National Bank of Angola Instruction No. 01/2024 on Liquidity Risk Requirements for Banking Institutions

INSTRUCTION No. 01/2024 of 26 January
SUBJECT: FINANCIAL SYSTEM

• Liquidity Risk
  Considering that there is a need to know the economic value of future cash flows in order to assess and monitor the level of liquidity of Banking Financial Institutions, as provided for in Notice No. 08/21, of 5 July, on Prudential Requirements; Pursuant to the provisions of article 205 of Law no. 14/21, of 19 May, Law on the General Regime of Financial Institutions, together with article 31 (1) (f) and article 98 (1), both of Law no. 24/21, of 18 October, Law of the National Bank of Angola. I HEREBY DETERMINE:

1. Object
   This Instruction establishes the minimum prudential requirements to be considered by Banking Financial Institutions under the supervision of the National Bank of Angola in the context of liquidity risk management.

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 2 of 29
2. Scope
This Instruction applies to the Banking Financial Institutions under the supervision of the National Bank of Angola, hereinafter referred to as Institutions, 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 set out in Law no. 14/21, of 19 May, Law of the General Regime of Financial Institutions, for the purposes of this Instruction, the following definitions shall apply:
3.1. Temporal Band - unit of measurement used to classify a period, space of
days, weeks, months or years with an established 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:
a) Property rights in movable property, such as cars, ships and aircraft; and b) Rights on goods.
3.4. Fair Value - the price that would be received on the sale of an asset or
paid on the transfer of a liability, i.e. the price of a regular transaction between market participants, on the measurement date;
3.5. Liquidity - ease of an asset being converted into cash in a short period
of time and without a large price discount;
3.6. Intra-Group Movements - movements of assets, liabilities and off￾balance sheet items, which have as counterparties Financial Institutions
that are members of the same global financial group;
3.7. Liquidity Conservation Reserve - is one of the liquidity management
instruments defined with the aim of preventing possible situations of liquidity insufficiency, thus promoting conservative liquidity management;

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 3 of 29
3.8. Stress - sudden or severe deterioration in the liquidity or solvency of an
Institution due to changes in market conditions, or of idiosyncratic factors which result in a significant risk that the Institution will be unable to meet its commitments due within the subsequent 30 calendar days.
4. General Requirements
4.1. Institutions shall report to the National Bank of Angola individual information
on the distribution of their balance sheet and off-balance sheet positions by time bands, in accordance with the provisions on this Instruction.
4.2. Institutions shall report, on an individual basis, the following information:
a) Liquidity map, considering only cash flows in national currency; b) Liquidity map, considering only the cash flows in foreign currency significant to 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 National Bank of Angola information regarding movements that have as counterpart Financial Institutions of their financial group.
4.4. For the purposes of paragraph b) point 4.2 of this number, significant
foreign currency shall be considered whenever the liability denominated in this currency exceeds five percent (5%) of the total liabilities of the Institution.
5. Liquidity Ratio
5.1. The liquidity ratio shall be considered to represent the ratio of an
institution's total net assets versus its net liquidity outflows during a period of stress and shall be expressed as a percentage.
5.2. Total net assets consist of the sum of the level 1 assets and level 2 assets
referred to in section A of Annex II to this Instruction, which is an integral
part of this Instruction.
5.3. Net liquidity outflows shall be considered to be the amount of cash flow
outflows referred to in paragraph (a), reduced by the amount of liquidity

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 4 of 29 inflows referred to in paragraph (b), both of this subparagraph, which shall not be less than zero, and shall be calculated as follows:
a) the sum of cash flow outflows referred to in section B of Annex II to this Instruction which forms an integral part of this Instruction; b) The sum of liquidity inflows calculated as the lowest value of cash flow inflows referred to in section C of Annex II to this Instruction and 75% (seventy-five percent) of outflows referred to in paragraph a) of this subparagraph, shall not be less than zero;
5.4. Institutions shall maintain a liquidity ratio, calculated in accordance with
Annexes I and II to this Instruction, equal to or greater than 100% (one hundred percent), which shall be reported in accordance with paragraphs a) and of sub-point 4.2 of number 4 of this Instruction.
5.5. Institutions shall 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 shall be reported in accordance with paragraph b) of sub-item 4.2 of number 4 of this Instruction.
5.6. Institutions shall maintain a liquidity conservation buffer of 10% (ten
percent) above the minimum thresholds defined in accordance with subparagraphs 5.4 and 5.5 of this paragraph.
5.7. Whenever the liquidity ratio is below the defined limits or can reasonably
be expected to consume part or all of the liquidity conservation reserve, the Institutions shall immediately report this fact to the National Bank of Angola.
5.8. For the purposes of the sub-point above, the Institutions shall:
a) Submit an action plan to restore in a timely manner the limits set out in subparagraphs 5.4 and 5.5 of this number, in the context of the contingency funding plan, referred to in the specific regulation on liquidity risk governance, whenever there is a breach of those limits; b) Submit an action plan to restore timely compliance with the liquidity conservation buffer, as defined in subparagraph 5.6 of this number, in the context of the contingency funding plan, referred to in the specific regulation on liquidity risk governance, whenever there is total or partial use of this buffer; and

