Circular Foreign Exchange Operations and Movement of Funds and Securities with the Abroad - CAMEX 1 - 65

BANCO CENTRAL DE LA REPÚBLICA ARGENTINA
COMMUNICATION "A" 378 30/08/83
TO FINANCIAL ENTITIES AUTHORIZED TO OPERATE IN EXCHANGE AND EXCHANGE BROKERS:
Ref.: Circular FOREIGN EXCHANGE OPERATIONS AND MOVEMENT OF FUNDS AND SECURITIES WITH THE ABROAD. CAMEX - 1 - 65

We address you and, through you, to the interested parties, with reference to the provisions made known by Communications “A” 229, of 9/24/82, and “A” 327 and 328 of 6/1/83, to inform you that it has been resolved to introduce the following modifications in the calculation base of the indices used to determine the future rates of foreign exchange insurance and swap operations:

a) Replace section 3.3.3. of point 3. Future Rate, of Communication “A” 229, with the following:

• Apply a future rate resulting from the difference by quotient between the variation rates registered by the index of the maximum interest rate fixed by the Central Bank for fixed-term deposits of 30 days and more, which will be made known in the manner of practice and the index of the LIBO rate for one-month eurodollars, which it currently establishes for this purpose.

b) Replace section b) of point 4. Future Rate, of Communication “A” 327, which also applies to the operations of Communication “A” 328, with the following:

• The index mentioned in the previous point will reflect daily a variation equal to the value of the daily rate equivalent to the maximum effective monthly interest rate fixed by the Central Bank for operations in Argentine pesos. When the holder of the swap operation is a financial entity authorized to operate in exchange (Category B and C), the index mentioned in the previous paragraph will reflect daily a variation equal to the value of the daily rate equivalent to the effective monthly interest rate arising from deducting two monthly percentage points from the aforementioned maximum effective monthly interest rate.

In both cases, the maximum effective monthly interest rate for credit operations fixed by the Central Bank will be the one corresponding to the business day prior to the date of the index.

Attached is the method for calculating the future rate for swap operations.

We greet you very attentively.
BANCO CENTRAL DE LA REPÚBLICA ARGENTINA
Ernesto Gaba
Main Manager
Evaristo H. Evangelista
Deputy General Manager

ANNEX

B.C.R.A. METHOD OF CALCULATION OF FUTURE RATES FOR SWAP OPERATIONS
Annex to
Comm. “A” 378

ADJUSTMENT INDEX FOR SWAP OPERATIONS
The index defined in point 4.b) of this Communication, corresponding to day t, will be calculated as follows:

1 .
It
= It -1 1 + jt -1
30

where:
t : denotes the day of renewal of the swap operation. jt : maximum effective interest rate, corresponding to a 30-day term, for operations in Argentine pesos, fixed by the Central Bank of the Republic Argentina, in force on day t and expressed as a decimal fraction.

It is defined Io = 1

If the holder of the swap operation is a financial entity authorized to operate in exchange (Categories B and C), the index defined in point 4.b) of this Communication, corresponding to day t, will be calculated as follows:

1 .
It
= It -1 1 + jt -1 - a
30

where:
a: deduction to the rate jt applicable to entities authorized to operate in exchange (Categories B and C), equivalent to 2 percentage points for the 30-day term, expressed as a decimal fraction.

It is defined Io = 1

CALCULATION OF THE FUTURE RATE
Alternative i) of point 4.a)

I. The future rate in the case where the amount of the income tax on interest payable abroad is not borne by the local debtor is the following:

ft
= It

• 180 x 1 - 1
  It 1 + Lt - 2 + 0,0275
  2

where:

-2- ft : future rate, corresponding to day t, expressed as a decimal fraction.
Lt : LIBO rate published by the Central Bank corresponding to day t in the interbank market in London, expressed as a decimal fraction.

II. If the amount of the income tax on interest payable abroad is borne by the local debtor, the formula to apply is the following:

ft = lt + 180 x 1 - 1
It 1 + ( Lt - 2 + 0,0275) ( 1 x St + 180 )
2 1 - St + 180

where:
St : denotes the rate, in force at time t, corresponding to the withholding for the income tax on interest payable abroad, when borne by the local debtor, expressed as a decimal fraction.

Alternative ii) of point 4.a)

I. The future rate in the case where the amount of the income tax on interest payable abroad is not borne by the local debtor is the following:

ft = lt + 180 x 1 - 1
It t + 180
1 + 1 ∑ Pk - 2 + 0,02625
180 k = t 2

where:
Pk = PRIME rate, in annual terms, expressed as a decimal fraction, in force on day k.

II. If the amount of the income tax on interest payable abroad is borne by the local debtor, the formula is the following:

ft = lt + 180 x - 1
It 1 + Pt ; t + 180 ( 1 +St + 180 )
1 - S t + 180

where:
Pt ; t + 180 = is the arithmetic average of the PRIME rates, mentioned previously, with the surcharge of 2 5/8, corresponding to the period between the date of renewal of the swap and the following 180 days.