Assets and Liabilities According to Indexing Base and According to Time-to-Maturity

Bank of Israel
Supervision and Policy of Banks
Fax: 03-5661110 Tel: 03-5640520
P.O.B. 61004, Tel Aviv
20 Tishrei 5774, Jerusalem
30 September 2013
Circular No. 2399 - 06 - Ch

To:
Banking Institutions and Credit Card Companies

Subject: Assets and Liabilities According to Indexing Base and According to Time-to-Maturity (Instructions for Public Reporting)

Introduction

1. In accordance with the instructions to present assets and liabilities according to indexing base, banking institutions are required to present cash flows for assets and liabilities by time-to-maturity, distinguishing between Israeli currency and foreign currency. This includes a distinction between local currency activities and foreign currency activities, including Israeli currency indexed to an index and foreign currency.

2. Based on accumulated experience in reporting liquidity, a need arose to amend the Instructions for Public Reporting. After consulting with the Accountants' Association of Israel, the Committee for Consultation on Banking Matters, and the Banks Supervisor, I have amended the Instructions for Public Reporting as detailed below.

Amendments to the Instructions

3. The Instructions for Public Reporting shall be amended as specified in the instruction.

Explanatory Notes

4. The amendments to the instructions are intended to enable the reader of the report to better understand the liquidity risk to which the banking institution is exposed.

5. The Main Changes:

5.1 Instead of presenting assets and liabilities by time-to-maturity distinguishing between "local activities" and "foreign activities" (including Israeli currency indexed to foreign currency), a banking institution is required to present cash flows according to the indexing base or the currency index (Israeli currency or foreign currency).

5.2 The Instructions for Public Reporting (1.d.22) shall be changed regarding the reporting of cash flows for net settled derivatives as follows: The net expected contractual cash flow of the derivative instrument shall be classified as Israeli currency or foreign currency according to the currency in which it will be settled. There is no need to report off-balance sheet amounts for derivative instruments as stated above.

6. Banking institutions shall implement the aforementioned instructions for reports for the year 2013 onwards. Comparative figures for prior years shall be reclassified in accordance with the new format.

7. A banking institution encountering difficulty in implementing the instructions may contact Mr. Eido Galil, Head of the Cash Reporting Unit, for specific guidance.

8. File Update

Attached herewith are pages updating the file of Instructions for Public Reporting as follows:

Page to Insert | Page to Remove
*(6/08) [4] 663-15.1 | (6/08) [4] 663-15.1
(9/13) [10] 663-16 | (10/02) [9] 663-16
(9/13) [3] 663-16.1 | (3/10) [2] 663-16.1
*(4/11) [16] 669-47 | (4/11) [16] 669-47
(9/13) [17] 669-48 | (1/13) [16] 669-48
(9/13) [17] 669-49 | (1/13) [16] 669-49
(9/13) [17] 669-50 | (1/13) [16] 669-50
(9/13) [17] 669-51 | (1/13) [16] 669-51
*(4/11) [4] 669-51.1 | (4/11) [4] 669-51.1
(9/13) [1] 699-108 | -----

• This page was reprinted following the transition to double-sided printing. The existing text is identical to the updated version.

With respect,

David Zaken
Supervisor of Banks

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Instructions for Public Reporting: Supervisor of Banks
Page 663 - 16

16.5 Assets and Liabilities According to Currency and Time-to-Maturity

A. Expected future contractual cash flows shall be presented in the notes according to the remaining contractual maturity periods for the currency, as follows:

1. Demand to up to one month (including cash);
2. Over one month to three months;
3. Over three months to one year;
4. Over one year to two years;
5. Over two years to three years;
6. Over three years to four years;
7. Over four years to five years;
8. Over five years to twelve years;
9. Over twelve years to twenty years;
10. Over twenty years;
11. Without time-to-maturity (including amounts whose maturity has passed);
12. Only if the balance sheet amount is shown.

In addition, disclosure shall be given of the balance sheet amount of assets and liabilities according to currency.