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 5 of 29 c) Report to the National Bank of Angola, on a daily basis, under the terms of Annexes I and II of this instruction.
5.9. Notwithstanding the provisions of the previous paragraph, the National
Bank of Angola reserves the right to change the frequency of the reporting of the information referred to in paragraph 5 of this Instruction, depending on the situation, scale and complexity of the business of each institution.
6. Observation Ratio
6.1. The Observation ratio is calculated for time bands 2 to 4, in accordance
with paragraph 4 of Annex II to this Instruction and represents the ratio between the accumulated lag in the previous time band, plus the total cash flow inflow in the current time band, and the total cash flow outflow.
6.2. The accumulated lag by time band is considered to be the accumulated
value of the difference between net assets, plus the inflows of cash flows and the outflow of cash flows, in accordance with the provisions of section D of Annex II of this Instruction.
6.3. The total cash flow inflow is considered to be the sum of the values, by
time band, of cash flow inflows, referred to in section C of Annex II of this Instruction.
6.4. Total cash flow outflow is considered to be the sum of the values, by time
band, of cash flow outflows, referred to in section B of Annex II of this instruction.
6.5. Institutions shall 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 shall be reported in accordance with number 4 (4.2) (c) of this Instruction.
6.6. Institutions shall maintain an observation ratio for time band 2, calculated
in accordance with Annexes I and II of this Instruction, equal to or greater

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 6 of 29 than 150% (one hundred and fifty percent), which shall be reported in accordance with number 4 (4.2) (b) of this Instruction.
6.7. Institutions shall maintain a liquidity conservation reserve of 10% (ten
percent), above the minimum thresholds, defined in accordance with subparagraphs 6.5 and 6.6 of this number.
6.8. Whenever the observation ratio is below the defined limits or can
reasonably be expected to consume part or all of the liquidity conservation reserve, the Institutions must immediately communicate this fact to the National Bank of Angola.
6.9. For the purposes of the preceding subparagraph, the Institutions shall:
a) Submit an action plan to re-establish in a timely manner the limits set out in subparagraphs 6.5 and 6.6 of this number, in the context of the contingency funding plan, referred to in the specific regulation on liquidity risk governance, whenever there is a breach of those limits; b) Submit an action plan to restore compliance with the liquidity conservation buffer defined in subparagraph 6.7 of this paragraph in a timely manner in the context of the contingency funding plan referred to in the specific regulation on liquidity risk governance, where all or part of this buffer is used; and c) Report to the National Bank of Angola, on a daily basis, in accordance with Annexes I and II of this Instruction.
7. Liquidity Risk Reporting
7.1. Institutions shall report to the National Bank of Angola individual
information on the distribution of their balance sheet and off-balance sheet positions by time bands, in accordance with the provisions of the map in
Annex I of this Instruction, duly completed and with the calculations
relating to the liquidity ratio and the observation ratios.
7.2. Notwithstanding the provision of information on an individual basis,
Institutions must report to the National Bank of Angola, information in the field "E. Intra-group Movements", of the table provided for in Annex I of this Instruction, the transactions that have as counterparty Financial

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 7 of 29 Institutions of their global financial group, pursuant to article 5 of Notice no. 08/21, of July 5, on Prudential Requirements.
7.3. Institutions must comply with the rules defined in Annex II of this
Instruction for the completion of the map provided for in Annex I of this Instruction.
7.4. Institutions shall report to the National Bank of Angola:
a) the liquidity tables, every fortnight, in accordance with the provisions of number 4 (4.2) (a) (b) of this Instruction; b) the liquidity tables, on a monthly basis, as provided for in number 4 (4.2) (c) of this Instruction.
7.5. Institutions shall ensure that the data reported in the tables attached to this
Instruction are properly recorded.
8. Sanctions
Failure to comply with the provisions of this Instruction constitutes a misdemeanor foreseen and punishable under the terms of Law No. 14/21, of 19 May, Law on the General Regime of Financial Institutions.
9. Doubts and Omissions
Doubts and omissions arising from the interpretation and enforcement of this Instruction shall be settled by the National Bank of Angola.
10. Revocation
All regulations that contradict the provisions of this Instruction, namely Instruction No. 14/21, of 27 September, on Liquidity Risk, are hereby repealed.
11. Entry into Force
This Instruction shall enter into force on the date of its publication. BE IT BE PUBLISHED Luanda, 26th January 2024. THE GOVERNOR MANUEL ANTONIO TIAGO DIAS

