INTRODUCTION 3 A. CURRENT NET VALUE OF THE PORTFOLIO (IN MILLION USD) 4 B. GEOGRAPHICAL COMPOSITION BY DURATION 4

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2 TABLE OF CONTENTS INTRODUCTION 3 A. CURRENT NET VALUE OF THE PORTFOLIO (IN MILLION USD) 4 B. GEOGRAPHICAL COMPOSITION BY DURATION 4 C. PORTFOLIO COMPOSITION BY ASSET CLASSES 5 D. HOLDINGS WITH HIGH AND LOW PERFORMANCE (IN USD) 5 E. ASSETS' REVENUE IN OTHER CURRENCIES (IN USD) 6 F. SECURITIES RISK MANAGEMENT 7 G. QUARTERLY BALANCE SHEET (JANUARY TO MARCH / 2015) IN AOA 10 fundosoberano.ao 2

3 INTRODUCTION This report is prepared in accordance with the provisions of paragraph 4 of Article 6 (Provision of Services), of chapter III of the Annex of the Presidential Decree 108/13 of 28th June. The balance of the investment activities during the 2nd quarter of 2015 of the Sovereign Wealth Fund of Angola, hereafter referred as the Fund or FSDEA, is also compiled. Since the investment operations of the Fund are carried out in US dollars, as stipulated by Article 9 of the addendum to Presidential Decree 107/13 of June 28, the annual average exchange rate of the National Bank of Angola is adopted, in which 1USD is equivalent to 122,158 AOA as a reference for this report. In accordance with Article 10 of Presidential Decree 48/11 of March 9, the costs of the burdens and responsibilities performed within the implementation of the business plan and FSDEA's annual budget are deducted from the value of the portfolio. The information presented here is based on provisional monitoring registers of FSDEA's activities, which should be subject to a final approval from the Board of Directors of the Fund and a process of professional and independent audit at the end of the current year. For this reason, its reference or application, partly or wholly, for commercial, academic, informative and diverse nature is unauthorized. At the end of June, the total amount in alternative assets represents 29% of the asset portfolio. fundosoberano.ao 3

4 A. EVOLUTION OF FSDEA PORTFOLIO IN THE LAST 3 MONTHS (IN BILLION USD) B. GEOGRAPHICAL COMPOSITION BY DURATION fundosoberano.ao 4

5 C. PORTFOLIO COMPOSITION BY ASSET CLASSES BY END SEMESTER N.B.: The graph illustrates the percentages of the asset portfolio and not of the total portfolio D. HOLDINGS WITH HIGH AND LOW PERFORMANCE (IN USD) fundosoberano.ao 5

6 E. ASSETS' REVENUE IN OTHER CURRENCIES (IN USD) fundosoberano.ao 6

7 F. SECURITIES RISK MANAGEMENT NET PORTFOLIO In the second quarter of 2015, the biggest change in the FSDEA net portfolio was in ordinary shares under equity class. The percentage weight of this asset class (excluding ETFs) in the portfolio increased to 7,70%, almost double of the previous period. STRESS TESTS OF THE NET PORTFOLIO (Million USD) The stress test chart below shows that the portfolio increased its sensitivity to risk factors related to share prices and exchange rates, as a result of the changes described above. The impact of the interest rate factor decreased as a result of floating rate securities in the portfolio and the actual reduction in fixed income class. However, it should be emphasized that the stress test limits are not violated. Risk Factors Potential Loss (in millions USD) Potential Lost (%) Limits Interest Rates (+/- 100 base points) 29, ,22% 5% Shares (+/-10%) 33,033,45 1,08% 1,5% Exchange Rate (+/5%) 8, ,32% 0,5% MARKET RISKS The following graphs represent the value at risk of the absolute return portfolio and liquidity management, respectively. Despite changes, the value at risk levels in any of the two portfolios exceeded the limit (3%), as illustrated by the graphics. fundosoberano.ao 7

8 MARKET RISK: VALUE AT RISK (VaR) - ABSOLUTE RETURN PORTFOLIO IN THE LAST THREE MONTHS MARKET RISK: VALUE AT RISK (VaR) - LIQUIDITY MANAGEMENT PORTFOLIO IN THE LAST THREE MONTHS fundosoberano.ao 8

9 As can be seen from the graphic above, there was a sudden decline in the value at risk of the liquidity management portfolio in June. This is due to the non-reinvestment of gained positions from June, and the strengthen of the position in cash and cash equivalents that do not impact the metric of the value at risk. RISK CLASSIFICATION OF FIXED INCOME ASSETS BY MOODY'S AND S&P'S fundosoberano.ao 9

10 G. QUARTERLY BALANCE SHEET (APRIL TO JUNE 2015) IN USD Saldo 31 Março (USD) Saldo 30 Junho (USD) Variação 1 ACTIVO 4,861,759,488 4,875,677,769 13,918, Disponibilidades 100,123,094 95,156,925-4,966, Caixa 20,402 35,992 15, Disponibilidades em Instituições Financeiras 100,102,692 95,120,933-4,981, Aplicações de Liquidez Títulos e Valores Mobiliários 2,720,015,406 2,727,855,657 7,840, Instrumentos Financeiros Derivados Créditos no Sistema de Pagamentos Operações Cambiais Créditos Outros Valores 27,076,690 38,616,679 11,539, Inventários Comerciais e Industriais e adiantamentos a 3,423 2, fornecedores 1.90 Imobilizações 2,014,540,727 2,014,044, ,094 2 PASSIVO -8,980,173-46,126,649-37,146, Depósitos Captações para Liquidez Captações com Títulos e Valores Mobiliários Instrumentos Financeiros Derivados Obrigações no Sistema de Pagamentos - -1,499-1, Operações Cambiais Outras Captações Outras Obrigações -8,876,952-46,038,058-37,161, Provisões para Responsabilidades Prováveis -103,221-87,092 16,129 fundosoberano.ao 10

11 4 FUNDOS PRÓPRIOS -4,845,251,779-4,844,765, , Capital Social Reserva de Actualização Monetária do Capital Social Reservas e Fundos -5,045,797,846-5,045,797, Resultados Potenciais Resultados Transitados 200,546, ,032, , (-) Dividendos Antecipados Resultado da Alteração de Critérios Contabilísticos (-) Acções ou Quotas Próprias em Tesouraria RESULTADOS -7,527,536 15,213,925 22,741, Resultado Operacional -7,527,233 15,214,228 22,741, Resultado Não Operacional Encargos Sobre o Resultado Corrente ACTIVO + PASSIVO + FUNDOS PRÓPRIOS + RESULTADOS CONTAS EXTRAPATRIMONIAIS Contas de Controlo -812,834, ,834, Devedores e Credores por Responsabilidade Extrapatrimoniais 812,834, ,834,352 - fundosoberano.ao 11

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