Instruction No. 05/2022 of June 13 on Public Disclosure of Prudential Information

INSTRUCTION NO. 05/2022 of June 13 SUBJECT: FINANCIAL SYSTEM

• Public Disclosure of Prudential Information

Given the need to regulate the requirements regarding the public disclosure of prudential information by Banking Financial Institutions, within the scope of the provisions set out in Notice No. 08/2021, dated July 5, on Prudential Requirements. In accordance with Article 208 of Law No. 14/21, dated May 19, the General Regime of Financial Institutions Law, and the combined provisions of paragraphs d) and f) of paragraph 1 of Article 31, and paragraph 1 of Article 98, both of Law No. 24/21, dated October 18, the National Bank of Angola Law. IT IS HEREBY DETERMINED:

1. Object This Instruction establishes the Minimum Requirements that Banking Financial Institutions must observe regarding the public disclosure of prudential information, in accordance with Notice No. 08/2021 on Prudential Requirements.

2. Scope This Instruction applies to Banking Financial Institutions supervised by the National Bank of Angola, hereinafter referred to as "Institutions", as provided for in Law No. 14/21, dated May 19, the General Regime of Financial Institutions Law.

CONTINUAÇÃO DO INSTRUTIVO N.º 05/2022 Página 2 de 79 3. Definitions Without prejudice to the definitions established in the General Regime of Financial Institutions Law, for the purposes of this Instruction, the following are understood: a) Confidential Information: whenever there is an obligation regarding the client or relationships with other counterparties that bind the Institution to a duty of confidentiality, in accordance with Law No. 14/21, dated May 19, the General Regime of Financial Institutions Law, or the Parties' Agreement. b) Relevant Information: information whose omission or incorrect presentation is likely to alter or influence the assessment or decision of a user who relies on it to make decisions. c) Reserved Information: information whose public disclosure harms the Institution's competitive position. d) Holders of Essential Functions: managers of essential functions within the Institution, namely members of the administration and supervisory bodies of the Institution, as well as executive management personnel who perform functions that confer significant influence on the Institution's management, including at least the managers of the Risk Management Function, Compliance Function, and Internal Audit Function.

4. General Requirements 4.1. Public disclosure in accordance with Article 51 of Notice No. 08/2021 on Prudential Requirements includes, where applicable, the information set out in the Annexes to this Instruction, without prejudice to the provisions of sub-points 5.1 and 5.4. 4.2. The administration body must ensure that the Institution adopts formal policies to comply with the disclosure requirements established in this Instruction, as well as to implement and maintain internal processes, systems, and controls, aiming to ensure that disclosed information is adequate and conforms to the requirements defined in this Instruction.

CONTINUAÇÃO DO INSTRUTIVO N.º 05/2022 Página 3 de 79 4.3. At least one executive member of the administration body must declare in writing that the Institution in question has carried out the disclosures required by this Instruction, in conformity with the formal policies and defined internal processes, systems, and controls. 4.4. For the purposes of the preceding paragraph, the written declaration must be included in the disclosures made by the Institutions. 4.5. Institutions must also equip themselves with policies to verify whether information transmitted to market participants regarding their risk profile is complete. 4.6. Institutions must publicly disclose relevant information beyond that required by this Instruction, whenever it is verified that such information does not convey a complete picture of their risk profile. 4.7. Quantitative disclosures must be accompanied by a description or other complementary information necessary for users to have a complete understanding thereof. 4.8. The definition of the level of detail and degree of confidentiality and ownership of the information to be disclosed is the sole responsibility of the administration body.

5. Irrelevant, Reserved or Confidential Information 5.1. Institutions may omit information set out in the Annexes to this Instruction if it is not considered relevant, as per sub-point 5.2. 5.2. Information shall be considered relevant if its omission or incorrect presentation is likely to alter or influence the assessment or decision of an economic agent who relies on it to make economic decisions. 5.3. The level of detail of the information to be disclosed must reflect the importance of activities, results, or risks within the Institution's overall activity. The provisions of this Instruction are not applicable to elements that do not present significant importance, which must be assessed considering the amounts involved and their nature, whether considered individually or in aggregate.