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 8 of 29

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 9
ANNEX I
Liquidity Risk Reporting Table
Name of the Institution:
Currency:
Year:
Month:
Day:

Maturity Band 1 Maturity Band 1 Maturity Band 1 Maturity Band 1 A. Liquid assets In Cash up to 1 month In cash up to 1 month weighted In cash up to 12 months In cash up to 12 month weighted 1 2 3 Treasury values Values in transit Central bank availabilities (including mandatory reserves) 0 4 Assets eligible as collateral in BNA credit operations 0 4.1 4.2 4.3 4.4 Public debt securities issued by the national treasury and the central bank, in national currency Foreign-currency-indexed government bonds Other securities of public issuers and credit rights, guaranteed by the national treasury Credits and other credit rights with real guarantee that are part of the institution's assets 0 Weighting LEVEL 1 LIQUID ASSETS 100% 100% 20% - 100% 100% 100% 100% INSTRUCTIONS:
Autocomplete field
Field not to be filled in

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 10 from 29 5 Cash and cash equivalents in banking financial institutions abroad 0 0 6 Securities 0 6.1 6.2 Actions Liabilities 50% 50% 0 Total liquid assets 0

of 27
B. Cash Flow Outflow Maturity Band 1
Cash up to 1 month
Maturity Band 2
From 1 to 3 months
Maturity Band 3
From 3 to 6 months
Maturity Band 4
From 6 to 12 months
Weighting Weighted maturity band 1
Weighted maturity band 2
Weighted maturity band 3
Weighted maturity band 4
DEPOSITS
7 Current deposits
0 - 0
7.1
7.2
7.3
Non-bank financial institutions
Non-financial institutions
Private
40%
40%
10%
0
8
8.1
8.2
8.3
Term deposits
Non-bank financial institutions
Non-financial institutions
Private
0 -
40%
40%
10%
0
9
9.1
9.2
9.3
10
Other deposits
Non-bank financial institutions
Non-financial institutions
Private
Interbank money market operations - with banking financial institutions 0 - 100% 100% 100% 20% 0 11 12 GUARANTEED FINANCING Interbank money market operations - with central bank Borrowings with securities 0% 100% 0 13 14 14.1 15 16 17 18 19 OTHER REQUIREMENTS Other contracted funding Transactions for the sale of securities (own and third-party) with a repurchase agreement with the central bank Subordinated debt and hybrid equity and debt instruments Derivative financial instruments Irrevocable Fixed Mortgage Loan Commitments Irrevocable commitments made to third parties Securities subscribed for primary placement 100% 100% 100% 100% 100% 20% 20% 50% 0 Total cash flow outflow 0 - 0 LEVEL 2 LIQUID ASSETS 100% - -

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 11 of 29
C. Cash flow inflow Maturity Band 1
Cash up to 1 month
Maturity Band 2
From 1 to 3 months
Maturity Band 3 From
3 to 6 months
Maturity Band 4 From
6 to 12 months
Weighting
100%
Weighted maturity band 1 0
Weighted maturity band 2 0
Weighted maturity band 3 0
Weighted maturity band 4 0
20
21
22
Interbank money market operations - with the central bank Interbank money market operations - with banking financial institutions Credits 0 100% - 0 22.1 22.2 22.3 23 23.1 24 25 To non-bank financial institutions To non-financial institutions To individuals Transactions for the purchase of third-party securities with a repurchase agreement with the central bank Derivative financial instruments Irrevocable commitments with third parties 100% 50% 50% 100% 100% 0% 0 Total cash flow inflow 0 - 0 D. Liquidity Ratio and Observation Ratios Weighting Weighted maturity band 1 Weighted maturity band 2 Weighted maturity band 3 Weighted maturity band 4 26 27 28 29 30 31 32 Total liquid assets (A.) Total cash flow outflow (B.) Total cash flow inflow (C.) Gap (26 + 28 - 27) Cumulative gap (29 + 29 from previous maturity band) Liquidity ratio ( 26. / (27. - min. (28 ; 27 * 75%)) ) Observation ratios (30 from the previous maturity band + 28) / 27 ) - - - - - - 0 - E. Intra-group Movements Cash Flow Outflow Maturity Band 1 Cash up to 1 month Maturity Band 2 From 1 to 3 months Maturity Band 3 From 3 to 6 months Maturity Band 4 From 6 to 12 months Weighting Weighted maturity band 1 Weighted maturity band 2 Weighted maturity band 3 Weighted maturity band 4 33 Current deposits 0 40% 0

