Liquidity Risk Reporting

Bank of Israel Supervision on Banks Department Policy

Fax: 02-6524590 Tel: 02-6552475 P.O.B. 780, Jerusalem 91007

Jerusalem, 3 Shevat 5773 January 14, 2013

Circular No. 06-2364

To: Banking Corporations and Credit Card Companies

Subject: Liquidity Risk Reporting (Instruction No. 827 of the Supervision on Banks (Reporting))

Introduction

1. In light of accumulated experience and the need to adapt the "342" Banking Norm for Liquidity Risk Management, the Reporting Instruction on Liquidity Risk (No. 827) has been amended.
2. The "896" Instruction on the List of Banking Corporations has also been updated.

Amendments to the Instruction

3. The main changes to the Reporting Instruction on Liquidity Risk (No. 827) are as follows:

a. The submission deadline for the quarterly report has been changed to within eight business days from the date of publication of the financial report, instead of four business days (for public).

b. The following changes apply as of the first quarter of 2013:

1. The line "Deposits in Banks" was split into two lines: "Deposits in Major Banks" and "Commercial Deposits in Banks," and the line "Commercial Deposits in Banks" was deleted.
2. Additional information was added to Section 21 of the Instruction regarding the gap between assets and liabilities and the impact of off-balance sheet derivative instruments. Also, the definition of "Derivative Instruments" was added to the report.
3. The calculation based on the bank's internal model was cancelled.

c. As of the first quarter of 2013, additional information on the gap between assets and liabilities before the impact of derivatives in USD and EUR will be reported.

d. New tables on "Liquidity Metrics" and new consolidated quarterly bases were added as detailed below:

1. Table 04 - "Liquidity Metrics" - Bank Basis: Normal Business Conditions, Systemic Stress Scenarios, Specific Stress Scenarios, and Combined Stress Scenarios. (The old numbering of Tables 04 and 05 will now be Tables 05 and 06 respectively, and the old numbering of Table 06 will now be Table 10).
2. Table 07 - "Cash Flow Projections - Contractual Maturities and Balance Sheet Surplus" - Consolidated Quarterly Basis: Foreign Currency.
3. Table 08 - "Cash Flow Projections - Contractual Maturities and Balance Sheet Surplus" - Consolidated Quarterly Basis: Israeli Currency (including currency-indexed).
4. Table 09 - "Liquidity Metrics" - Consolidated Quarterly Basis: Normal Business Conditions, Systemic Stress Scenarios, Specific Stress Scenarios, and Combined Stress Scenarios.
5. Tables 07 and 08 - Additional information on "Deposits of Institutional Bodies."

4. Commencement of the Amendments to this Instruction:

a. As stated, the reporting on a bank basis, except for reporting on USD and EUR, shall commence from the report dated July 31, 2013.

b. Reporting on a bank basis on the gap between assets and liabilities before the impact of derivatives in USD, and on the gap between assets and liabilities after the impact of derivatives in USD and EUR, as per Table 02, shall commence from the report dated December 31, 2013.

c. Reporting on consolidated basis on liquidity ratios in USD and EUR as per Table 09, and reporting on consolidated basis as per Tables 07 and 08, shall commence from the report dated December 31, 2013.

5. Questions and Clarifications:

For questions and clarifications regarding the tables in Instruction No. 803 of the Supervision on Banks (Reporting), please contact directly.

6. Updating the Files:

The following updates apply to the pages of the file of Instructions of the Supervision on Banks (Reporting):

Page to Insert | Page to Remove (1/13) [ ] 3 | 827-1-13 Various Versions 827-1-8 (1/13) [23] | 896-1 (9/11) [22] 896-1

(12/09) [16] | 896-2 *(8/12) [ ] 4 | 897-51 (8/12) [ ] 4 897-51 (1/13) [ ] 4 | 897-52 (8/12) [ ] 3 897-52

*This page was not updated but was reprinted following the transition to double-sided printing.

With respect,

Auriv Soffer Deputy Superintendent of Banks