CONTINUAÇÃO DO INSTRUTIVO N.º 05/2022 Página 4 de 79 5.4. Institutions may omit information set out within the Annexes of this Instruction if such elements include information considered proprietary or confidential, as per sub-points 5.5 and 5.6, except regarding the disclosures set out in paragraph 2 of Annex III (Objective and policies on risk management) and paragraphs 1 and 2 of Annex XII (Remuneration Policy), which situations must be duly justified. 5.5. Information is considered proprietary to an Institution when its public disclosure has implications for its competitive position. This includes, in particular, information regarding products or systems that, if shared with competitors, would lead to a reduction in the value of the Institution's investments in the relevant areas. 5.6. Information is considered confidential when obligations exist regarding clients or, within the framework of relationships with other counterparties, that bind an Institution to a duty of confidentiality. 5.7. In the exceptional cases referred to in sub-point 5.5, the Institution must indicate, in its information disclosure, which elements are not disclosed and the reason, unless such elements should be classified as reserved or confidential. 5.8. The provisions of sub-points 5.2, 5.5, and 5.6 do not prejudice the scope of liability for failure to disclose relevant information.

6. Periodicity 6.1. Institutions must disclose the information referred to in this Instruction on an annual basis, with reference to the end of the financial year.

CONTINUAÇÃO DO INSTRUTIVO N.º 05/2022 Página 5 de 79 6.2. Without prejudice to the preceding sub-point, Institutions may update disclosures after relevant changes occur, with reference to a quarterly or semi-annual basis.

7. Disclosure 7.1. Institutions must publicly disclose, on an annual basis and within 30 days after the date the Institutions publish their financial statements, the information referred to in sub-point 4.1 of this Instruction. 7.2. Institutions must disclose the said information in a single document, identified as "Market Discipline". 7.3. For the purposes of the preceding sub-point, the said document must include an introductory note, explicitly stating that its content is predominantly prudential in nature. The document must follow the following structure: ANNEX I – Statement of Responsibility ANNEX II – Scope of Application ANNEX III – Objective and Policies on Risk Management ANNEX IV – Capital Adequacy ANNEX V – Credit Risk and Credit Risk Mitigation Techniques ANNEX VI – Counterparty Credit Risk ANNEX VII – Market Risk ANNEX VIII – Operational Risk ANNEX IX – Interest Rate Risk in the Banking Book ANNEX X – Other Risks on Capital Position ANNEX XI – Liquidity Adequacy ANNEX XII – Remuneration Policy 7.4. For the purposes of sub-point 7.2, the "Market Discipline" document must be published on the respective Institution's website, without access restrictions and free of charge.

CONTINUAÇÃO DO INSTRUTIVO N.º 05/2022 Página 6 de 79 7.5. Without prejudice to the preceding sub-point, the "Market Discipline" document must be reported to the National Bank of Angola with the periodicity defined in this Instruction. 7.6. Institutions must provide proof of disclosure referred to in sub-point 7.5, by including in the report to the supervisor the link to the document on the Institution's publicly available website.

8. Sanctions Non-compliance with the provisions established in this Instruction constitutes an infraction punishable under the General Regime of Financial Institutions Law.

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

10. Entry into Force This Instruction enters into force on the date of its publication. PUBLISH Luanda, June 10, 2022 THE GOVERNOR JOSÉ DE LIMA MASSANO

CONTINUAÇÃO DO INSTRUTIVO N.º 05/2022 Página 7 de 79 ANNEX I Statement of Responsibility

1. The administration body of the Institution subject to the disclosure requirements provided in this Instruction must issue a declaration stating: a) That all procedures considered necessary have been developed and that, to the best of its knowledge, all disclosed information is true and reliable; b) The quality of all disclosed information, including that relating to or originating from entities included in the economic group in which the Institution is embedded; c) The commitment to timely disclose any significant alterations that occur during the financial year following that to which the "Market Discipline" document refers; d) The adequacy of the Institution's liquidity risk management measures.
2. The impact on information of any relevant events occurring between the end of the financial year to which the "Market Discipline" document refers and its publication date must be explicitly stated. If any relevant event has occurred, such fact must be mentioned.

