Net Stable Funding Ratio (NSFR) is one of the two minimum standards developed to promote funding and liquidity management in financial institutions. NSFR assesses the bank’s liquidity risks over a longer time horizon. Both the standards, complement each other, are aimed at providing a holistic picture of a bank’s funding risk profile, and aid in better liquidity risk management practices.
Topics:
· Overview
· Preconfigured BOT Regulatory NSFR Scenarios
NSFR is defined as the amount of available stable funding relative to the required stable funding. Available stable funding refers to the portion of capital and liabilities expected to be reliable over the horizon of 1 year. Required stable funding refers to the portion of assets and off-balance sheet exposures over the same horizon. The NSFR ratio is expected to be at least 100%.
The Available Stable Funding (ASF) factor and Required Stable Funding (RSF) factor is applied through business assumptions and reflects through the execution of a Business as Usual (BaU) run in the OFS LRRCBOT application. The ASF and RSF factors are applied as weights at the account level and the Total ASF and Total RSF are obtained by taking a sum of all the weighted amounts. The ratio is then computed by the application as the Total ASF amount divided by the Total RSF amount.
A set of predefined business assumptions for ASF and RSF as defined in the NSFR guidelines are prepackaged in the application. For the complete list of preseeded ASF and RSF assumptions, see the Regulation Addressed through Business Assumptions section.
Topics:
· Computing Available Amount of Stable Funding
· Computing Required Amount of Stable Funding
· Computing Net Stable Funding Ratio
One of the various dimensions used to allocate ASF and RSF factors is the maturity bucket of the instrument. For NSFR computation, maturity bands are used to allocate the factors. The BOT NSFR band is pre-defined as per regulatory guidelines and has the following values:
· Less than 6 months
· Greater than or equal to 6 months but less than 1 year
· Greater than or equal to one year
· Open maturity
All accounts will be categorized on one of these bands depending on the maturity date. Note that to categorize any product into open maturity, the LRM - Classification of Products as Open Maturity rule should be edited, and the product must be included in the rule.
The available stable funding factor is a pre-determined weight ranging from 0% to 100% which is applied through business assumptions for accounts falling under the dimensional combinations defined. The weights are guided by the NSFR standard. The available stable funding is then taken as a total of all the weighted amounts where an ASF factor is applied.
Foreign bank branches can account for the undrawn contractual committed facilities from its head office or other branches which are the same entity and are regional hubs as ASF up to 40% of the minimum ASF required to meet the minimum requirement of NSFR.
The formula for calculating the Available Amount of Stable Funding is as follows:
The following is an example of applying the ASF factor.
Consider an assumption defined with the following dimensional combination and ASF factors, with them based on the measure being Total stable balance.
Dimensional Combination |
ASF Factor |
||
|---|---|---|---|
Product |
Retail/Wholesale Indicator |
Residual Maturity Band |
|
Deposits |
R |
<= 6 months |
95% |
Deposits |
R |
6 months - 1 year |
95% |
Deposits |
R |
>= 1 year |
95% |
If five accounts are falling under this combination, then after the assumption is applied the resulting amounts with the application of ASF factors is as follows.
Account |
Stable Balance |
ASF Weighted Amount |
|---|---|---|
A1 |
3400 |
3230 |
A2 |
3873 |
3679.35 |
A3 |
9000 |
8550 |
A4 |
1000 |
950 |
A5 |
100 |
95 |
NOTE:
The LRRCBOT application does not compute ASF items such as Tier 1 and Tier 2 capital, deferred tax liabilities, and minority interest. The items are taken as a download from the OFS Basel application. By updating the latest Basel Run Skey as a setup parameter, LRRCBOT picks up the respective standard accounting head balances and applies the respective ASF factors.
If OFS Basel is not installed, then the following items must be provided as a download in the FCT_STANDARD_ACCT_HEAD table:
· Gross Tier 2 Capital
· Deferred Tax Liability related to Other Intangible Asset
· Deferred Tax Liability related to Goodwill
· Deferred Tax Liability related to MSR
· Deferred Tax Liability related to Deferred Tax Asset
· Deferred Tax Liability related to Defined Pension Fund Asset
· Net CET1 Capital post-Minority Interest Adjustment
· Net AT1 Capital post-Minority Interest Adjustment
· Total Minority Interest required for NSFR
The required stable funding factor is a pre-determined weight ranging from 0% to 100% which is applied through business assumptions for the accounts falling under the defined dimensional combinations. The weights are guided by the NSFR standard. The required stable funding is then considered as a sum of all the weighted amounts where an RSF factor is applied.
The required stable funding factor is a weight function and is applied similarly to that of the ASF. The following formula is used for calculating the Required Amount of Stable Funding:
Off-balance sheet items are considered under the application of RSF factor and are given the appropriate factor as guided. Some combinations such as the line of credit have a pre-defined RSF factor as guided and are available as preseeded assumptions. Other off-balance sheet products such as Variable Rate Demand Notes (VRDN) and Adjustable Rate Notes (ARN) do not have pre-defined factors and are left to the discretion of the jurisdictions. For such products, define assumptions and apply the desired RSF factors as applicable.
Derivatives are handled through applying both ASF and RSF factors as applicable. They can behave as either an asset or a liability, depending on the marked-to-market value. The application of factors on derivatives is done on the market value after subtracting the variation margin posted/received against the account. The computation is as follows:
1. NSFR derivative liabilities = Derivative liabilities - (Total collateral posted as variation margin against the derivative liabilities)
2. NSFR derivative assets = Derivative assets - (Cash collateral received as variation margin against the derivative assets)
3. The factors are then applied as follows:
§ ASF factor application
ASF amount for derivatives = 0% * Max ((NSFR derivative liabilities -NSFR derivative assets), 0)
§ RSF factor application
RSF amount for derivatives = 100% * Max ((NSFR derivative assets - NSFR derivative liabilities), 0)
Derivative liabilities refer to those derivative accounts where the market value is negative. Derivative assets refer to those derivative accounts where the market value is positive. Apart from the variation margin, the initial margin against derivative contracts is also treated with the appropriate factor.
The Net Stable Funding Ratio is calculated as follows:
OFS LRRCBOT supports ready-to-use BOT NSFR assumptions according to BOT guidelines on the Net Stable Funding Ratio.
This section explains the business assumptions which support NSFR as per BOT master circular BOT Notification No. 1-2561: Regulations on the Net Stable Funding Ratio (NSFR), April 2018.
The following table lists the Document Identifiers provided in the Regulatory Reference column of the Regulations Addressed through Business Assumptions section.
Regulation Reference Number |
Document Number |
Document Name |
Issued Date |
|---|---|---|---|
MC |
BOT Notification No. 1-2561 |
Regulations on the Net Stable Funding Ratio (NSFR) |
24 Apr 18 |
DPA FAQ |
|
A Guide to Deposit Insurance - Frequently Asked Questions |
|
NOTE:
This section provides only contextual information about business assumptions. For more detailed information, see the OFS LRS application (UI).
