|
| 1 |
Definitions |
| |
1.1 |
Telbor-daily interest rate benchmark on inter-bank loans (Tel Aviv Inter-Bank Offered Rate). |
| |
1.2 |
Telbor Interest Rate Committee-a committee for standardizing and developing the Telbor. The committee shall consist of the following: |
| |
|
1.2.1 |
Head of the Capital Markets Unit of the Research Department at the Bank of Israel-chair of the committee. |
| |
|
1.2.2 |
A representative of Forex Israel. |
| |
|
1.2.3 |
The Maof Unit Manager at the Tel Aviv Stock Exchange. |
| |
|
1.2.4 |
A representative of the Market Operations Department at the Bank of Israel. |
| |
1.3 |
Publishing of information-Information shall be published by a number of entities defined as suppliers of information to the capital market in Israel. One supplier shall be defined as the central supplier responsible for publishing the list of the contributors, accepting information from the contributors, presenting the interest rates reported, and calculating and publishing the Telbor. The other's shall be responsible for receiving the Telbor data and for its proper presentation for each term to maturity. |
| |
1.4 |
The contributors-Commercial banks that operate and carry out their transactions in a trading room in Israel, that are approved by the Telbor Interest Rate Committee, shall quote inter-bank rates via the central supplier for the purpose of fixing the Telbor. The list shall consist of at least six banks, each of which shall be obliged to quote interest rates on every business day, in accordance with the rules determined by the committee. |
| |
1.5 |
The fixing Telbor-the average of the Telbor rate quotations that the contributors shall present, calculated by means of an algorithm that the Committee has determined (see paragraph 3) for each term to maturity defined by the Committee (see paragraph 4.2.1), provided that at least five contributing banks provide quotations to each term. If there are fewer quotations than five, the fixing shall not be calculated automatically by the rules that have been established and shall not be published in the ordinary manner by the central supplier. Instead, the committee members shall be responsible for publishing the fixing by the end of the day. |
| |
1.6 |
The days on which quotations must be made and the Telbor rate is fixed and published are determined as follows: all business days in Israel excluding Sundays and excluding four other dates--December 25 and 26, January 1, and the last Monday in May. Toward the end of each calendar year, it shall be the responsibility of the Committee members to send out a detailed list of the days for the next calendar year. |
| |
1.7 |
The following method shall be used in calculating payment in Telbor derivates transactions:
where:
Amount - amount of the transaction
ContractRate - the contract interest rate
TelborRate - the Telbor rate as published up to the date of payment
DaycountBasis - the exact number of days during the year in which payment is made in accordance with the banking laws and directives.
|
| 2 |
The work of the Telbor Interest Rate Committee |
| |
2.1 |
The Committee shall convene at least three times a year and shall discuss current developments in the inter-bank market. It shall distribute the minutes of the meeting to representatives of the contributing banks and shall publish them immediately afterward on the Bank of Israel Web site. |
| |
2.2 |
The Committee is entitled to change the rules in accordance with current developments in the market, and a notification of any such change shall be published ninety days in advance of its effective date. |
| |
2.3 |
The inclusion by the Committee of a bank on the list of contributing banks shall be dependent on the bank's commitment to the Committee's directives concerning Telbor rate quotations. |
| |
2.4 |
The Committee shall examine the extent to which the contributors conform to the criteria and rules which it has determined. |
| |
2.5 |
The Committee shall require a quotation to be amended and may even issue a warning to a contributing bank if a contributor does not adhere to the directives for the quotations. Under the authority vested in it, the committee is also entitled to remove the contributor from the list. In such a case, the committee shall publish an announcement of the matter on the same day. |
| |
2.6 |
Should a new candidate for contributor status undertake to comply with all of the Committee's directives and the Committee decides at the new contributor's request to include it in the list of contributors, the Committee shall issue an announcement of this thirty days in advance. |
| 3 |
The algorithm for calculating the Telbor for each term to maturity has been determined as follows: the average of the Telbor interest rate quotations provided by the contributing banks, excluding the highest and the lowest interest rate. The Telbor Interest Rate Committee is entitled to change the calculation algorithm at any time, and a notification of this shall be issued ninety days before the change becomes effective. |
| 4 |
Telbor interest rate quotations-these are based on the interest rate at which the bank is prepared to extend a loan in the inter-bank system in Israel. |