CONTINUAÇÃO DO INSTRUTIVO N.º 05/2022 Página 8 de 79 ANNEX II Scope of Application

1. Regarding the scope of application of this Instruction, Institutions must disclose the following information: a) The name of the Institution to which this Instruction applies; b) Any significant impediments, in law or in fact, current or expected, to the timely transfer of own funds, liquidity transfer, or prompt repayment of liabilities between the parent company and its subsidiaries; c) Details on any situations where effective own funds are lower than the required own funds across subsidiaries not included in consolidation, indicating the respective aggregated amounts and the name or names of those subsidiaries.
2. Additionally, Institutions must disclose information regarding the reconciliation of regulatory own funds with the balance sheet in audited financial statements, according to the following table. Table II.1 Differences between Accounting Scope and Prudential Consolidation Scope | Perímetro Contabilístico (Accounting Scope) | Perímetro de Consolidação Prudencial (Prudential Consolidation Scope) | Comentário – Explicar a Diferença do Perímetro (Comment – Explain the Difference of the Scope) | |---|---|---| | Activo - Discriminação por categorias de activos de acordo com o balanço apresentado nas demonstrações financeiras publicadas (Assets - Breakdown by asset categories according to the balance sheet presented in published financial statements) | | Total do Activo (Total Assets) | | Passivo - Discriminação por categorias de passivos de acordo com o balanço apresentado nas demonstrações financeiras publicadas (Liabilities - Breakdown by liability categories according to the balance sheet presented in published financial statements) | | Total do Passivo (Total Liabilities) | | Capital Próprio (Equity) | | Total do Capital Próprio (Total Equity) |

Filling Notes For the purposes of completing Table II.1 – Differences between accounting scope and prudential consolidation scope, Institutions must follow the filling notes indicated below: a) The rows of the table are flexible and must be disclosed by Institutions in line with their financial statements; b) The columns must remain fixed; c) When the accounting and prudential consolidation scopes are equal, this must be explicitly mentioned.

CONTINUAÇÃO DO INSTRUTIVO N.º 05/2022 Página 9 de 79 ANNEX III Objectives and Policies on Risk Management

1. Institutions must disclose the following information regarding their objectives and policies on risk management: a) Description of the overall structure of the Risk Management Function governance, demonstrating which organizational units are related to ensure that the Risk Management Function ensures a complete holistic view of Group risks, with this information available in a timely manner; b) Responsibilities of the Risk Management Function and how it integrates into the Institution's lines of defense; c) Elements of the Risk Appetite Framework and how they integrate (e.g., Risk Appetite Statement, strategy and planning, ICAAP, ILAAP, stress tests, recovery and contingency plans); d) Description of how Environmental, Social, and Governance (ESG risk) risks are integrated into the Institution's risk management, namely in terms of the Risk Appetite Statement, monitoring performed by the Risk Management Function, and information reported periodically to the administration body. Disclosure Regarding Governance Model
2. Regarding governance systems, Institutions must disclose the following information: a) The number of positions held by members of the administration body; b) The recruitment policy for members of the administration body and their respective knowledge, capabilities, and effective technical skills; c) The diversification policy regarding the selection of members of the administration body, their objectives, and all relevant targets established within this policy, as well as the extent to which these objectives and targets have been achieved; d) Whether the Institution has established an autonomous risk committee, whether it is composed of executive or non-executive members, and the frequency with which it has met; e) The description of the risk information flow to the administration body.

CONTINUAÇÃO DO INSTRUTIVO N.º 05/2022 Página 10 de 79 ANNEX IV Capital Adequacy A. Capital Adequacy and Summary of Own Funds Requirements and Risk-Weighted Assets Qualitative Information

1. Institutions must disclose the following information regarding capital adequacy: a) Overall structure of ICAAP, specifying the approach for determining ICAAP Capital, total risks (or capital needs), and an objective reference of capital adequacy; b) Conclusion on the adequacy of capital relative to risks, considering the reference point, adverse scenario, and a prospective horizon. In this context, where applicable, planned measures to strengthen the capital position must be indicated; c) Stress testing structure for managing capital adequacy, describing how adopted scenarios or shocks are considered.

Quantitative Information Table IV.A.1 Total Capital Needs by Risk Institutions must disclose information regarding total capital requirements by risk according to this table.

