Notice No. 12/2011 of October 20, 2011 – Luanda Interbank Offered Rate (LUIBOR)

[LOGO: BANCO NACIONAL DE ANGOLA]

BANCO NACIONAL DE ANGOLA

NOTICE NO. 12/2011 of October 20

GOVERNOR'S OFFICE

SUBJECT: MONETARY POLICY - Luanda Interbank Offered Rate - LUIBOR

Considering the need to institutionalize the Luanda Interbank Offered Rate (LUIBOR), as well as to establish the rules and procedures for its compilation, calculation, and publication;

Pursuant to Article 51 of Law No. 16/10, dated July 15, the Law of the Banco Nacional de Angola,

I DETERMINE:

1. The Luanda Interbank Offered Rate, abbreviated as LUIBOR, is hereby established, and its regulation is approved.
2. LUIBOR is an interest rate based on the interest rates of liquidity lending operations, in national currency, for unsecured funds, conducted between banks for a maturity of 1 (one) day (overnight), and by the information provided by them regarding the offered and accepted interest rates for maturities from 30 (thirty) days to 365 (three hundred and sixty-five) days.
3. LUIBOR is compiled, calculated, and published by the Banco Nacional de Angola for operation maturities from 1 (one) day (overnight) to 365 (three hundred and sixty-five) days.
4. Questions and omissions arising from the interpretation of this Notice shall be resolved by the Asset Markets Department of the Banco Nacional de Angola.

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BANCO NACIONAL DE ANGOLA GOVERNOR'S OFFICE

5. This Notice takes immediate effect.

PUBLISHED

Luanda, October 20, 2011

THE GOVERNOR JOSÉ DE LIMA MASSANO

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BANCO NACIONAL DE ANGOLA GOVERNOR'S OFFICE

ANNEX TO NOTICE NO. 12/2011

REGULATION ON THE LUANDA INTERBANK OFFERED RATE – LUIBOR.

1. PROCEDURES AND SCHEDULES FOR INFORMATION COLLECTION

1.1 The collection of information for the calculation of LUIBOR is carried out daily by the Banco Nacional de Angola.

1.2 The procedures for collecting interest rates for calculating LUIBOR for 1 (one) day maturities are conducted in SIGMA (Asset Markets Management System), after the closure of the operational hours for interbank liquidity lending operations.

1.3 For maturities of 1, 3, 6, 9, and 12 months, the collection of information for calculating LUIBOR is carried out daily through a designated communication medium. In case of unavailability, the information will be collected in SIGMA via an MT 599 message, as provided in the Manual of Standards and Procedures, which banks must send daily.

1.4 The information must be sent by the banks by 14:30 on the day to which it relates.

1.5 The interest rates, for each of the proposed maturities, must be entered by participating banks with four decimal places, adopting a 365-day period as the calculation base.

1.6 The quotes entered by each bank are confidential and available only to the market operators of the Banco Nacional de Angola (BNA) involved in information collection.

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BANCO NACIONAL DE ANGOLA GOVERNOR'S OFFICE

1.7 Ten (10) banks, considered the largest market operators by the size of their deposit, credit, and government bond portfolios, as well as by their regular participation in the interbank money market, participate in providing information for calculating LUIBOR for 1, 3, 6, 9, and 12 month maturities.

1.8 The list of banks participating in information collection for calculating LUIBOR will be published by the Banco Nacional de Angola and reviewed semi-annually, in coordination with the Angolan Bank Association (ABANC).

2. CALCULATION AND PUBLICATION METHODOLOGY

2.1 LUIBOR is compiled for the maturities mentioned in the previous point of this Instruction and published daily by the Banco Nacional de Angola.

2.2 LUIBOR is calculated as the weighted average interest rate of liquidity lending operations, in national currency, between banks, for unsecured funds in the interbank market, for maturities from overnight and via market consultation for maturities of 1, 3, 6, 9 to 12 months, excluding "out-of-market" offers (outliers).

2.2.1. Calculation of LUIBOR for 1 (one) day maturity (overnight):

For 1-day maturities (overnight), LUIBOR is calculated based on the interest rates of unsecured fund lending operations conducted between banks through the SIGMA system. LUIBOR is the weighted average interest rate, calculated after sample purification, based on the following formula:

LUIBOR_m = (Σ_{i=1}^{N} J_i * V_i) / (Σ_{i=1}^{N} V_i)

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BANCO NACIONAL DE ANGOLA GOVERNOR'S OFFICE

Where:

LUIBOR_m = Luibor corresponding to maturity m, expressed in annual percentage rates J_i = Interest rate of lending operation i with maturity m, where m>1 if the operation occurs on Friday or the day before a holiday. V_i = Value of operation i with maturity m N = Number of operations in the used sample, after eliminating discrepant observations.

In this case, based on the accumulated sum of products (SAP), JV, exclusion limits were defined. Opting for a 5 percent¹ threshold, exclusions will be performed according to the degree of asymmetry of the interest rate distribution, as described below:

Symmetric series – When the degree of asymmetry lies between -0.5 and +0.5, only pairs of interest rate observations and their corresponding operation values within the interval: (0.025SAP to 0.975*SAP), inclusive, are considered in the LUIBOR calculation.

Positive asymmetric series – When the degree of asymmetry is above +0.5, only pairs of interest rate and operation values within the interval: (0.00SAP to 0.95*SAP), inclusive, are considered in the LUIBOR calculation.

Negative asymmetric series – When the degree of asymmetry is below -0.5, only interest rates and values within the interval: (0.05SAP to 1.00*SAP) are considered in the LUIBOR calculation.

J = interest rate of operations V = value of operations JV = product of the rate by the operation's value

2.2.2. Calculation of LUIBOR for 1, 3, 6, 9, and 12 month maturities:

For each maturity of 1, 3, 6, 9, and 12 months, LUIBOR is calculated based on the collection of offered and accepted interest rates by participating banks as per point 1.7 of this regulation.

The calculation will be applied separately for each maturity and rates provided by the banks, adopting the following procedure:

• Determination of the interest rate sample;
• Extraction of the lower quartile (25% of the lowest rates)
• Extraction of the upper quartile (25% of the highest rates)
• Determination of LUIBOR, based on the remaining interquartile range, as the arithmetic mean rate, dividing the sum of interest rates by the number of interquartile information points, as demonstrated:

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BANCO NACIONAL DE ANGOLA GOVERNOR'S OFFICE

[Diagram] | 1: | | 2: | | 3: | | :--- | :--- | :--- | :--- | | Rates offered and accepted on the day | --> | Calculation of Lower Quartile (Q1) | --> | Calculation of Upper Quartile (Q3) | | | Q1=1/4(n+1) | | Q3=3/4(n+1) | | | Where n = number of offered rates | | Where n = number of offered rates |

4:
Calculation of Luibor Rate
LUIBOR = arithmetic mean of the interquartile range

3. FORM OF PUBLICATION OF LUIBOR

3.1. LUIBOR is published daily by 08:30, through its Internet page, in any other electronic medium for communicating financial information, and in a national daily newspaper.