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 12 from 29 33.1 33.2 with institutions within BNA supervision scope with institutions outside BNA supervision scope 40% 40% 0 0 34 34.1 34.2 Term deposits with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0 40% 40% 40% 0 35 35.1 35.2 Other deposits with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0 100% 100% 100% 0 36 36.1 36.2 Operations in the interbank money market with banking financial institutions with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0% 0% 0% 0 37 37.1 37.2 Borrowings with securities with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0 100% 100% 100% 0 38 38.1 38.2 Other borrowings contracted with institutions within scope of BNA supervision with institutions outside scope of BNA supervision 0 100% 100% 100% 0 39 39.1 39.2 Transactions for the sale of securities (own and third-party) with a repurchase agreement with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0 100% 100% 100% 0 40 40.1 40.2 Subordinated debt and hybrid equity and debt instruments with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0 100% 100% 100% 0 41 41.1 41.2 Derivative financial instruments with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0 100% 100% 100% 0 42 42.1 42.2 Irrevocable commitments made to third parties with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0 20% 20% 20% 0 43 43.1 43.2 Securities subscribed for primary placement with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision E.1. Total cash flow outflow to the group 0 50% 50% 50% - 0 Cash Flow Inflow 44 44.1 44.2 Operations in the interbank money market - with banking financial institutions, with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0% 0% 0% 0 45 45.1 45.2 Loans with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0 100% 100% 100% 0 46 46.1 46.2 Transactions for the purchase of third-party securities with a repurchase agreement with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0 100% 100% 100% 0 47 47.1 47.2 Derivative financial instruments with institutions within the scope of BNA supervision with institutions outside BNA supervision scope 0 100% 100% 100% 0 48 48.1 48.2 Irrevocable commitments made by third parties with institutions within the scope of BNA supervision with institutions outside the scope of BNA supervision 0% 0% 0% 0 E.2. Total cash
flow inflow of the group 0 - 0

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 13 of 29 OTHER REQUIREMENTS: The institution shall actively monitor and control its exposure to liquidity risk and funding needs at the level of all its legal entities, foreign subsidiaries and branches, and also in relation to the group as a whole, taking into account any legal, regulatory and operational limitations on the transfer of liquidity. This requirement is of particular importance to prevent extreme situations in which the financial group does not have the capacity to assist the institution. G. Exposure to Counterparties Total Value % 0 0,00% (Legal name from counterpart) (Legal name from counterpart) (Legal name from counterpart) Irrevocable commitments made by third parties 0 0,00% (Legal name from counterpart) (Legal name from counterpart) (Legal name from counterpart) 0 0,00% (Legal name from counterpart) (Legal name from counterpart) (Legal name from counterpart) Interbank money market operations with banking financial institutions 0 0,00% (Legal name from counterpart) (Legal name from counterpart) (Legal name from counterpart) Irrevocable commitments made to third parties 0 0,00% F. Ratios - excluding intra-group movements Weighting Weighted maturity band 1 Weighted maturity band 2 Weighted maturity band 3 Weighted maturity band 4 49 50 51 52 53 54 55 Total net assets (A.) Total cash flow outflow (B. - E.1.) Total cash flow inflow (C. - E.2) Lag (49 + 51 - 50) Cumulative lag (52 + 52 from previous maturity band) Liquidity ratio ( 49 / (50 - min. (51 ; 50 * 75%)) ) Observation ratios ( (53. from previous maturity band + 51.) / 50. ) - - - - - 0 - - Credits Customer deposits

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 14 from 29 (Legal name from counterpart) (Legal name from counterpart) (Legal name from counterpart)

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 15 of 29
ANNEX II Rules for Completing the Liquidity Risk Reporting Chart

1. In filling in the maps referred to in number 4 (4.2) (a) (b) of this Instruction,
   only the cash flows relating to the currency in question shall be incorporated.
2. In filling out the chart referred to in number 4 (4.2) (c) of this Instruction, cash
   flows in national currency and foreign currencies must be incorporated.
3. Filling in the fields is mandatory, and the Institution must include the amount
   0 (zero) in the event that no cash flows are foreseen in the field in question.
4. Cash flows from assets, liabilities and off-balance sheet shall be allocated to one
   of the following time bands:

• Time band 1 (in cash or up to 12 months) is applicable only to Assets
  eligible as collateral in BNA credit operations;
• Time band 2 (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 the time bands should be done according to their
   residual maturities or period of inflow/outflow of money. Whenever cash flows do not have a defined maturity, they should be considered in time band 1 – in cash or up to 12 months.
6. The amount entered in the various time bands shall be the value of the net
   assets or future cash flows associated with each cash flow inflow or outflow, respectively.
7. For the purposes of calculating the minimum ratios defined in number 5 (5.4)
   (5.5.) and number 6 (6.5) (6.6), both of this Instruction, the weighted values are considered.
8. The reporting statement allows Institutions to calculate the liquidity ratio and
   the observation ratios, by multiplying the values entered by weights that intend to simulate a situation of liquidity stress in which Institutions must continue to comply with their payment obligations on the contractually stipulated dates.
9. The amount entered in the various time bands should not take into account the
   associated weights, as the weighted value is then calculated automatically. A. Liquid Assets Level 1 Liquid Assets:

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 16 from 29

1. Treasury Values: The nominal value of the amounts in treasury in time band
   1 must be recorded.
   Note: these elements belong to account 1.10.10.10 – Treasury amounts, of the Chart of Accounts of Banking Financial Institutions (PCIFB).
2. Amounts in Transit: The face value of the amounts in transit in time band 1,
   namely, cheques, direct debit authorizations and traveller’s cheques, must be recorded, provided that they are made within 30 (thirty) days. Note: these elements belong to account 1.10.10.20 – Amounts in transit, of the PCIFB.
3. Cash and cash equivalents at the Central Bank: The nominal value of the
   cash holdings held at the National Bank of Angola in time band 1 must be recorded, including only 20% (twenty percent) of the total mandatory reserves as established in specific regulations on mandatory reserves. The foreign currency liquidity statements shall include the reserve requirements corresponding to the foreign currency to which the statement refers. Note:
   these elements belong to account 1.10.20 – Cash and cash equivalents in central banks, of the PCIFB.
4. Assets Eligible as Collateral in BNA Credit Operations The following
   items are considered the securities eligible as collateral in credit operations of the National Bank of Angola, as defined in the Notice No. 11/11, of 20 October, on operations on interbank money market, with residual maturity of up to 12 months. In time band 1, the value of these securities must be recorded minus the respective haircut under the terms of the aforementioned Notice, the National Bank establishes in specific regulations the applicable haircut. Public Debt Securities Issued by the National Treasury and the Central Bank, in National Currency Note: these items belong to account 1.30 – Securities of the PCIFB.
   4.1. Public Debt Securities Indexed to Foreign Currency Note: these items
   belong to account 1.30 – Securities of the PCIFB.
   4.2. Other Public Issuer Securities and Credit Rights,

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 17 of 29 Guaranteed by the National Treasury Note: these elements consist of Assets guaranteed by the National Treasury and can be accounted for in several PCIFB accounts, depending on the specific Asset.
4.3. Credits and Other Credit Rights with Real Guarantee
Active Members of the Institution
Note: These elements consist of Assets with a specific Asset function. Collateral is considered to be collateral that meets the conditions set out in Annex IV of Instruction No. XX/2021, on the calculation and requirement of regulatory own funds for credit risk and counterparty credit risk. Tier 2 Net Assets:
5. Cash and Cash Equivalents in Institutions Abroad: The nominal value of
the assets in Banking Financial Institutions abroad must be recorded in time band 1. Note: these elements belong to account 1.10.30 – Cash and Cash in Financial Institutions, of the PCIFB, except for the exposures in the country table with the code 024 (Angola) provided for in the respective auxiliary table (Country Codes - PCIFB reference 3.10.16).

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 18 of 29
6. Securities: In the following items, only securities that are not eligible as
collateral in credit operations of the National Bank of Angola (to be included in item 4 and item 23) and that are not being used in other operations (to be included, in particular, in items 20, 21 or 25, depending on the operation) should be considered. The fair value of these securities shall be recorded in time band 1.
6.1. Shares: Note: these items belong to account 1.30 – Securities of the
PCIFB, namely instruments with codes 341, 343, 345 and 347 provided for in the respective auxiliary table (Codes of Types of Financial Instruments and Operations - reference PCIFB 3.10.08).
6.2. Bonds: Note: these items belong to account 1.30 – Securities of the
PCIFB, namely the instruments with the codes 301, 303, 305 and 329 provided for in the respective auxiliary table (Codes of Types of Financial Instruments and Operations - PCIFB reference 3.10.08). The assets referred to in this paragraph shall be listed on a recognized exchange or negotiable on outright active markets or through simple repo transactions on generally accepted repo markets. These criteria shall be assessed separately for each asset, and the following minimum trading criteria shall be observed:
i. Historical data that testify to the breadth and depth of the market,
evidenced by low bid-ask price differentials, high volume of transactions and a large and diverse number of participants;
ii. The presence of a robust market infrastructure.
If the trading requirements presented are not met, the shares referred to in point 6.1 are not considered liquid assets and the bonds in point 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 should not be considered when filling in the chart:
i. Loans and public debt for which there was evidence of a significant
increase in credit risk in accordance with the International Financial Reporting Standard issued by the International Accounting Standard Board (IASB) on Financial Instruments.