| |
4.1. |
The contributors' commitment: |
| |
|
4.1.1. |
Every contributor shall report on a continuous basis the Telbor interest rate for the different terms to maturity on Monday through Thursday from 10:00 until 17:00 and on Friday from 10:00 and until 13:00. However, only quotations published on Monday through Friday between 11:30 and 12:00 shall commit the contributing bank to conclude a transaction at the request of another contributing bank in accordance with the directives determined by the Committee (see paragraph 4.3). |
| |
|
4.1.2. |
The Committee shall monitor abnormal Telbor interest rate quotations that are not included in the fixing. In the event of an abnormality in their quotations, which is not one-time in nature, the contributors shall justify this abnormal rate to the Committee. |
| |
4.2. |
Directives for quotations: |
| |
|
4.2.1. |
Interest rates shall be quoted for terms to maturity of one business day (overnight), one week, one month, two months, three months, six months, nine months and twelve months. |
| |
|
4.2.2. |
The Telbor interest rate quotations shall be a nominal interest rate and shall be expressed in annual terms. |
| |
|
4.2.3. |
The Telbor interest rate quotations shall be reported in percentage point to an accuracy of two digits after the decimal point. |
| |
4.3 |
Binding nature of the interest rates |
| |
|
The Telbor interest rate quotations between 11:30 and 12:00 for all terms to maturity commit the contributing bank to concluding a transaction in accordance with the following directives: |
| |
|
4.3.1 |
For a term to maturity of one business day: a loan at the Telbor interest rate quotation or a deposit minus 12 points from the rate in an amount of at least NIS 50 million. |
| |
|
4.3.2 |
For a term of three months: an OIS transactions at a obligatory spread of ±6 basis points from the quoted Telbor interest rate, in the amount of NIS 50 million. |
| |
|
4.3.3 |
For a term of three months to one year--FRA transactions for periods of 6 x 3, 9 x 6 and 12 x 9 months, at a obligatory spread of ±6 basis points from the quoted Telbor interest rate, in the amount of NIS 50 million. |
| |
|
4.3.4 |
For a term of one year--a one-year IRS transaction at a obligatory interest rate spread of ±6 basis points from the quoted Telbor interest rate, in the amount of NIS 25 million. |
| |
|
4.3.5 |
Each contributing bank's commitment is defined as concluding one transaction with any other contributing bank that wishes to carry out such a transaction. This rule limits the number of daily transactions to one less than the number of contributing banks. When a contributing bank receives several concurrent requests to carry out a transaction, it shall respond to all such requests with the same quotation. |
| |
|
4.3.6 |
If a contributing bank is not prepared to conclude a transaction as requested, the initiating bank may send a letter of complaint to the Committee. The Committee shall examine the allegations arising from such letters and shall decide whether the contributor shall remain in the list of contributors, taking into account exceptional cases such as temporary crises in the financial markets. |
| |
|
4.3.7 |
Since the Banking Supervision defines the foreign contributing banks as customers, their ON deposits in domestic banks are subject to the reserve requirement, which makes them more expensive. The Committee members therefore decided to grant local banks an exemption from the obligation to accept deposits from the foreign banks and to restrict the foreign banks in their ON quotations according to the following principle: The interest rate quotation will not be less than the lowest quotation among the domestic banks. |
| 5 |
Calculation and circulation of the Telbor fixing |
| |
5.1 |
The central supplier shall calculate the Telbor fixing in accordance with the existing Telbor interest rate quotations separately for each term to maturity, at a point in time that shall be selected at random between 11:45 and 11:55. |
| |
5.2 |
The central supplier shall assume responsibility for the sound forwarding of the quotations published in the information systems and shall send two types of alerts to the representatives of the contributing banks: at 10:30 an alert about unchanged in the rates relative to the previous day, and at 11:00 an alert in the event of an unusual spread (to be defined by the Committee) between the bank's quotation and the provisional theoretical average. In addition, the central supplier shall send an alert if the foreign bank's quotation is less than the lowest quotation among the domestic banks; the examination to identify whether there is a deviation takes place at 11:30 and the results will be sent immediately to the committee members and the deviating bank. |
| |
5.3 |
The central supplier shall publish the Telbor rates to each term separately by 12:00 on the days listed in paragraph 1.6. The central supplier shall also enable the other information suppliers to obtain and publish the information and shall publish the list of contributing banks. |
| |
5.4 |
The central supplier shall publish the list of contributing banks. |
|
