included. Note: these elements belong to account 1.10.20 – Balances at central banks, of the PCIFB.
13. Assets Eligible as Collateral in BNA Credit Operations The following items consider securities eligible as collateral in credit operations of the Banco Nacional de Angola, as defined in Notice No. 11/2011 of 20 October on interbank money market operations, with a residual maturity of up to 1 month. In time band 1, the value of said securities shall be recorded net of the respective haircut factor in accordance with the aforementioned Notice. 4.1. Public Debt Securities Issued by the National Treasury and the Central Bank, in National Currency Note: these elements belong to account 1.30 – Securities and marketable securities, of the PCIFB. 4.2. Public Debt Securities Indexed to Foreign Currency Note: these elements belong to account 1.30 – Securities and marketable securities, of the PCIFB. 4.3. Other Securities of Public Issuers and Credit Rights, Guaranteed by the National Treasury Note: these elements consist of Assets guaranteed by the National Treasury and may be accounted for in various PCIFB accounts, depending on the specific Asset. 4.4. Credits and Other Credit Rights with Real Collateral Constituting the Institution's Asset Note: these elements consist of Assets with the function of the specific Asset. Real guarantees are considered to be guarantees that meet the conditions defined in Annex IV of Instruction No. XX/2021, on the calculation and requirement of regulatory own funds for credit risk and counterparty credit risk. Level 2 Liquid Assets:
14. Balances at Institutions Abroad: The nominal value of balances at Banking Financial Institutions abroad shall be recorded in time band 1. Note: these elements belong to account 1.10.30 – Balances at Financial Institutions, of the PCIFB, except for exposures in the country table with code 024 (Angola) provided in the respective auxiliary table (Country Codes - reference PCIFB 3.10.16).
15. Securities and Marketable Securities: In the following items, only securities that are not eligible as collateral in BNA credit operations (to be included in item 4 and item 23) and that are not being used in other operations (to be included, notably, in items 20, 21, or 25, depending on the operation) shall be considered. The fair value of these securities shall be recorded in time band 1. 6.1. Shares: Note: these elements belong to account 1.30 – Securities and marketable securities, of the PCIFB, namely instruments with codes 341, 343, 345, and 347 provided in the respective auxiliary table (Codes of Types of Financial Instruments and Operations - reference PCIFB 3.10.08). 6.2. Bonds: Note: these elements belong to account 1.30 – Securities and marketable securities, of the PCIFB, namely instruments with codes 301, 303, 305, and 329 provided in the respective auxiliary table (Codes of Types of Financial Instruments and Operations - reference PCIFB 3.10.08). The assets referred to in this number must be quoted on a recognized stock exchange or tradable in active markets for outright sale or through simple repurchase transactions in generally accepted repurchase markets. These criteria must be evaluated separately for each asset, observing the following minimum trading criteria: i. Historical data attesting to the breadth and depth of the market, proven by reduced bid-ask spreads, high transaction volume, and a large and diversified number of participants; ii. The presence of a robust market infrastructure. If the stated trading requirements are not met, the shares referred to in subpoint 6.1 are not considered liquid assets, and the bonds of subpoint 6.2 are only considered eligible if they refer to a residual maturity of up to 1 month. The following assets are not considered liquid assets and, therefore, must not be considered when completing the map: i. Loans and public debt for which there are indications of a significant increase in credit risk according to the International Financial Reporting Standard issued by the International Accounting Standards Board (IASB), on Financial Instruments. ii. Participations and shares in companies belonging to the economic group, according to the International Financial Reporting Standards issued by the International Accounting Standards Board (IASB), by Financial Institutions authorized to operate by the Banco Nacional de Angola. iii. Repurchase of own bonds. B. Cash Flow Outflows
16. Demand Deposits: In the following items, demand deposits at Institutions are considered. 7.1. Non-Banking Financial Institutions: The nominal value of demand deposits of Non-Banking Financial Institutions shall be recorded in time band 1. Note: these elements belong to account 2.10.10 – Demand deposits, of the PCIFB, namely those belonging to institutional sectors with codes 14 to 19 and 24 to 29 provided in the respective auxiliary table (Codes of Institutional Sectors - reference PCIFB 3.10.06). 7.2. Non-Financial Institutions: The nominal value of demand deposits of Non-Financial Institutions shall be recorded in time band 1. Note: these elements belong to account 2.10.10 – Demand deposits, of the PCIFB, namely those belonging to institutional sectors with codes 37, 51, and 52 provided in the respective auxiliary table (Codes of Institutional Sectors - reference PCIFB 3.10.06) 7.3. Individuals: The nominal value of demand deposits of individuals shall be recorded in time band 1. Note: these elements belong to account 2.10.10 – Demand deposits, of the PCIFB, namely those belonging to the institutional sector with code 61 provided in the respective auxiliary table (Codes of Institutional Sectors - reference PCIFB 3.10.06).
17. Time Deposits: In the following items, time deposits at Institutions are considered. 8.1. Non-Banking Financial Institutions: Estimated cash flows resulting from time deposits of Non-Banking Financial Institutions, including principal and interest, shall be recorded in time bands 1 to 4, according to the respective residual maturities of the time deposits. Note: these elements belong to account 2.10.20 – Time deposits, of the PCIFB, namely those belonging to institutional sectors with codes 14 to 19 and 24 to 29 provided in the respective auxiliary table (Codes of Institutional Sectors - reference PCIFB 3.10.06). 8.2. Non-Financial Institutions: Shall be recorded in time bands 1 to 4, according to the respective residual maturities of the time deposits, the cash flows c