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 19 of 29
ii. Shareholdings and shares in companies belonging to the economic
group, in accordance with the International Financial Reporting Standards issued by the International Accounting Standard Board (IASB), by the Financial Institutions authorized to operate by the National Bank of Angola.
iii. Buyback of own bonds.
B. Cash Flow Outflow
7. Current Deposits: In the following items, demand deposits in the
Institutions are considered.
7.1. Non-Banking Financial Institutions: The nominal value of deposits
on the demand of Non-Banking Financial Institutions in time band 1 must be recorded. Note: these items belong to account 2.10.10 – Current Deposits, of the PCIFB, namely those belonging to the institutional sectors with codes 14 to 19 and 24 to 29 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
7.2. Non-Financial Institutions: The nominal value of demand deposits of
Non-Financial Institutions in time band 1 must be recorded. Note: these items belong to account 2.10.10 – Current deposits of the PCIFB, namely those belonging to the institutional sectors with codes 37, 51 and 52 provided for in the respective auxiliary chart (Institutional Sector Codes - PCIFB reference 3.10.06)
7.3. Individuals: The nominal value of demand deposits of individuals in time
band 1 must be recorded.
Note: these items belong to account 2.10.10 – Current deposits of the PCIFB, namely those belonging to the institutional sector with code 61 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
8. Term Deposits: In the following items, term deposits in the Institutions are
considered.

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 20 of 29
8.1. Non-Banking Financial Institutions: The estimated cash flows arising
from term deposits of Non-Bank Financial Institutions, including principal and interest, must be recorded in the time bands 1 to 4, according to the respective residual maturities of term deposits. Note: these items belong to account 2.10.20 – Term deposits, of the PCIFB, namely those belonging to the institutional sectors with codes 14 to 19 and 24 to 29 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
8.2. Non-Financial Institutions: The estimated cash flows arising from
time deposits of Non-Financial Institutions, including principal and interest, must be recorded in the time bands 1 to 4, according to the respective residual maturities of term deposits. Note: these items belong to account 2.10.20 – Term deposits, of the PCIFB, namely those belonging to the institutional sectors with the codes 37, 51 and 52 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
8.3. Individuals: The estimated cash flows arising from time deposits of
individuals, including principal and interest, must be recorded in the time bands 1 to 4, according to the respective residual maturities of term deposits. Note: these items belong to account 2.10.20 – Term deposits, of the PCIFB, namely those belonging to the institutional sector with code 61 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
9. Other Deposits: In the following items, other deposits in the Institutions are
considered.
9.1. Non-Banking Financial Institutions: The estimated cash flows arising
from other deposits of Non-Banking Financial Institutions, including principal and interest, shall be recorded in the time bands 1 to 4, according to the respective expected residual maturities of these deposits. Note: these elements belong to account 2.10.80 – Other deposits, of the PCIFB, namely those belonging to the institutional sectors with codes 14

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 21 of 29 to 19 and 24 to 29 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
9.2. Non-Financial Institutions: The estimated cash flows from other
deposits of Non-Financial Institutions, including principal and interest, must be recorded in the time bands 1 to 4, according to the respective expected residual maturities of these deposits. Note: these items belong to account 2.10.80 – Other deposits, of the PCIFB, namely those belonging to the institutional sectors with the codes 37, 51 and 52 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
9.3. Individuals: The estimated cash flows arising from other deposits of
individuals, including principal and interest, must be recorded in the time bands 1 to 4, according to the respective expected residual maturities of these deposits. Note: these items belong to account 2.10.80 – Other deposits, of the PCIFB, namely those belonging to the institutional sector with code 61 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
10. Operations in the Interbank Money Market – with Banking Financial
Institutions: They must be recorded in the time bands from 1 to 4, according to the respective residual maturities of the operations, the

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 22 of 29 nominal value of operations in the interbank money market with Banking Financial Institutions, including capital and interest. Note: these items belong to account 2.20.10 – Operations in the interbank money market, of the PCIFB, namely those belonging to the institutional sectors with the codes 12, 13, 22 and 23 provided for in the respective auxiliary
table (Codes of the Institutional Sectors - reference PCIFB 3.10.06).
11. Operations in the Interbank Money Market - with the Central Bank:
The nominal value of the liabilities assumed with the National Bank of Angola, including rediscounts and liquidity financial assistance, including capital and interest, must be recorded in the time bands 1 to 4, according to the respective residual maturities of the operations. Note: these items belong to account
2.20.10 – Operations in the interbank money market, of the PCIFB, namely
those belonging to the institutional sector with code 11 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
12. Liabilities Represented by Securities: The nominal value of the
fundraising operations through the issuance or endorsement of securities, including principal and interest, must be recorded in the time bands 1 to 4, according to the respective residual maturities of the operations. Note: these elements belong to account 2.30 – Liabilities represented by securities, of the PCIFB.
13. Other Subordinated Liabilities: The nominal value of the obligations
arising from other funding such as loans, financing and on-lending contracted with other Financial Institutions for application with customers, including capital and interest, must be recorded in the time bands 1 to 4, according to the respective residual maturities of the operations. Note: these items belong to account 2.70.80 – Other subordinated liabilities, of the PCIFB.