The application supports multiple assumptions with preconfigured rules and scenarios based on regulator specified NSFR scenario parameters. The list of preconfigured business assumptions and the corresponding reference to the regulatory requirement that it addresses is provided in the following tables.
Topics:
· Available Stable Funding Factor
· Required Stable Funding Factor
This section lists the ASF assumptions.
Sl. No. |
Assumption Name |
Assumption Description |
Regulatory Requirement Addressed |
Regulatory Reference: Notification of the Bank of Thailand No. FPG. 1 /2561 |
|---|---|---|---|---|
1 |
BOT ASF-Capital Items, DTL and Minority Interest |
[BOT]: ASF - Tier 1 and Tier 2 capital, deferred tax liabilities, and minority interest. |
This assumption defines the long-term funding sources with an effective maturity of one year or more, primarily tier 1 and tier 2 capital instruments along with deferred tax liability and minority interests, which are assigned a 100% ASF factor for the NSFR computation. |
MC Paragraphs - 4.2.2 (1.2.1) A and B |
2 |
BOT ASF- Other Capital Instruments |
[BOT]: ASF - Other Capital instruments that are not covered above. |
This assumption defines the long-term funding sources with an effective maturity of one year or more, all the other capital instruments except tier 1 and tier 2 capital instruments along with deferred tax liability and minority interest, which are assigned a 100% ASF factor for the NSFR computation. |
MC Paragraphs - 4.2.2 (1.2.1) A and B |
3 |
BOT ASF- Stable Retail Deposits |
[BOT]: ASF - stable deposits as defined in the LCR from customers treated as retail with cash flow maturity of less than 1 year. |
The ASF factors applicable to the stable portion of deposits, from retail customers and SMEs treated as retail customers for LCR are pre-defined as part of this assumption. This assumption applies a 95% ASF factor on the stable portion of the retail deposits and a 100% ASF factor on the stable portion of retail deposits with a remaining maturity of 1 year or more. |
MC Paragraph - 4.2.2 (1.2.2) |
4 |
BOT ASF- Less Stable Retail Deposits |
[BOT]: ASF - less stable deposits as defined in the LCR from customers treated as retail with cash flow maturity of less than 1 year. |
The ASF factors applicable to the less stable portion of deposits, from retail customers and SMEs treated as retail customers for LCR, are pre-defined as part of this assumption. This assumption applies a 90% ASF factor on the stable portion of retail deposits with a remaining maturity of less than 1 year and a 100% ASF factor on the stable portion of retail deposits with a remaining maturity of 1 year or more. |
MC Paragraph -4.2.2 (1.2.3) |
5 |
BOT ASF - Operational Deposit - Non-Financial Corporates |
[BOT]: ASF - operational unsecured deposits from non-financial corporates and SMEs, AoP, trusts, partnerships, and HUFs not treated as retail. |
The ASF factor applicable to the operational deposits generated by clearing, custody, and cash management activities from non-financial corporates and SMEs, AoP, trusts, partnerships, and HUFs not treated as retail, to fulfill operational requirements is pre-defined as part of this assumption. This assumption applies a 50% ASF factor on the operational deposits with a remaining maturity of less than 1 year and 100% for operational deposits with a remaining maturity of more than 1 year. |
MC Paragraph - 4.2.2 (1.2.4) D |
6 |
BOT ASF- Non-Op Portion of Op Dep- Non-Financial Corporates |
[BOT]: ASF - the non-operational portion of operational deposits, from non-financial corporates and SMEs, AoP, trusts, partnerships, and HUFs not treated as retail, generated by clearing, custody, and cash management activities. |
The ASF factor applicable to the non-operational portion of the operational deposits generated by clearing, custody, and cash management activities from non-financial corporates and SMEs, AoP, trusts, partnerships, and HUFs not treated as retail, to fulfill operational requirements is pre-defined as part of this assumption. This assumption applies a 50% ASF factor on the non-operational portion of operational deposits with a remaining maturity of less than 1 year and 100% for the non-operational portion of operational deposits with a remaining maturity of more than 1 year. |
MC Paragraph - 4.2.2 (1.2.4) D |
7 |
BOT ASF - Non-Operational Funding - Non-Financial Corporates |
[BOT]: ASF - non-operational unsecured funding from non-financial corporates and SMEs AoP, trusts, partnerships, and HUFs not treated as retail. |
The ASF factor applicable to the non-operational funding from non-financial corporates and SMEs, AoP, trusts, partnerships, and HUFs not treated as retail is pre-defined as part of this assumption. This assumption applies a 50% ASF factor on the non-operational funding with a remaining maturity of less than 1 year and 100% for non-operational funding with a remaining maturity of more than 1 year. |
MC Paragraph - 4.2.2 (1.2.4) D |
8 |
BOT ASF - Operational Deposit - Central Banks |
[BOT]: ASF - operational unsecured deposits from Central Banks. |
The ASF factor applicable to the operational deposits generated by clearing, custody, and cash management activities from central banks, to fulfill operational requirements is pre-defined as part of this assumption. This assumption applies a 50% ASF factor on the operational deposits with a remaining maturity of less than 1 year and 100% for operational deposits with a remaining maturity of more than 1 year. |
MC Paragraph - 4.2.2 (1.2.4) D |
9 |
BOT ASF- Non-Op Portion of Op Dep- Central Banks |
[BOT]: ASF - the non-operational portion of operational deposits, from Central Banks, generated by clearing, custody, and cash management activities. |
The ASF factor applicable to the non-operational portion of the operational deposits generated by clearing, custody, and cash management activities from central banks, to fulfill operational requirements is pre-defined as part of this assumption. This assumption applies a 0% ASF factor on the non-operational portion of operational deposits with a remaining maturity of fewer than 6 months and a 50% ASF factor on the non-operational portion of operational deposits with a remaining maturity of more than 6 months and less than 1 year. It also applies a 100% ASF factor on the non-operational portion of operational deposits with a remaining maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A |
10 |
BOT ASF - Non-Operational Funding - Central Banks |
[BOT]: ASF - non-operational unsecured funding from Central Banks. |
The ASF factor applicable to the non-operational funding from central banks is pre-defined as part of this assumption. This assumption applies a 0% ASF factor on the non-operational funding with a remaining maturity of fewer than 6 months and a 50% ASF factor on the non-operational funding with a remaining maturity of more than 6 months and less than 1 year. Additionally, it applies a 100% ASF factor on the non-operational funding with a remaining maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A |
11 |
BOT ASF - Operational Deposit - Sov, PSE, MDB, NDB |
[BOT]: ASF - operational unsecured deposits from sovereigns, PSEs, MDBs, and NDBs. |
The ASF factor applicable to the operational deposits generated by clearing, custody, and cash management activities from government, local government organizations, state agencies, state enterprises, Multilateral Development Bank (MDBs) and National Development Banks (NDBs), to fulfill operational requirements are pre-defined as part of this assumption. This assumption applies a 50% ASF factor on the operational deposits with a remaining maturity of less than 1 year and 100% for operational deposits with a remaining maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A |