B. In the notes, expected future contractual cash flows for assets and liabilities shall be presented according to the indexing base. The currency shall be determined in accordance with the rules set forth in Section 50, clarified that all remaining contractual periods for expected future cash flows for liabilities and assets shall be presented on a contractual cash flow basis, without the effect of discounting, including off-balance sheet amounts of derivative instruments affecting the indexing base. Options shall also be presented in terms of the underlying asset, without the effect of discounting. Expected future cash flows for liabilities or assets bearing variable interest rates shall be presented based on the existing yield curve of the currency in which they are denominated, assuming that the change in expected yield according to the derivative variable interest rate is based on the existing yield curve in the market. Disclosure shall be given of the variable interest rate base used by the banking institution for presentation of cash flows for other instruments bearing variable interest rates.

Off-balance sheet amounts of liabilities and assets that are not net settled derivatives in accordance with Section 22(d.22) shall be presented in accordance with the rules set forth in Section 50.

• In Section 50, the reference to "Indexing Base" shall be replaced by "Currency Base".

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Instructions for Public Reporting: Supervisor of Banks
Page 663 - 16.1

16.5 Assets and Liabilities According to Currency and Time-to-Maturity

1.d.22 The expected contractual cash flows of net settled derivatives shall be reported as follows: The net expected contractual cash flow of the derivative instrument shall be classified as Israeli currency or foreign currency according to the currency in which it will be settled. There is no need to report off-balance sheet amounts for derivative instruments as stated above.

C. It is clarified that for the purpose of classification according to paragraph A, assets and liabilities shall be classified according to the contractual periods for repayment of each rate or receipts, similar to interest payments or receipts. It is clarified that expected future cash flows that are not contractual shall not be presented in the notes. Off-balance sheet amounts of assets and liabilities that do not represent contractual cash flows shall be presented in the "Without Time-to-Maturity" column.

D. For cash flows for assets with multiple optional contractual maturity dates, the banking institution's management has exclusive discretion to determine the date. If the banking institution's management does not have exclusive discretion, the asset shall be classified according to management's intention. Cash flows for liabilities with multiple optional contractual maturity dates: When the banking institution's management has exclusive discretion to determine the date, the liability shall be classified according to management's intention. If the banking institution's management does not have exclusive discretion, cash flows shall be classified according to the earliest contractual maturity date.

E. Cash flows for credit under "Chach" conditions shall be classified according to the established period, provided that when the credit line under "Chach" was not established or when there is an excess over the credit line, the balance of the credit or the excess balance shall be classified in the "Without Time-to-Maturity" column as "Repayment".

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• Note 17 - Assets and Liabilities According to Currency and Time-to-Maturity

Consolidated as of December 31, 19X0

Reported amounts of expected future contractual cash flows and balance sheet amount

	Demand to 1 month	Over 1 month to 3 months	Over 3 months to 1 year	Over 1 year to 2 years	Over 2 years to 3 years	Over 3 years to 4 years	Over 4 years to 5 years	Over 5 years to 12 years	Over 12 years to 20 years	Over 20 years	Total	Without Time-to-Maturity	Total	Contractual Yield Rate %
Israeli Currency (including NIS indexed to foreign currency)
Assets 1	0	0	0
Liabilities 2	0
Difference -	0
Derivatives (excluding options)	0
Options (in terms of underlying asset)	0
Difference after effect of derivative instruments	0
Foreign Currency
Assets 1	0
Liabilities 2	0
Difference -	0
Of which: Difference - USD	0
Of which: Difference - Foreign Activities	0
Derivatives (excluding options)	0
Options (in terms of underlying asset)	0
Difference after effect of derivative instruments	0
Total
Assets 1	0
Liabilities 2	0
Difference -	0
Of which: Public Credit 1	0
Of which: Public Deposits 2	0	0	-	0

• This note presents expected future contractual cash flows for assets and liabilities by currency, according to the remaining contractual periods for repayment of all cash flows, net of the effect of discounting.
  Includes assets without time-to-maturity whose maturity has passed, including provisions for credit losses and accounting write-offs of NIS 0.
• Does not include NIS indexed to foreign currency.
  Includes off-balance sheet amounts for non-net settled derivatives, as included in Note 16 "Assets and Liabilities According to Indexing Base".
• The contractual yield rate is the discount rate that reduces the expected future contractual cash flows presented in this note to the monetary item in the balance sheet.

