Instruction No. 03-2017 of January 30

Avenida 4 de Fevereiro, nº 151 - Luanda, Angola - Caixa Postal 1243 Tel: (+244) 222 679 200 Fax: (+244) 222 339 125 www.bna.ao Governor's Office MOD. 150-005 D Avenida 4 de Fevereiro, nº 151 - Luanda, Angola - Caixa Postal 1243 Tel: (+244) 222 679 200 Fax: (+244) 222 679 217 www.bna.ao INSTRUCTION No. 03/17 of January 30 Subject:

Given the need to regulate the submission of information to be provided by Financial Institutions to the Banco Nacional de Angola, within the framework of provisions on prudential limits for large exposures and holdings in non-financial companies by financial institutions under the supervision of the Banco Nacional de 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 Law of the Banco Nacional de Angola, and Article 90 of Law No. 12/15 of June 17, the Legal Framework of Financial Institutions.

I DETERMINE:

1. Submission of information on prudential limits for large exposures

1.1. Financial institutions must submit to the Banco Nacional de Angola information regarding their large exposures and holdings in non-financial companies, 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 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 in this Instruction on an individual basis monthly and on a consolidated basis quarterly, both by the end of the month following the one to which they refer.

SUBMISSION OF INFORMATION ON PRUDENTIAL LIMITS FOR LARGE EXPOSURES

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1.4. Additionally, financial institutions must, at any time and through supporting documentation, be able to justify to the Banco Nacional de Angola the data reported in the Annexed forms.

2. Sanctions

Non-compliance with the mandatory norms established in this Instruction constitutes an infraction punishable under the Legal Framework 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 Banco Nacional de 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 Governor's Office

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ANNEX I Filling notes for the form "Prudential Limits for Large Exposures"

1. The "Prudential Limits" form is applicable to financial institutions to calculate their large exposures according to the method provided for in the Notice on prudential limits for large exposures. The information to be provided 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 Banco Nacional de 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:

From 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.

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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 belonging to the trading book. Additionally, exposures referred to in letter b) of paragraph 2 of Article 9 of the Notice on prudential limits for large exposures are not considered in this column. 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. Exposures referred to in letter c) of paragraph 2 of Article 9 of the Notice on prudential limits for large exposures are not considered in item 1.50.20. vi) Column (6) results from the sum of items 1.60.10, 1.60.20, and 1.60.90. Exposures referred to in letter a) of paragraph 2 of Article 9 of the Notice on prudential limits for large exposures are not considered in this column. 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)].

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From tabs "GR_02" and "GR_04":

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. Exposures referred to in letter d) of paragraph 2 of Article 9 of the Notice on prudential limits for large exposures are not considered in this column.

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.

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.

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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 capital allocated to said coverage corresponds to line 1.4.2., "Risks covered by capital", of the regulatory capital information submission 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, included in letters o), p), and q) from the total value of exposures included in letter n), [(24) = (19) – (20) - 20% × (21) – 50% × (22)].

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, in accordance with paragraphs 1 and 2 of Article 6. The sum of columns (26a) and (26b) corresponds to the value to be deducted from regulatory capital, in accordance with 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 on counterparties that are part of a group of interconnected counterparties are not considered in columns (25a) and (25b).

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r. Column (27), of tab "GR_04", corresponds to the value to be deducted from regulatory capital, in accordance with 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, in accordance with paragraph 2 of Article 7 of the Notice on prudential limits for large exposures.

From tab "GR_05":

a. Columns from "t-4" to "t" serve for the calculation of the percentage of the financial institution's participation in the non-financial company in question, relative to the latter's equity.

b. Column (29), of tab "GR_05", corresponds to the value to be deducted from regulatory capital, for each exposure in accordance with paragraph 3 of Article 7 of the Notice on prudential limits for large exposures.

From tab "Limits & Deductions":

a. Line (30) corresponds to the value of item 1. "Regulatory capital for solvency purposes" of the regulatory capital information submission form.

b. Line (31), "Large Exposures", corresponds to the limit established in paragraph 9 of Article 3, [(31) = 0.1 × (30)].

c. Line (32), "Limit to counterparties", corresponds to the limit established in paragraph 1 of Article 6 of the Notice on prudential limits for large exposures, [(32) = 0.25 × (30)].

d. Line (32a), "Limit to counterparties holding qualified participations", corresponds to the limit established in paragraph 2 of Article 6 of the Notice on prudential limits for large exposures, [(32a) = 0.1 × (30)].

e. Line (33), "Limit of the 20 largest exposures", corresponds to the limit established in paragraph 3 of Article 6 of the Notice on prudential limits for large exposures, [(33) = 3 × (30)].

f. Line (34), "Limit to participation in non-financial companies", corresponds

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to the limit established in paragraph 1 of Article 7 of the Notice on prudential limits for large exposures, [(34) = 0.15 × (30)].

g. Line (35), "Aggregate limit to participation in non-financial companies", corresponds to the limit established in paragraph 2 of Article 7 of the Notice on prudential limits for large exposures, [(35) = 0.4 × (30)].

h. Line (36), "Holding limit", corresponds to the holding limit established in paragraph 3 of Article 7 of the Notice on prudential limits for large exposures, (25% of the capital of the participated non-financial company for a period, consecutive or interpolated, exceeding 3 years).

i. Line (37), "Value to be deducted according to paragraph 1 of Article 6", results from the sum of the values of columns (25a) and (25b) that correspond to exposure relative to counterparties or a group of interconnected counterparties, that do not hold participations in non-financial companies.

j. Line (38), "Value to be deducted according to paragraph 2 of Article 6", results from the sum of the values of columns (25a) and (25b) that correspond to exposure relative to counterparties or a group of interconnected counterparties, that hold participations in non-financial companies.

k. Line (39), "Value to be deducted according to paragraph 3 of Article 6", corresponds to the value of column (27).

l. Line (40), "Value to be deducted according to paragraph 1 of Article 7", results from the sum of the values of columns (26a) and (26b).

m. Line (41), "Value to be deducted according to paragraph 2 of Article 7", corresponds to the value of column (28).

n. Line (42), "Value to be deducted according to paragraph 3 of Article 7", results from the sum of the values of column (29).

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ANNEX II Prudential Limits for Large Exposures

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