Descrição (Description)	Requisitos de FP de Pilar 1 (Pillar 1 Own Funds Requirements)	Necessidades de Capital na Perspectiva do ICAAP (ICAAP Capital Needs Perspective)
	N	N-1
1 Risco De Crédito (Credit Risk)
2 Risco De Mercado (Market Risk)
3 Risco Operacional (Operational Risk)
4 (Outros Riscos De Pilar 1) ((Other Pillar 1 Risks))
Subtotal De Requisitos De FP De Pilar 1 (Subtotal of Pillar 1 Own Funds Requirements)	5
Subtotal De Activos Ponderados Pelo Risco (Pillar 1 RWAs) (Subtotal of Risk-Weighted Assets)	6
Risco De Taxa De Juro Da Carteira Bancária (Interest Rate Risk in the Banking Book)	7
Risco De Negócio E Estratégico (Business and Strategic Risk)	8
Risco Ambiental, Social E De Governo (ESG Risk) (Environmental, Social, and Governance Risk)	9
(Outros Riscos De Pilar 2) ((Other Pillar 2 Risks))	10
Subtotal De Necessidades De Capital De ICAAP Para Riscos De Pilar 2 (Subtotal of ICAAP Capital Needs for Pillar 2 Risks)	10
Subtotal De Riscos De Pilar 2 (Pillar 2 RWAs) (Subtotal of Pillar 2 Risks)	11
Efeitos De Diversificação (Se Aplicável) (Diversification Effects (If Applicable))	12
RP2 De ICAAP (%) (ICAAP P2R (%))	13
Reservas Macroprudenciais De ICAAP (%) (ICAAP Macroprudential Reserves (%))	14
Margem De TE De ICAAP (%) (ICAAP Stress Test Margin (%))
Note: N corresponds to the reference date.
Filling Notes
For the purposes of completing Table IV.A.1 – Total Capital Needs by Risk, Institutions must follow the filling notes indicated in Annex II of Instruction No. 10/2021, dated June 18, on the Internal Capital Adequacy Assessment Process (ICAAP).

CONTINUAÇÃO DO INSTRUTIVO N.º 05/2022 Página 11 de 79 B. Disclosure of Own Funds and Solvency Ratios Qualitative Information 2. Institutions must disclose the following qualitative information regarding their own funds: a) A description of the main characteristics of the main Tier 1 own fund instruments, additional Tier 1 own funds, and Tier 2 own funds issued by the Institution; b) The terms and conditions relating to the main main Tier 1 own fund instruments, additional Tier 1 own funds, and Tier 2 own funds; c) A description of the restrictions on the calculation of own funds; d) An exhaustive explanation of the basis on which the ICAAP ratio is calculated when the numerator or denominator differ from the regulatory own funds ratio.

Quantitative Information Table IV.B.1 Own Funds 3. Institutions must disclose information regarding own funds according to this table.

Descrição (Description)	N-1	N
1 Fundos Próprios Principais de Nível 1 (CET1) (Main Tier 1 Own Funds (CET1))
2 Fundos Próprios Adicionais de Nível 1 (AT1) (Additional Tier 1 Own Funds (AT1))
3 Fundos Próprios de Nível 2 (T2) (Tier 2 Own Funds (T2))
4 Fundos Próprios Regulamentares (Regulatory Own Funds)
5 Capital de ICAAP total (ou capital interno) (Total ICAAP Capital (or internal capital))
Note: N corresponds to the reference date.
Filling Notes
For the purposes of completing Table IV.B.1 – Own Funds, Institutions must follow the filling notes indicated in Annex II of Instruction No. 10/2021 dated June 18 on the Internal Capital Adequacy Assessment Process (ICAAP) and Instruction No. 19/2021 dated October 27 regarding the provision of Information on the Composition of Own Funds and Ratios of Own Funds.

Table IV.B.2 Solvency Ratios 4. Institutions must disclose information regarding solvency ratios according to this table.

Descrição (Description)	N-1	N	N+1
Requisito mínimo de capital (Pilar 1) (Minimum capital requirement (Pillar 1))	Base Scenario	Stress Scenario
1 Rácio De Fundos Próprios Principais De Nível 1 (Main Tier 1 Own Funds Ratio)	4%
2 Rácio De Fundos Próprios De Nível 1 (Total Tier 1 Own Funds Ratio)	6.5%
3 Rácio De Fundos Próprios Regulamentares (Regulatory Own Funds Ratio)	8%
4 Rácio De ICAAP * (ICAAP Ratio *)
5 Requisitos De Pilar 2 (RP2 Em %) (Pillar 2 Requirements (P2R in %))
6 Requisito Combinado De Reservas (Combined Requirement of Reserves)
6.1 Reserva De Conservação (Conservation Reserve)
6.2 Reserva Contra Cíclica (Countercyclical Reserve)
6.3 Reserva Para Instituições De Importância Sistémica (Systemically Important Institutions Reserve)
7 Orientações De Pilar 2 (OP2 Em %) (Pillar 2 Guidance (P2G in %))
Note: N corresponds to the reference date.