It is possible to present comparative data for the previous reporting year only for the data specified in this note. There is no obligation to detail comparative data for the previous reporting year in relation to the data specified in this note.

(With options)
(Refer to the table with a note indicating the amounts of credit under "Chach" conditions and amounts exceeding the "Chach" line, including options, which are included in "Chach").

Supervisor of Banks [Instructions for Public Reporting: 17] (09/13) Annual Cash Report Page 48

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• Note 17 - Assets and Liabilities According to Currency and Time-to-Maturity (Continued 1)

Consolidated as of December 31, 19X-1

Reported amounts of expected future contractual cash flows and balance sheet amount

	Demand to 1 month	Over 1 month to 3 months	Over 3 months to 1 year	Over 1 year to 2 years	Over 2 years to 3 years	Over 3 years to 4 years	Over 4 years to 5 years	Over 5 years to 12 years	Over 12 years to 20 years	Over 20 years	Total	Without Time-to-Maturity	Total	Contractual Yield Rate %
Israeli Currency (including NIS indexed to foreign currency)
Assets 1	0	0	0
Liabilities 2	0
Difference -	0
Derivatives (excluding options)	0
Options (in terms of underlying asset)	0
Difference after effect of derivative instruments	0
Foreign Currency
Assets 1	0
Liabilities 2	0
Difference -	0
Of which: Difference - USD	0
Of which: Difference - Foreign Activities	0
Derivatives (excluding options)	0
Options (in terms of underlying asset)	0
Difference after effect of derivative instruments	0
Total
Assets 1	0
Liabilities 2	0
Difference -	0
Of which: Public Credit 1	0
Of which: Public Deposits 2	0	0	-	0

• This note presents expected future contractual cash flows for assets and liabilities by currency, according to the remaining contractual periods for repayment of all cash flows, net of the effect of discounting.
  Includes assets without time-to-maturity whose maturity has passed, including provisions for credit losses and accounting write-offs of NIS 0.
• Does not include NIS indexed to foreign currency.
  Includes off-balance sheet amounts for non-net settled derivatives, as included in Note 16 "Assets and Liabilities According to Indexing Base".
• The contractual yield rate is the discount rate that reduces the expected future contractual cash flows presented in this note to the monetary item in the balance sheet.

It is possible to present comparative data for the previous reporting year only for the data specified in this note. There is no obligation to detail comparative data for the previous reporting year in relation to the data specified in this note.

(With options)
(Refer to the table with a note indicating the amounts of credit under "Chach" conditions and amounts exceeding the "Chach" line, including options, which are included in "Chach").

Supervisor of Banks [Instructions for Public Reporting: 17] (09/13) Annual Cash Report Page 49

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• Note 17 - Assets and Liabilities According to Currency and Time-to-Maturity (Continued 2)

Banking Institution as of December 31, 19X0

Reported amounts of expected future contractual cash flows and balance sheet amount

	Demand to 1 month	Over 1 month to 3 months	Over 3 months to 1 year	Over 1 year to 2 years	Over 2 years to 3 years	Over 3 years to 4 years	Over 4 years to 5 years	Over 5 years to 12 years	Over 12 years to 20 years	Over 20 years	Total	Without Time-to-Maturity	Total	Contractual Yield Rate %
Israeli Currency (including NIS indexed to foreign currency)
Assets 1	0	0	0
Liabilities 2	0
Difference -	0
Derivatives (excluding options)	0
Options (in terms of underlying asset)	0
Difference after effect of derivative instruments	0
Foreign Currency
Assets 1	0
Liabilities 2	0
Difference -	0
Of which: Difference - USD	0
Of which: Difference - Foreign Activities	0
Derivatives (excluding options)	0
Options (in terms of underlying asset)	0
Difference after effect of derivative instruments	0
Total
Assets 1	0
Liabilities 2	0
Difference -	0
Of which: Public Credit 1	0
Of which: Public Deposits 2	0	0	-	0

• This note presents expected future contractual cash flows for assets and liabilities by currency, according to the remaining contractual periods for repayment of all cash flows, net of the effect of discounting.
  Includes assets without time-to-maturity whose maturity has passed, including provisions for credit losses and accounting write-offs of NIS 0.
• Does not include NIS indexed to foreign currency.
  Includes off-balance sheet amounts for non-net settled derivatives, as included in Note 16 "Assets and Liabilities According to Indexing Base".
• The contractual yield rate is the discount rate that reduces the expected future contractual cash flows presented in this note to the monetary item in the balance sheet.

