Notes
Harmonised long-term interest rates for convergence assessment purposes
Harmonised long-term interest rates are published on a
monthly basis on the websites of the European Central Bank (ECB) and the
European Commission (Eurostat). These interest rates are used to assess the
degree of convergence of countries, as required under Article 121 of the Treaty
establishing the European Community (the Treaty). The interest rates have been
defined jointly by the ECB, national central banks of the acceding countries and
the European Commission (Eurostat). Under Article 121 of the Treaty, the
convergence of long-term interest rates is one of the criteria for assessing
whether the country has achieved a high degree of sustainable convergence needed
for the membership in the Economic and Monetary Union. Article 4 of the Protocol
on the convergence criteria annexed to the Treaty states that interest rates
should be measured on the basis of long-term government bonds or comparable
securities. For Lithuania, primary market yields are published up to October
2007, secondary market yields - from November 2007.
VILIBID ir VILIBOR
VILIBOR (Vilnius Interbank Offered Rate) is an average
interbank interest rate for which banks are willing (ready) to lend funds in
litas to other banks. Calculated and announced are overnight, one week, two
weeks, one month, three months, six months, and one year VILIBOR. VILIBOR is
computed on the basis of the mentioned maturity interest rates announced by
banks in the REUTERS information system or notified to the Bank of Lithuania.
Each maturity VILIBOR is calculated in the following way: the highest and lowest
interest rates of a respective term are excluded from the calculation, and the
arithmetic average of the rest interest rates of a respective maturity is
derived. VILIBOR is calculated and announced on every business day.
The list of banks should include at least five banks, whose interest rates
are used for the calculation of VILIBOR. The banks whose interest rates are
included in the computation of VILIBOR should comply with the following
requirements:
- perform (or should be able of performing any time) operations with deposits
and loans in the interbank market;
- on their own initiate, to provide interest rates that comply with the
general conditions and trends in the interbank market;
- each bank’s share of the litas interbank deposit and loan market within the
last three calendar months until the list is made should amount to at least five
per cent of the total litas turnover in the interbank deposit and loan market.
In the event these requirements are fulfilled by less than five banks, the
list should include five banks complying with the first two requirements and
whose litas turnover in the interbank deposit and loan market is the largest.
The list is updated once a quarter. It shall be reviewed, if:
- activities of the bank included in the list are restricted or suspended;
- the bank does not provide interest rates, while the other banks on the list
do provide them;
- interest rates provided by banks do not comply with the general conditions
and trends in the interbank market;
- other extraordinary conditions exist.
Computed VILIBOR is announced in the REUTERS information system not later
than at twelve o’clock on the day it has been calculated.
If less than 4 banks provide any maturity interest rates,
VILIBOR of that maturity shall not be computed and announced.
VILIBID (Vilnius Interbank Bid Rate) – is an average
interbank interest rate for which banks are willing (ready) to borrow funds in
litas from other banks. Since 1 January 2006 computation and announcement of
VILIBID was discontinued on the basis of Resolution No. 211 of 28 October 2005
of the Board of the Bank of Lithuania on amending the procedure of computation
and announcement of the average interest bank rates (VILIBID and VILIBOD).
Interbank lending market
Data on the interbank lending and borrowing is compiled
according to Resolution No. 116 of 24 July 2008 of the Board of the Bank of
Lithuania on the statistical accountability of the interbank lending and
borrowing and foreign exchange market. Tables release data on amounts and
interest rates of transactions concluded between resident banks and those with
non-resident banks. The maturity of reporting transactions is up to 1 year
inclusive. Transactions concluded with the Bank of Lithuania, international
organizations and clients are excluded.
Up to 2009 weekly data on concluded transactions were compiled, and from 2009
– monthly data on executed transactions. Data on repurchase transactions was not
compiled till 2009. An undefined indeterminate maturity is the maturity of a
credit line, which is expected to be up to 1 year.
Foreign exchange market
FX market data is compiled according to Resolution No. 116 of 24 July 2008 of
the Board of the Bank of Lithuania on the statistical accountability of the
interbank lending and borrowing and foreign exchange market. Tables release data
on transactions concluded in the FX market. Data on FX purchase and selling
in-house the bank and with the Bank of Lithuania is excluded.
Up to January 2009 the banks provided the weekly reports, therefore monthly
data is calculated according to the data of 4 or 5 weeks. If the beginning and
end of the week belonged to different months, the week is assigned to the month
with more business days.
The FX market turnover is calculated like gross turnover minus double counted
data, i.e. the turnover is adjusted for inter-bank double-counting.
If the currency is purchased or sold for litas, the
transaction value is equal to the value of the litas side. If the transaction is
in other currencies, the transaction value is equal to the value of the
purchased currency, denominated in the official exchange rate of the litas
against foreign currency (average of the accounting month). For swap
transactions, only long legs are reported; the maturity of these transactions is
the difference between the first and the second operation. Options purchased and
sold are from the standpoint of a reporting bank.
Government Securities Auctions
The Republic of Lithuania Government Securities are debt
securities (treasury bills and bonds) issued by the Government in the name of
the Republic of Lithuania. Debt securities confirm the issuer’s (debtor’s) and
investor’s (lender’s, holder’s) rights and duties specified in the issue terms
and conditions, such as the issuer’s obligation to make one or more payments to
the holder (lender) at specified future dates, etc. Usually, an exact (fixed)
interest rate (coupon) of securities issued by the Government of the Republic of
Lithuania is stated. However, Government Securities may have a variable interest
rate, as well. Generally, short-term debt securities (up to one year) are sold
at a discounted value (or price, lower than the nominal value), which, at the
maturity, is paid-back together with the accrued interest (e.g. nominal value).
Debt securities issued with the original maturity of more than one year are
classified as long-term securities. Long-term securities may be sold at a
discount, nominal value or with a premium (price, higher than their nominal
value).
In the domestic market Government Securities are usually sold
at auctions. An auction is held by the Ministry of Finance of the Republic of
Lithuania (hereinafter – Ministry of Finance) or an authorized person. The
Ministry of Finance specifies terms and conditions of Government Securities to
be sold at the auction (securities type, total amount of the issue, maturity,
terms, nominal value, etc.), the auction type and issue share attributed to
non-competitive bids. The Ministry of Finance may propose a certain portion of
the outstanding Government Securities issue for investors to buy-back at
auctions before maturity. In such a case, Government Securities repurchase terms
and conditions, the auction type and the upper limit for securities to be
allotted to non-competitive bids, etc., shall also be specified by the Ministry
of Finance.