• Internal minimum reference level for the ICAAP ratio, from an internal perspective. Filling Notes For the purposes of completing Table IV.B.2 – Solvency Ratios, Institutions must follow the filling notes indicated in Annex II of Instruction No. 10/2021 dated June 18 on the Internal Capital Adequacy Assessment Process (ICAAP) and Instruction No. 19/2021 dated October 27 regarding the provision of Information on the Composition of Own Funds and Ratios of Own Funds.

CONTINUAÇÃO DO INSTRUTIVON.º05/2022 Página 12 de 79 C. Disclosure of Leverage Ratio Qualitative Information 5. Institutions must disclose the following qualitative information: a) A description of the processes used to manage excessive leverage risk; b) A description of the factors most relevant to the level of leverage ratio verified during the period to which the disclosure refers.

Quantitative Information Table IV.C.1 Leverage Ratio 6. Institutions must disclose information regarding the leverage ratio according to this table.

Rúbrica (Item)	Componente (Component)	Valor (Value)
1 Rácio De Alavancagem Considerando Reservas Obrigatórias (Leverage Ratio Considering Mandatory Reserves)
2 Rácio De Alavancagem Desconsiderando Reservas Obrigatórias (Leverage Ratio Excluding Mandatory Reserves)
3 Fundos Próprios De Nível 1 (Tier 1 Own Funds)
4 Total De Exposição (Total Exposure)
5 Total De Activos (Total Assets)
6 Total Extrapatrimoniais (Excluindo Derivados) (Off-Balance Sheet (Excluding Derivatives))
7 Total Extrapatrimoniais (Derivados) (Off-Balance Sheet (Derivatives))
8 Total De Exclusões A Aplicar À Exposição (Total Exclusions to be Applied to Exposure)
9 Activos Deduzidos No Cálculo Dos Fundos Próprios De Nível 1 (Assets Deducted in the Calculation of Tier 1 Own Funds)
10 Posições Intragrupo (Intragroup Positions)
11 Partes Garantidas Das Posições Em Risco Decorrentes De Crédito À Exportação (Secured Parts of Risk-Weighted Positions Arising from Export Credit)
12 Posições Sobre Entidades Do Sector Público Elegíveis (Positions on Eligible Public Sector Entities)
13 Reservas Obrigatórias (Mandatory Reserves)
Filling Notes
For the purposes of completing Table IV.C.1 – Leverage Ratio, Institutions must follow the filling notes indicated in Annex I of Instruction No. 20/2021 dated October 27 on the Leverage Ratio.

ANNEX V CREDIT RISK A. Disclosure on Credit Risk Qualitative Information

1. Institutions must disclose the following qualitative information regarding credit risk: a) A description of the Institution's strategies and processes for managing credit risk; b) A description of the structure and organization of the unit or units managing credit risk, including its various components (e.g., origination, monitoring, recovery); c) In terms of reporting, description of the periodicity of reports on credit risk, scope of reports, and levels at which information is reported; d) Description of the different natures underlying the quantification of credit risk (e.g., when there are quantifications of different parameters or risk factors); e) Use of stress tests in managing credit risk, specifying the methodologies used and adopted scenarios, where applicable; f) Description of policies regarding unfavorable correlation risk.
2. Institutions must disclose the following additional information related to asset credit quality: a) The scope of application and definitions used, for accounting purposes, for "defaulted credit", "overdue credit", "impaired credit", and "restructured credit", as well as the differences, if any, between the definitions of these elements for accounting and prudential purposes; b) Circumstances, if any, in which some credit or client may have zero impairment and amounts overdue for more than 90 days, or situations of overdue exposures (for more than 90 days) that are not considered to be in impairment; c) A description of the methodologies and methods adopted for determining impairments; d) A description of the criteria for exposure contagion.