12 |
BOT ASF- Non-Op Portion of Op Dep-Sov, PSE, MDB, NDB |
[BOT]: ASF - the non-operational portion of operational deposits, from sovereigns, PSE, MDB, NDB, generated by clearing, custody, and cash management activities. |
The ASF factor applicable to the non-operational portion of the operational deposits generated by clearing, custody, and cash management activities from government, local government organizations, state agencies, state enterprises, Multilateral Development Bank (MDBs) and National Development Banks (NDBs), to fulfill operational requirements are pre-defined as part of this assumption. This assumption applies a 50% ASF factor on the non-operational portion of operational deposits with a remaining maturity of less than 1 year and 100% for the non-operational portion of operational deposits with a remaining maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A |
13 |
BOT ASF - Non-Operational Funding - Sov, PSE, MDB, NDB |
[BOT]: ASF - non-operational unsecured funding from sovereigns, PSE, MDB, and NDB. |
The ASF factor applicable to the non-operational funding from government, local government organizations, state agencies, state enterprises, Multilateral Development Bank (MDBs), and National Development Banks (NDBs), are pre-defined as part of this assumption. This assumption applies a 50% ASF factor on the non-operational funding with a remaining maturity of less than 1 year and 100% for non-operational funding with a remaining maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A |
14 |
BOT ASF - Operational Deposit - Other legal entities |
[BOT]: ASF - operational unsecured deposits from all other legal entities including financial corporates and financial institutions. |
The ASF factor applies to the operational deposits generated by clearing, custody, and cash management activities from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB, and NDB, to fulfill operational requirements are pre-defined as part of this assumption. This assumption applies a 50% ASF factor on the operational deposits with a remaining maturity of less than 1 year and 100% for operational deposits with a remaining maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A |
15 |
BOT ASF- Non-Op Portion of Op Dep- Other LE |
[BOT]: ASF - the non-operational portion of the operational unsecured deposits from all other legal entities including financial corporates and financial institutions. |
The ASF factor applies to the non-operational portion of the operational deposits generated by clearing, custody, and cash management activities from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB, and NDB, to fulfill operational requirements are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on the non-operational portion of operational deposits with a remaining maturity of fewer than 6 months and a 50% ASF factor on the non-operational portion of operational deposits with a remaining maturity of more than 6 months and less than 1 year. It also applies a 100% ASF factor on the non-operational portion of operational deposits with a remaining maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A |
16 |
BOT ASF - Non-Operational Funding - Other LE |
[BOT]: ASF - non-operational unsecured funding from all other legal entities including financial corporates and financial institutions. |
The ASF factor applicable to the non-operational funding from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB, and NDB, are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on the non-operational funding with a remaining maturity of fewer than 6 months and a 50% ASF factor on the non-operational funding with a remaining maturity of more than 6 months and less than 1 year. It also applies a 100% ASF factor on the non-operational funding with a remaining maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A |
17 |
BOT ASF - Unsecured Debt |
[BOT]: ASF - debt securities and prescribed instruments issued by the institution. |
The ASF factor applicable to the unsecured debt securities issued by commercial banks and offered through a public offering per the guidelines of the Office of Securities Exchange Commission is predefined as part of this assumption. This assumption applies a 0% and 50% ASF factor on the securities issued with residual maturity of fewer than 6 months and more than 6 months and less than 1 years respectively. It also applies a 100% ASF factor on the securities issued with residual maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A, 4.2.2 (1.2.5)
B |
18 |
BOT ASF - Secured Funding - Retail and SME |
[BOT]: ASF - secured funding from retail and small business customers. |
The ASF factors applicable to the secured funding, from retail customers and SMEs treated like retail customers for LCR are pre-defined as part of this assumption. This assumption applies a 0% and 50% ASF factor on the retail deposits and borrowings with a remaining maturity of fewer than 6 months and more than 6 months and less than 1 years respectively. It also applies a 100% ASF factor for retail deposits and borrowings with residual maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.4) D, 4.2.2 (1.2.5)
A |
19 |
BOT ASF - Secured Funding - Non-Financial Corporates |
[BOT]: ASF - secured funding from non-financial corporates. |
The ASF factors applicable to the secured funding, from non-financial corporates for LCR are pre-defined as part of this assumption. This assumption applies a 0% and 50% ASF factor on the deposits and borrowings from non-financial corporates with a remaining maturity of fewer than 6 months and more than 6 months and less than 1 year respectively. It also applies a 100% ASF factor for retail deposits and borrowings with residual maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.4) C, 4.2.2 (1.2.4)
D |
20 |
BOT ASF - Secured Funding - Central Banks |
[BOT]: ASF - secured funding from central banks. |
The ASF factors applicable to the secured funding, from central banks for LCR are pre-defined as part of this assumption. This assumption applies a 0% and 50% ASF factor on the deposits and borrowings from central banks with a remaining maturity of fewer than 6 months and more than 6 months and less than 1 year respectively. It also applies a 100% ASF factor for retail deposits and borrowings with residual maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.4) C, 4.2.2 (1.2.4)
D |
21 |
BOT ASF - Secured Funding - Sovereign, PSE, MDB, NDB |
[BOT]: ASF - secured funding from Sovereigns, PSEs, MDBs, and NDBs. |
The ASF factors applicable to the secured funding, from Sovereigns, PSEs, MDBs, and NDBs for LCR are pre-defined as part of this assumption. This assumption applies a 0% and 50% ASF factor on the deposits and borrowings from Sovereigns, PSEs, MDBs, and NDBs with a remaining maturity of less than Non-operational months and more than 6 months and less than 1 years respectively. It also applies a 100% ASF factor for retail deposits and borrowings with residual maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.4) C, 4.2.2 (1.2.4)
D |
22 |
BOT ASF - Secured Funding - Other legal entities |
[BOT]: ASF - secured funding from all other legal entities including financial corporates and financial institutions. |
The ASF factors applicable to the secured funding, from Sovereigns, PSEs, MDBs, and NDBs for LCR are pre-defined as part of this assumption. This assumption applies a 0% and 50% ASF factor on the deposits and borrowings from retail, SME, AoP, Trusts, partnerships, HUF, non-financial corporates, central banks, sovereign, PSE, MDB and NDBs with a remaining maturity of fewer than 6 months and more than 6 months and less than 1 years respectively. It also applies a 100% ASF factor for retail deposits and borrowings with residual maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.4) D |