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 23 from 29
14. Securities Sale Operations (own and third-party) with a Repurchase
Agreement: The repurchase price of the securities received (pre-agreed) in the securities sale operations with a repurchase agreement must be recorded in the time bands 1 to 4, according to the repurchase dates of the securities. In line 14.1, it is necessary to itemize the sale of securities (own and third￾party) with a repurchase agreement, as set out in the paragraph above, namely, those carried out with the central bank, belonging to the institutional sectors with code 11 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06). Note: these items belong to PCIFB accounts 2.20.20 - Sale of Own Securities with Repurchase Agreement and 2.20.30 - Sale of Third-Party Securities with Repurchase Agreement.
15. Subordinated Debt and Hybrid Subordinated Debt Instruments: The
nominal value of obligations arising from subordinated debt and hybrid equity and debt instruments, including principal and interest, if applicable, shall be recorded in the time bands 1 to 4, according to the respective residual maturities of the instruments. Note: these items belong to accounts 2.70.10 – Subordinated debts and
2.70.20 – Hybrid subordinated debt instruments, of the PCIFB.
16. Hedge Derivatives with Negative Fair Value: The current value of the
positions in these instruments shall be recorded in the time bands 1 to 4, according to the respective residual maturities of the derivative financial instruments. Note: these items belong to account 2.40 – Hedging derivatives with negative fair value, of the PCIFB.
17. Irrevocable Fixed Mortgage Loan Commitments
Irrevocable fixed mortgage loan commitments, such as the provision of credit lines linked to a mortgage guarantee, should be considered.

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 24 of 29 In filling out this item, cash flows arising from irrevocable fixed commitments of mortgage loans, which are contracted within the time horizon defined in time bands 1 to 4, must be considered. Note: these elements belong to the account 9.10.20 – Responsibilities to third parties, of the PCIFB.
18. Irrevocable Commitments to Third Parties: The value of irrevocable
commitments and irrevocable credit lines entered into to third parties shall be recorded at their nominal amount, in accordance with the due periods, in time bands 1 to 4, except those recorded under heading 17. Note: these elements belong to the account 9.10.20 – Responsibilities to third parties, of the PCIFB.
19. Securities Subscribed for Primary Placement The nominal value of the
securities subscribed for primary placement in time band 1 must be recorded. Note: these items belong to account 9.10.30.20 – Securities subscribed for primary placement, of the PCIFB.
C. Cash Flow Inflow
20. Operations in the Interbank Money Market – with the Central Bank:
The nominal value of the rights receivable from the National Bank of Angola or other central banks must be recorded in time bands 1 to 4, according to the respective residual maturities of the operations. Note: these items belong to account 1.20.10 – Operations in the interbank money market, of the PCIFB, namely those belonging to the institutional sectors with code 11 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
21. Operations in the Interbank Money Market – with Banking Financial
Institutions: The nominal value of the receivables arising from investments in other Banking Financial Institutions must be recorded in the time bands 1 to 4, according to the respective residual maturities of the operations.

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 25 from 29 Note: these items belong to account 1.20.10 – Operations in the interbank money market, of the PCIFB, namely those belonging to the institutional sectors with codes 12, 13, 22 and 23 provided for in the respective auxiliary
table (Institutional Sector Codes - reference PCIFB 3.10.06).
22. Credits
In the following items, the estimated cash flows arising from the Institution's loan portfolio, including principal and interest, shall be recorded in the time bands 1 to 4, according to the residual maturities of the credit operations. Cash flows associated with non-performing loans are excluded from this item.
22.1. Non-Banking Financial Institutions
Note: these items belong to account 1.70 – Loans to customers, of the PCIFB, namely those belonging to the institutional sectors with codes 14 to 19 and 24 to 29 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
22.2. Non-financial institutions
Note: these items belong to account 1.70 – Loans to customers, of the PCIFB, namely those belonging to the institutional sectors with the codes 37, 51 and 52 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).
22.3. Individuals
Note: These elements belong to account 1.70 – Credits to customers of the PCIFB, namely those belonging to the institutional sector with code 61 provided for in the respective auxiliary table (Institutional Sector Codes - PCIFB reference 3.10.06).