It is possible to present comparative data for the previous reporting year only for the data specified in this note. There is no obligation to detail comparative data for the previous reporting year in relation to the data specified in this note.

(With options)
(Refer to the table with a note indicating the amounts of credit under "Chach" conditions and amounts exceeding the "Chach" line, including options, which are included in "Chach").

Supervisor of Banks [Instructions for Public Reporting: 17] (09/13) Annual Cash Report Page 669-50

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• Note 17 - Assets and Liabilities According to Currency and Time-to-Maturity (Continued 3)

Banking Institution as of December 31, 19X-1

Reported amounts of expected future contractual cash flows and balance sheet amount

	Demand to 1 month	Over 1 month to 3 months	Over 3 months to 1 year	Over 1 year to 2 years	Over 2 years to 3 years	Over 3 years to 4 years	Over 4 years to 5 years	Over 5 years to 12 years	Over 12 years to 20 years	Over 20 years	Total	Without Time-to-Maturity	Total	Contractual Yield Rate %
Israeli Currency (including NIS indexed to foreign currency)
Assets 1	0	0	0
Liabilities 2	0
Difference -	0
Derivatives (excluding options)	0
Options (in terms of underlying asset)	0
Difference after effect of derivative instruments	0
Foreign Currency
Assets 1	0
Liabilities 2	0
Difference -	0
Of which: Difference - USD	0
Of which: Difference - Foreign Activities	0
Derivatives (excluding options)	0
Options (in terms of underlying asset)	0
Difference after effect of derivative instruments	0
Total
Assets 1	0
Liabilities 2	0
Difference -	0
Of which: Public Credit 1	0
Of which: Public Deposits 2	0	0	-	0

• This note presents expected future contractual cash flows for assets and liabilities by currency, according to the remaining contractual periods for repayment of all cash flows, net of the effect of discounting.
  Includes assets without time-to-maturity whose maturity has passed, including provisions for credit losses and accounting write-offs of NIS 0.
• Does not include NIS indexed to foreign currency.
  Includes off-balance sheet amounts for non-net settled derivatives, as included in Note 16 "Assets and Liabilities According to Indexing Base".
• The contractual yield rate is the discount rate that reduces the expected future contractual cash flows presented in this note to the monetary item in the balance sheet.

It is possible to present comparative data for the previous reporting year only for the data specified in this note. There is no obligation to detail comparative data for the previous reporting year in relation to the data specified in this note.

(With options)
(Refer to the table with a note indicating the amounts of credit under "Chach" conditions and amounts exceeding the "Chach" line, including options, which are included in "Chach").

Supervisor of Banks [Instructions for Public Reporting: 17] (09/13) Annual Cash Report Page 51-669

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Instructions for Public Reporting: Supervisor of Banks
Page 699 - 108 Key Updates

Updates to Circular No. 2399 - 06 - Ch dated 30/09/2013 "Assets and Liabilities According to Indexing Base and According to Time-to-Maturity (for repayment and by currency)"

Page to Insert | Page to Remove
*(6/08) [4] 663-15.1 | (6/08) [4] 663-15.1
(9/13) [10] 663-16 | (10/02) [9] 663-16
(9/13) [3] 663-16.1 | (3/10) [2] 663-16.1
*(4/11) [16] 669-47 | (4/11) [16] 669-47
(9/13) [17] 669-48 | (1/13) [16] 669-48
(9/13) [17] 669-49 | (1/13) [16] 669-49
(9/13) [17] 669-50 | (1/13) [16] 669-50
(9/13) [17] 669-51 | (1/13) [16] 669-51
*(4/11) [4] 669-51.1 | (4/11) [4] 669-51.1
(9/13) [1] 699-108 | -----

• This page was reprinted following the transition to double-sided printing. The existing text is identical to the updated version.