23 |
BOT ASF- Derivative Liabilities - BCBS-IOSCO Non-Exempt |
[BOT]: ASF - derivative liabilities net of derivative assets, where derivative liability is gross of any variation margin posted and the derivative asset is gross of cash margin received from the counterparties that are not exempted from BCBS-IOSCO margin requirements. |
The ASF factor applicable to the derivative liabilities which is net of derivative assets, where derivative liability is the gross of any variation margin posted and the derivative asset is gross of cash margin received from the counterparties that are not exempted from BCBS-IOSCO margin requirements, are predefined as part of this assumption. This assumption applies a 0% ASF factor on the derivative liabilities. |
MC Paragraph - 4.2.2 (1.2.5) C |
24 |
BOT ASF- Derivative Liabilities - BCBS-IOSCO Exempt |
[BOT]: ASF - derivative liabilities net of derivative assets, where derivative liability is gross of any variation margin posted and the derivative asset is gross of cash margin received from the counterparties that are exempted from BCBS-IOSCO margin requirements. |
The ASF factor applicable to the derivative liabilities which is net of derivative assets, where derivative liability is gross of any variation margin posted and the derivative asset is gross of cash margin received from the counterparties that are exempted from BCBS-IOSCO margin requirements, are predefined as part of this assumption. This assumption applies a 0% ASF factor on the derivative liabilities. |
MC Paragraph - 4.2.2 (1.2.5) C |
25 |
BOT ASF- Variation Margin-Derivatives -BCBS-IOSCO Non-Exempt |
[BOT]: ASF - treatment of variation margin posted against derivatives transactions from the counterparties that are not exempted from BSBS-IOSCO margin requirements. |
The ASF factor applicable to the variation margin posted against derivatives transactions from the counterparties that are not exempted from BSBS-IOSCO margin requirements is pre-defined as part of this assumption. The assumption applies a 0% ASF factor to the variation margin posted against the derivative contracts. |
MC - Attachment 2 |
26 |
BOT ASF- Variation Margin - Derivatives -BCBS-IOSCO Exempt |
[BOT]: ASF - treatment of variation margin posted against derivatives transactions from the counterparties that are exempted from BSBS-IOSCO margin requirements. |
The ASF factor applicable to the variation margin posted against derivatives transactions from the counterparties that are exempted from BSBS-IOSCO margin requirements is pre-defined as part of this assumption. The assumption applies a 0% ASF factor to the variation margin posted against the derivative contracts. |
MC - Attachment 2 |
27 |
BOT ASF- Initial Margin for Derivatives |
[BOT]: ASF - treatment of initial margin received against derivative transactions. |
The ASF factor applicable to the initial margin received against derivative transactions is pre-defined as part of this assumption. The assumption applies a 0% ASF factor to the initial margin posted against the derivative contracts. |
MC Paragraph - 4.2.2 (2.2.7) A |
28 |
BOT ASF- Total Initial Margin for Derivatives |
[BOT]: ASF - treatment of total initial margin received against derivative transactions. |
The ASF factor applicable to the total initial margin received against derivative transactions is pre-defined as part of this assumption. The assumption applies a 0% ASF factor to the initial margin posted against the derivative contracts. |
MC Paragraph - 4.2.2 (2.2.7) A |
29 |
BOT ASF- Margin for Derivatives |
[BOT]: ASF - treatment of initial margin received against derivative transactions. |
The ASF factor applicable to the initial margin received against derivative transactions from the counterparties that are exempted from BSBS-IOSCO margin requirements is pre-defined as part of this assumption. The assumption applies a 0% ASF factor to the initial margin posted against the derivative contracts. |
MC Paragraph - 4.2.2 (2.2.7) A, Attachment 2 |
30 |
BOT ASF- Trade Date Payables |
[BOT]: ASF - trade date payables arising from purchases of foreign currencies, financial instruments, and commodities that are expected to settle or have failed, but are expected to settle within the standard settlement cycle. |
The ASF factor applicable to trade payable cash flows arising from purchases of foreign currencies, financial instruments, and commodities expected to settle within the standard settlement cycle, are pre-defined in this assumption. This assumption applies a 0% ASF factor on the trade payable cash flows. |
MC Paragraph - 4.2.2 (1.2.5) D |
31 |
BOT ASF- Interdependent Liabilities |
[BOT]: ASF - all the deposits and borrowings that have interdependent assets and are classified as interdependent liabilities. |
The ASF factor all the deposits and borrowings that have interdependent assets. This assumption applies a 0% ASF factor on the interdependent liabilities. |
MC Paragraph - 3.0 |
32 |
BOT ASF- Liabilities - Maturity less than 1 year |
[BOT]: ASF - all the liabilities which have cash flow maturity of less than or equal to 1 year. |
The ASF factor applicable to all the other funding without any stated maturity are predefined in this assumption. This assumption applies a 0% ASF factor on all the funding without any maturity. |
MC Paragraph -4.2.2 (1.2.5) C |
33 |
BOT ASF- Liabilities with Open Maturity |
[BOT]: ASF - all the liabilities which do not have a stated maturity. |
The ASF factors applicable to all other funding with a remaining maturity of greater than 1 year with cash flow maturity within 1 year, are pre-defined in this assumption. This assumption applies a 0% ASF factor on the cash flows. |
MC Paragraph -4.2.2 (1.2.5) A |
This section enlists all the preseeded assumptions acting on assets and off-balance sheet items that receive an RSF factor.
Sl. No. |
Assumption Name |
Assumption Description |
Regulatory Requirement Addressed |
Regulatory Reference: Notification of the Bank of Thailand No. FPG. 1 /2561 |
|---|---|---|---|---|
1 |
BOT RSF- Coins and Banknotes |
[BOT]: RSF - coins, banknotes, cash, and restricted cash held by the bank. |
The RSF factor applicable to coins, banknotes, and cash held by the bank, is predefined as a part of this assumption. This assumption applies a 0% RSF factor on the coins, banknotes, and cash held by the bank. |
MC Paragraph - 4.2.2 (2.2.1) A |
2 |
BOT RSF- Domestic Central bank reserves |
[BOT]: RSF - all domestic central bank reserves, including, required reserves and excess reserves. |
The RSF factors applicable to required and excess domestic central bank reserves are predefined as a part of this assumption. This assumption applies a 0% RSF factor to all central bank reserves. |
MC Paragraph - 4.2.2 (2.2.1) B |
3 |
BOT RSF- Foreign Central bank reserves |
[BOT]: RSF - all foreign central bank reserves, including, required reserves and excess reserves. |
The RSF factors applicable to required and excess foreign central bank reserves are predefined as a part of this assumption. This assumption applies a 0% RSF factor to all foreign central bank reserves where the foreign central bank is assigned a 0% or greater than 0% RSF factor. It also applies a 100% RSF factor to all foreign central bank reserves where the foreign central bank has an undefined RSF factor. |
MC Paragraph - 4.2.2 (2.2.1) B |
4 |
BOT RSF- Unencumbered Operational Balance with Other Banks |
[BOT]: RSF - the operational portion of unencumbered deposits held at other financial institutions, for operational purposes and are subject to the 50% ASF treatment. |