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 26 of 29
23. Public Debt Securities Issued by the National Treasury and the
Central Bank
Securities eligible as collateral in credit operations of the National Bank of Angola, as defined in Notice No. 11/2011, of 20 October, on interbank money market operations, should be considered. The value of these titles must be recorded in time bands 2 to 4, minus the respective haircut, under the terms of the aforementioned Notice, according to their residual maturity. Note: these items belong to account 1.30 – Securities of the PCIFB.
24. Obligations
Bonds that are not eligible as collateral in credit operations of the National Bank of Angola (to be included in item 4 and item 23), which are not being used in other operations (to be included, in particular, in items 20, shall be considered in time bands 2 to 4), according to their residual maturity, 21 and 25, depending on the operation) and that do not meet the eligibility requirements for trading presented in paragraph 6 of this Annex. Note: these items belong to account 1.30 – Securities of the PCIFB, namely the instruments codes 301, 303, 305 and 329 provided for in the respective auxiliary table (Codes of Types of Financial Instruments and Operations - PCIFB reference 3.10.08).
25. Securities Purchase Transactions with a Reverse Purchase
Agreement: The (pre-agreed) sale price of the securities assigned in the purchase operations with a reverse repurchase agreement must be recorded in the time bands 1 to 4, according to the dates of resale of the securities. The maturity to be considered is that of the operation, even if the securities have a maturity higher than it. In line 23.1, it is necessary to itemize the transactions for the purchase of securities with a repurchase agreement, as set out in the paragraph above, namely those carried out with the central bank, belonging to the institutional sectors with code 11 provided for in the respective auxiliary table (Institutional Sector Codes - reference PCIFB 3.10.06).

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 27 from 29 Note: these elements belong to accounts 1.20.20 – Transactions for the purchase of third-party securities with a repurchase agreement, of the PCIFB.
26. Positive Fair Value Hedging Derivatives: The current value of the
positions in these instruments shall be recorded in the time bands 1 to 4, according to the respective residual maturities of the derivative financial instruments. Note: these items belong to account 1.40 – Hedging derivatives with positive fair value, of the PCIFB.
27. Irrevocable Commitments Assumed by Third Parties: The nominal
value of irrevocable commitments, irrevocable credit lines and deposit term contracts in which another party undertakes to make a deposit, according to their residual maturity periods, must be recorded in time bands 1 to 4. Note: these elements belong to the account 9.10.10.20 – Commitments assumed by third parties, of the PCIFB. D. Liquidity Ratios and Watch Ratios 28. Total Net Assets (A.) Sum, in time band 1, of level 1 and level 2 net assets.
29. Total Cash Flow Outflow (B.)
Total, by time band, of cash flow outflows.
30. Total Cash Flow Inflow (C.)
Total, by time band, of cash flow inflows.
31. Lag (28+30-29)
The difference, by time band, between total net assets (applicable to time band 1 only) plus cash flow inflows and cash flow outflows in that time band.
32. Cumulative Lag (31 + 32 from the Previous Maturity Band)
By time band, cumulative value of the difference between net assets plus cash flow inflows and cash flow outflow.

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 28 of 29
33. Liquidity Ratio
The liquidity ratio is calculated for time band 1 only and indicates the coverage by net assets (numerator) of any financing needs (outflow cash flow net of respective inflows). A Liquidity Ratio = where:
B−Max (0; min (C; B∗75%))

• A – total liquid assets (item 28) in time band 1
• B – total cash flow outflow (item 29) in time band 1
• C – total cash flow inflow (item 30) in time band 1
• Max – Maximum value between two or more values
• Min – Minimum value between two or more values

34. Observation Ratio
    The observation ratios are calculated for time bands 2 to 4 as set out in the following formula:
    Observation Ratio, where:
    Cumulative Lag t−1+CT
    Observation Ratio = where:
    Bt

• t - time band, from 1 to 4
• Cumulative lag (item 32) in time band t-1
• Bt – total cash flow outflow (item 29) in the time band t
• C – total cash flow inflow (item 30) in time band t
  E. Intra-Group Movements
  In the intra-group movements field, the outflow and inflow cash flows that have as counterparty Institutions belonging to the global financial group, under the terms and conditions provided for in this Instruction, on liquidity risk, must be made available, discriminating those that are with Institutions within the supervision perimeter of the National Bank of Angola from those that are carried out with Institutions outside the supervision perimeter of the National Bank of

CONTINUATION OF INSTRUCTION NO. 01/2024 Page 29 from 29 Angola. These cash flows should be recorded in time bands 1 to 4 depending on the maturities of the underlying operations. Ratios – excluding intra-Group In this field, the same liquidity ratios are automatically calculated, as in section D. Liquidity Ratio and Observation Ratios, but the intra-group movements considered in section E. Intra-group movements are excluded. F. Exposure to Counterparties Record the top three (3) counterparty exposures in the following categories:

• Credits (item 22);
• Irrevocable commitments by third parties (item 27);
• Customer deposits (total of items 7, 8 and 9);
• Interbank Money Market Operations with Financial Banking Institutions
  (item 10);
• Irrevocable commitments to third parties (item 18).