The RSF factors applicable to the operational portion of unencumbered deposits held at other financial institutions to fulfill the operational requirements with a remaining maturity of less than and greater than 1 year are predefined as part of this assumption. The assumption applies RSF factor of 50% and 100% on the operational portion of unencumbered deposits held at other financial institutions with a remaining maturity of less than 1 year and 1 year or more, respectively. |
MC Paragraph - 4.2.2 (2.2.5) C |
5 |
BOT RSF- Encumbered Operational Balance with Other Banks |
[BOT]: RSF - the operational portion of encumbered deposits held at other financial institutions, for operational purposes and are subject to the 50% ASF treatment. |
The RSF factors applicable to the operational portion of encumbered deposits held at other financial institutions to fulfill the operational requirements with a remaining maturity of less than 1 year are predefined as part of this assumption. The assumption applies 50%, 50%, and 100% RSF factors on the encumbered portion of the operational balance with encumbrance period of fewer than 6 months and between 6 months to 1 year respectively. It applies 100% RSF factors on the encumbered portion of the operational balance with an encumbrance period of 1 year or more. |
MC Paragraphs - 4.2.2 (2.2.5) C, 4.2.2 (2.2.5) |
6 |
BOT RSF- Unencumbered Non-Operational Bal with Other Banks |
[BOT]: RSF - the non-operational portion of unencumbered deposits held at other financial institutions, for operational purposes and are subject to the 50% ASF treatment. |
The RSF factors applicable to the non-operational portion of the unencumbered operational deposits held at other financial institutions with a remaining maturity of less than and greater than 1 year are predefined as part of this assumption. The assumption applies RSF factor of 15% and 50% on the non-operational portion of the unencumbered operational deposits held at other financial institutions with a remaining maturity of fewer than 6 months and greater than 6 months and less than 1 year respectively. It also applies an RSF factor of 100% on the non-operational portion of the unencumbered operational deposits held at other financial institutions with a remaining maturity of 1 year or more. |
BIS FAQ July 2016, point 32 |
7 |
BOT RSF- encumbered Non-Operational Bal with Other Banks |
[BOT]: RSF - the non-operational portion of encumbered deposits held at other financial institutions. |
The RSF factors applicable to the non-operational portion of the encumbered operational deposits held at other financial institutions with a remaining maturity of less than 1 year and greater than 1 year are predefined as part of this assumption. The assumption applies 15%, 50% and 100% RSF factors on the encumbered portion of the non-operational balance with encumbrance period of fewer than 6 months and an RSF factor of 50%, 50% and 100% on the encumbered portion of the non-operational balance with encumbrance period of between 6 months to 1 year. It applies a 100% RSF factors on the encumbered portion of the operational balance with an encumbrance period of 1 year or more. |
BIS FAQ July 2016, point 32, 4.2.2 (2.2.5) |
8 |
BOT RSF- Unencumbered Non-Operational Deposits -Other Banks |
[BOT]: RSF - non-operational unencumbered deposits held at other financial institutions. |
The RSF factors applicable to non-operational unencumbered deposits held at other financial institutions with a remaining maturity of less than and greater than 1 year are predefined as part of this assumption. The assumption applies RSF factor of 15% and 50% on non-operational unencumbered deposits held at other financial institutions, with a remaining maturity of fewer than 6 months and greater than 6 months and less than 1 year, respectively. It also applies an RSF factor of 100% on non-operational unencumbered deposits held at other financial institutions with a remaining maturity of 1 year or more. |
BIS FAQ July 2016, point 32 |
9 |
BOT RSF- encumbered Non-Operational Deposits -Other Banks |
[BOT]: RSF - non-operational encumbered deposits held at other financial institutions, for operational purposes and are subject to the 50% ASF treatment. |
The RSF factors applicable to non-operational encumbered deposits held at other financial institutions with a remaining maturity of less than 1 year and greater than 1 year are predefined as part of this assumption. The assumption applies 15%, 50% and 100% RSF factors on the encumbered portion of the non-operational balance with encumbrance period of fewer than 6 months and an RSF factor of 50%, 50% and 100% on the encumbered portion of the non-operational balance having an encumbrance period of between 6 months to 1 year. It applies 100% RSF factors on the encumbered portion of the operational balance with an encumbrance period of 1 year or more. |
BIS FAQ July 2016, point 32, 4.2.2 (2.2.5) |
10 |
BOT RSF- Unencumbered Loans to FI Secured by L1 Asset |
[BOT]: RSF - unencumbered loans to financial institutions where the loan is secured against Level 1 assets as defined in the LCR. |
The RSF factors applicable to the unencumbered loans given to financial institutions secured by a Level 1 asset with residual maturity less than 1 year are predefined as a part of this assumption. The assumption applies RSF factor of 10%,50%,100% on the unencumbered secured loans given to financial institutions secured by Level 1 asset with a remaining maturity of fewer than 6 months, 6 months to 1 year and 1 year or more respectively, where the collateral received can be re-hypothecated for the life of the loan. The assumption applies RSF factor of 15%,50%,100% on the unencumbered secured loans given to financial institutions secured by Level 1 asset with a remaining maturity of fewer than 6 months, 6 months to 1 year and 1 year or more, respectively, where the collateral received cannot be rehypothecated for the life of the loan. |
MC
Paragraphs - 4.2.2 (2.2.2) |
11 |
BOT RSF- Encumbered Loans to FI Secured by L1 Asset |
[BOT]: RSF - encumbered loans to financial institutions where the loan is secured against Level 1 assets as defined in the LCR. |
The RSF factors applicable to the encumbered loans given to financial institutions secured by a Level 1 asset with residual maturity less than 1 year are predefined as a part of this assumption. The assumption applies relevant RSF factors on the encumbered secured loans based on the encumbrance period and residual maturity. The Level 1 asset received as collateral can further be rehypothecated to raise funds. |
MC
Paragraphs - 4.2.2 (2.2.2) |
12 |
BOT RSF- Unencumbered Loans to FIs Secured by Non-L1 Assets |
[BOT]: RSF - unencumbered loans to financial institutions where the loan is secured against assets belonging to levels other than Level 1 as defined in the LCR. |
The RSF factors applicable to the unencumbered loans given to financial institutions secured by assets belonging to levels other than Level 1 with residual maturity less than 1 year are predefined as a part of this assumption. The assumption applies RSF factor of 15%,50%,100% on the unencumbered secured loans given to financial institutions secured by assets belonging to levels other than Level 1 with a remaining maturity of fewer than 6 months, 6 months to 1 year and 1 year or more, respectively. |
MC
Paragraphs - 4.2.2 (2.2.2) |
13 |
BOT RSF- Encumbered Loans to FIs Secured by Non-L1 Assets |
[BOT]: RSF - factors applicable to the encumbered loans given to financial institutions secured by assets belonging to levels other than Level 1 with residual maturity less than 1 year are predefined as a part of this assumption. The assumption applies relevant RSF factor on the encumbered secured loans based on the residual maturity and encumbrance period of the loan. |
The RSF factors applicable on the encumbered loans given to financial institutions secured by assets belonging to levels other than Level 1 with residual maturity less than 1 year are predefined as a part of this assumption. The assumption applies relevant RSF factor on the encumbered secured loans based on the residual maturity and encumbrance period of the loan. |
MC
Paragraphs - 4.2.2 (2.2.2) |
14 |
BOT RSF- Unencumbered Unsecured Loans to FIs |
[BOT]: RSF - unencumbered unsecured loans excluding overdrafts to financial institutions. |
The RSF factors applicable to the unencumbered unsecured loans given to financial institutions with residual maturity less than 1 year are predefined as a part of this assumption. The assumption applies RSF factor of 15%, 50%, and 100% on the unencumbered unsecured loans given to financial institutions with a remaining maturity of fewer than 6 months, 6 months to 1 year, and 1 year or more, respectively. |
MC
Paragraphs - 4.2.2 (2.2.2) |
15 |
BOT RSF- Encumbered Unsecured Loans to FIs |
[BOT]: RSF - encumbered unsecured loans excluding overdrafts to financial institutions. |
The RSF factors applicable to the encumbered unsecured loans given to financial institutions with residual maturity less than 1 year are predefined as a part of this assumption. The assumption applies relevant RSF factor on the encumbered secured loans given to financial institutions based on the residual maturity and encumbrance period of the loan. |
MC
Paragraphs - 4.2.2 (2.2.2) |
16 |
BOT RSF- Unencumbered Unsecured Loans-Corp - RW less than 35% |
[BOT]: RSF - unencumbered unsecured loans excluding overdrafts to corporates having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk. |
The RSF factors applicable to fully performing unencumbered unsecured loans excluding overdrafts to corporates having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk is defined as part of this assumption. This assumption applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 65% RSF factor for loans with a remaining maturity of more than 1 year. |
MC
Paragraphs - 4.2.2 (1.2.4) |
17 |
BOT RSF- Encumbered Unsecured Loans-Corp - RW less than 35% |
[BOT]: RSF - encumbered unsecured loans excluding overdrafts to corporates having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk. |
The RSF factors applicable to fully performing encumbered unsecured loans excluding overdrafts to corporates having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk is defined as part of this assumption. This assumption applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 65% RSF factor for loans with a remaining maturity of more than 1 year having an encumbrance period of less than 1 year. It also applies a 100% RSF factor on the loans from corporates having residual maturity and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (1.2.4) |
18 |
BOT RSF- Unencumbered Unsecured Loans-CB - RW less than 35% |
[BOT]: RSF - unencumbered unsecured loans excluding overdrafts to central banks having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk. |
The RSF factors applicable to fully performing unencumbered unsecured loans excluding overdrafts to central banks having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 0% RSF factors on the loans with a remaining maturity of fewer than 6 months and a 50% RSF factor on the loans with a remaining maturity between 6 months and 1 year. It also applies a 65% RSF factor for loans with a remaining maturity of more than 1 year. |
MC
Paragraphs - 4.2.2 (1.2.4), 4.2.2 (1.2.5) |
19 |
BOT RSF- Encumbered Unsecured Loans-CB - RW less than 35% |
[BOT]: RSF - encumbered unsecured loans excluding overdrafts to central banks having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk. |
The RSF factors applicable to fully performing encumbered unsecured loans excluding overdrafts to central banks having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 0%, 50%, 65% RSF factors on the loans with a remaining maturity of fewer than 6 months, between 6 months and 1 year, and a remaining maturity of more than 1 year respectively with encumbrance period of less than 1 year. It also applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 65% with a remaining maturity of more than 1 year respectively having an encumbrance period between 6 months and 1 year. The assumption applies a 100% RSF factor on the loans from central banks having residual maturity and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (1.2.4), 4.2.2 (1.2.5) |
20 |
BOT RSF- Unencumbered Unsecured Loans-CB - RW more than 35% |
[BOT]: RSF - unencumbered unsecured loans excluding overdrafts to central banks having a risk weight of more than 35% as per Basel 2 standardized approach for credit risk. |
The RSF factors applicable to fully performing unencumbered unsecured loans excluding overdrafts to central banks having a risk weight of more than 35% as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 0% RSF factors on the loans with a remaining maturity of fewer than 6 months and a 50% RSF factor on the loans with a remaining maturity between 6 months and 1 year. It also applies an 85% RSF factor for loans with a remaining maturity of more than 1 year. |
MC
Paragraphs - 4.2.2 (1.2.4), 4.2.2 (1.2.5) |
21 |
BOT RSF- Encumbered Unsecured Loans-CB - RW more than 35% |
[BOT]: RSF - encumbered unsecured loans excluding overdrafts to central banks having a risk weight of more than 35% as per Basel 2 standardized approach for credit risk. |
The RSF factors applicable to fully performing encumbered unsecured loans excluding overdrafts to central banks having a risk weight of more than 35% as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 0%, 50%, 85% RSF factors on the loans with a remaining maturity of fewer than 6 months, between 6 months and 1 year, and a remaining maturity of more than 1 year respectively with encumbrance period of less than 1 year. It also applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 85% with a remaining maturity of more than 1 year respectively having an encumbrance period between 6 months and 1 year. The assumption applies a 100% RSF factor on the loans from central banks having residual maturity and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (1.2.4), 4.2.2 (1.2.5) |
22 |
BOT RSF-Unencumbered Loans-Sov, PSE, MDB, NDB - RW less than 35% |
[BOT]: RSF - unencumbered unsecured loans excluding overdrafts to sovereigns, PSE, MDB, NDB having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk. |
The RSF factors applicable to fully performing unencumbered unsecured loans excluding overdrafts to sovereigns, PSE, MDB, NDB having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 65% RSF factor for loans with a remaining maturity of more than 1 year having an encumbrance period of less than 1 year. It also applies a 100% RSF factor on the loans from sovereigns, PSE, MDB, NDB having residual maturity, and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (1.2.4) |
23 |
BOT RSF- Encumbered Loans-Sov, PSE, MDB, NDB - RW less than 35% |
[BOT]: RSF - encumbered unsecured loans excluding overdrafts to sovereigns, PSE, MDB, NDB having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk. |
The RSF factors applicable to fully performing encumbered unsecured loans excluding overdrafts to sovereigns, PSE, MDB, NDB having a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 65% RSF factor for loans with a remaining maturity of more than 1 year having an encumbrance period of less than 1 year. It also applies a 100% RSF factor on the loans from sovereigns, PSE, MDB, NDB having residual maturity, and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (1.2.4) |
24 |
BOT RSF- Unencumbered Loans-Sov, PSE, MDB, NDB - RW more than 35% |
[BOT]: RSF - unencumbered unsecured loans excluding overdrafts to sovereigns, PSE, MDB, NDB having a risk weight of more than 35% as per Basel 2 standardized approach for credit risk. |
The RSF factors applicable to fully performing unencumbered unsecured loans excluding overdrafts to sovereigns, PSE, MDB, NDB having a risk weight of more than 35% as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 85% RSF factor for loans with a remaining maturity of more than 1 year having an encumbrance period of less than 1 year. It also applies a 100% RSF factor on the loans from sovereigns, PSE, MDB, NDB having residual maturity, and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (1.2.4) |
25 |
BOT RSF- Encumbered Loans-Sov, PSE, MDB, NDB - RW more than 35% |
[BOT]: RSF - encumbered unsecured loans excluding overdrafts to sovereigns, PSE, MDB, NDB having a risk weight of more than 35% as per Basel 2 standardized approach for credit risk. |
The RSF factors applicable to fully performing encumbered unsecured loans excluding overdrafts to sovereigns, PSE, MDB, NDB having a risk weight of more than 35% as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 85% RSF factor for loans with a remaining maturity of more than 1 year having an encumbrance period of less than 1 year. It also applies a 100% RSF factor on the loans from sovereigns, PSE, MDB, NDB having residual maturity, and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (1.2.4) |
26 |
BOT RSF- Unencumbered Mortgage Loans - RW less than 35% |
[BOT]: RSF - unencumbered residential mortgage loans to Retail and SMEs which would qualify for 35% or lesser risk weight as per Basel 2 standardized approach. |
The RSF factors applicable to residential mortgage loans to Retail and SMEs which would qualify for 35% or lesser risk weight as per Basel 2 standardized approach are predefined as part of this assumption. The assumption applies RSF factors of 50% and 65% on the unencumbered residential mortgage loans, with a remaining maturity of less than 1 year and 1 year or more respectively having risk weights less than or equal to 35%. It also applies an RSF factor of 100% on the unencumbered residential mortgage loans, with remaining maturity and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (2.2.6) A and B |
27 |
BOT RSF- Encumbered Mortgage Loans - RW less than 35% |
[BOT]: RSF - encumbered residential mortgage loans to retail and SMEs which would qualify for 35% or lesser risk weight as per Basel 2 standardized approach. |
The RSF factors applicable to fully performing encumbered residential mortgage loans, with standardized risk weights under Basel 2 approach are predefined as part of this assumption. This assumption applies RSF factors of 50% and 65 % on the encumbered residential mortgage loans with a remaining maturity of less than 1 year and greater than equal to 1 year respectively, encumbrance period is less than 1 year, and risk weight is less than or equal to 35%. It also applies an RSF factor of 100% on the encumbered residential mortgage loans with remaining maturity and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (2.2.6) A and B |
28 |
BOT RSF- Unencumbered Mortgage Loans - RW more than 35% |
[BOT]: RSF - unencumbered residential mortgage loans to Retail and SMEs which would qualify for higher than 35% risk weight as per Basel 2 standardized approach. |
The RSF factors applicable to residential mortgage loans to Retail and SMEs which would qualify for more than 35% risk weight as per Basel 2 standardized approach are predefined as part of this assumption. The assumption applies RSF factors of 50% and 85% on the unencumbered residential mortgage loans with a remaining maturity of less than 1 year and 1 year or more respectively having risk weights of more than 35%. It also applies an RSF factor of 100% on the unencumbered residential mortgage loans with remaining maturity and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (2.2.7) B |
29 |
BOT RSF- Encumbered Mortgage Loans - RW more than 35% |
[BOT]: RSF - encumbered residential mortgage loans to Retail and SMEs which would qualify for higher than 35% risk weight as per Basel 2 standardized approach. |
The RSF factors applicable to fully performing encumbered residential mortgage loans, with standardized risk weights under Basel 2 approach are predefined as part of this assumption. This assumption applies RSF factors of 50% and 65 % on the encumbered residential mortgage loans with a remaining maturity of less than 1 year and greater than equal to 1 year respectively, encumbrance period is less than 1 year, and risk weight is less than or equal to 35%. It also applies an RSF factor of 100% on the encumbered residential mortgage loans with remaining maturity and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (2.2.6) A and B |
30 |
BOT RSF- Unencumbered Loans - Retail and SME-RW more than 35% |
[BOT]: RSF - unencumbered loans excluding mortgage loans to Retail and SMEs which would qualify higher than 35% risk weight as per Basel 2 standardized approach. |
The RSF factors applicable to unencumbered loans excluding mortgage loans to retail and SMEs which would qualify for more than 35% risk weight as per Basel 2 standardized approach are predefined as part of this assumption. The assumption applies RSF factors of 50% and 85% on the unencumbered loans excluding mortgage loans to retail and SMEs which would qualify with a remaining maturity of less than 1 year and 1 year or more, respectively having risk weights of more than 35%. It also applies an RSF factor of 100% on the unencumbered loans excluding mortgage loans to retail and SMEs with remaining maturity and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (2.2.7) B |
31 |
BOT RSF- Encumbered Loans - Retail and SME -RW more than 35% |
[BOT]: RSF - encumbered residential mortgage loans to retail and SMEs which would qualify for higher than 35% risk weight as per Basel 2 standardized approach. |
The RSF factors applicable to fully performing encumbered residential mortgage loans to retail and SMEs which would qualify as per Basel 2 approach are predefined as part of this assumption. This assumption applies RSF factors of 50% and 85 % on the encumbered residential mortgage loans with a remaining maturity of less than 1 year and greater than equal to 1 year, respectively, encumbrance period is less than 1 year, and risk weight is less than or equal to 35%. It also applies an RSF factor of 100% on the encumbered loans excluding mortgage loans to retail and SMEs with remaining maturity and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (2.2.7) A and B |
32 |
BOT RSF- Unencumbered Loans - Other Parties-RW less than 35% |
[BOT]: RSF - unencumbered loans to all other parties excluding Central Bank, Corporate, Retail, SME, Sovereign, PSE, MDB, and RDB which would qualify for 35% or lesser risk weight as per Basel 2 standardized approach. |
The RSF factors applicable to fully performing unencumbered unsecured loans to all other parties excluding central bank, corporate, retail, SME, sovereign, PSE, MDB, and RDB that qualifies for a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 65% RSF factor for loans with a remaining maturity of more than 1 year having an encumbrance period of less than 1 year. It also applies a 100% RSF factor on the loans from all other parties excluding central bank, corporate, retail, SME, sovereign, PSE, MDB, and RDB having residual maturity and more than 1 year. |
MC
Paragraphs - 4.2.2 (2.2.6) A and B |
33 |
BOT RSF- Encumbered Loans - Other Parties-RW less than 35% |
[BOT]: RSF - encumbered loans to all other parties excluding Central Bank, Corporate, Retail, SME, Sovereign, PSE, MDB, and RDB which would qualify for 35% or lesser risk weight as per Basel 2 standardized approach. |
The RSF factors applicable to fully performing encumbered unsecured loans to all other parties excluding central bank, corporate, retail, SME, sovereign, PSE, MDB and RDB that qualifies for a risk weight of 35% or lower as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 65% RSF factor for loans with a remaining maturity of more than 1 year having an encumbrance period of less than 1 year. It also applies a 100% RSF factor on the loans from all other parties excluding central bank, corporate, retail, SME, sovereign, PSE, MDB, and RDB, having residual maturity and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (2.2.6) A and B |
34 |
BOT RSF- Unencumbered Loans - Other Parties-RW more than 35% |
[BOT]: RSF - unencumbered loans to all other parties excluding Central Bank, Corporate, Retail, SME, Sovereign, PSE, MDB, and RDB which would qualify for higher than 35% risk weight as per Basel 2 standardized approach. |
The RSF factors applicable to fully performing unencumbered unsecured loans to all other parties excluding central bank, corporate, retail, SME, sovereign, PSE, MDB and RDB that qualifies for a risk weight of more than 35% as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 85% RSF factor for loans with a remaining maturity of more than 1 year having an encumbrance period of less than 1 year. It also applies a 100% RSF factor on the loans from all other parties excluding central bank, corporate, retail, SME, sovereign, PSE, MDB, and RDB having residual maturity and more than 1 year. |
MC
Paragraphs - 4.2.2 (2.2.7) B |
35 |
BOT RSF- Encumbered Loans - Other Parties-RW more than 35% |
[BOT]: RSF - encumbered loans to all other parties excluding Central Bank, Corporate, Retail, SME, Sovereign, PSE, MDB, and RDB which would qualify for higher than 35% risk weight as per Basel 2 standardized approach. |
The RSF factors applicable to fully performing encumbered unsecured loans to all other parties excluding central bank, corporate, retail, SME, sovereign, PSE, MDB, and RDB that qualifies for a risk weight of more than 35% as per Basel 2 standardized approach for credit risk are predefined as part of this assumption. This assumption applies 50% RSF factors on the loans with a remaining maturity of less than 1 year and 85% RSF factor for loans with a remaining maturity of more than 1 year having an encumbrance period of less than 1 year. It also applies a 100% RSF factor on the loans from all other parties excluding central bank, corporate, retail, SME, sovereign, PSE, MDB, and RDB, having residual maturity and encumbrance period of more than 1 year. |
MC
Paragraphs - 4.2.2 (2.2.7) A and B |
36 |
BOT RSF - Non-Performing Loans |
[BOT]: RSF - non-performing loans given to all counterparties. |
The RSF factor applicable to non-performing loans given to all counterparties is predefined as part of these assumptions. This assumption applies an RSF factor of 100% for the non-performing loans. |
MC Paragraph - 4.2.2 (2.2.8) B |
37 |
BOT RSF- Unencumbered L1 Assets |
[BOT]: RSF - unencumbered assets that qualify for inclusion in Level 1 of HQLA as defined in the LCR. |
The RSF factors applicable to unencumbered assets, which qualify for inclusion in Level 1 of HQLA as defined in the LCR are predefined as a part of this assumption. The assumption applies a 5% RSF factor on the unencumbered Level 1 assets. |
MC Paragraph - 4.2.2 (2.2.2) |
38 |
BOT RSF- Encumbered L1 Assets |
[BOT]: RSF - encumbered assets that qualify for inclusion in Level 1 of HQLA as defined in the LCR. |
The RSF factors applicable to the encumbered portion of assets, which qualify for inclusion in Level 1 HQLA as defined in the LCR are predefined as a part of this assumption. The assumption applies 50% and 100% RSF factors on the encumbered portion of level 1 assets, with encumbrance period of less than 1 year and 1 year or more respectively. |
MC
Paragraphs - 4.2.2 (2.2.2) |
39 |
BOT RSF- Unencumbered L2A Assets |
[BOT]: RSF - unencumbered assets that qualify for inclusion in Level 2A of HQLA as defined in the LCR. |
The RSF factors applicable to unencumbered assets, which qualify for inclusion in Level 2A HQLA as defined in the LCR are predefined as a part of this assumption. The assumption applies a 15% RSF factor on the unencumbered Level 2A assets. |
MC
Paragraphs - 4.2.2 (2.2.4) A |
40 |
BOT RSF- Encumbered L2A Assets |
[BOT]: RSF - encumbered assets that qualify for inclusion in Level 2A of HQLA as defined in the LCR. |
The RSF factors applicable to the encumbered portion of assets, which qualify for inclusion in Level 2A of HQLA as defined in the LCR are predefined as a part of this assumption. The assumption applies 15%, 50%, and 100% RSF factors on the encumbered portion of Level 2A assets, with encumbrance period of fewer than 6 months, between 6 months to 1-year, and 1 year or more respectively. |
MC
Paragraphs - 4.2.2 (2.2.5) D |
41 |
BOT RSF- Unencumbered L2B Assets |
[BOT]: RSF - unencumbered assets that qualify for inclusion in Level 2B of HQLA as defined in the LCR. |
The RSF factors applicable to unencumbered assets, which qualify for inclusion in Level 2B of HQLA as defined in the LCR are predefined as a part of this assumption. The assumption applies an RSF factor of 50% on the unencumbered Level 2B assets. |
MC
Paragraphs - 4.2.2 (2.2.4) A |
42 |
BOT RSF- Encumbered L2B Assets |
[BOT]: RSF - encumbered assets that qualify for inclusion in Level 2B of HQLA as defined in the LCR. |
The RSF factors applicable to the encumbered portion of assets, which qualify for inclusion in Level 2B of HQLA as defined in the LCR are predefined as a part of this assumption. The assumption applies 50% and 100% RSF factors on the encumbered portion of Level 2B assets, with encumbrance period of less than 1 year and 1 year or more respectively. |
MC
Paragraphs - 4.2.2 (2.2.5) D |
43 |
BOT RSF- Unencumbered Instruments - Maturity less than 1 yr |
[BOT]: RSF - unencumbered short-term instruments that do not qualify for inclusion in HQLA as defined in the LCR having residual maturity of less than 1 year. |
The RSF factors applicable to unencumbered securities with a remaining maturity of less than 1 year and which do not qualify as HQLA under the LCR Rule are predefined as part of this assumption. The assumption applies a 50% RSF factor on unencumbered securities, which do not qualify as HQLA under the LCR Rule with a remaining maturity of less than 1 year. |
MC
Paragraph - 4.2.2 (2.2.5) D |
44 |
BOT RSF- Encumbered Instruments - Maturity less than 1 yr |
[BOT]: RSF - encumbered short-term instruments that do not qualify for inclusion in HQLA as defined in the LCR having residual maturity of less than 1 year. |
The RSF factors applicable to the encumbered portion of the securities with a remaining maturity of less than 1 year and which do not qualify as HQLA under the LCR Rule are predefined as part of this assumption. The assumption applies a 50% RSF factor on an encumbered portion of the securities with a remaining maturity of less than 1 year, encumbrance period of less than 1 year, and which do not qualify as HQLA under the LCR Rule. It applies a 100% RSF factor on the encumbered portion of the securities with a remaining maturity of less than 1 year, encumbrance period of 1 year or more, and which do not qualify as High-quality liquid assets under the LCR Rule. |
MC
Paragraph -4.2.2 (2.2.5) D |
45 |
BOT RSF - Unencumbered Exchange Traded Equities |
[BOT]: RSF - unencumbered Exchange Traded Equities. |
The RSF factor applicable to the Unencumbered Exchange Traded Equities is predefined as part of this assumption. The assumption applies an 85% RSF factor on the exchange-traded equities. |
MC Paragraph - 4.2.2 (2.2.7) C |
46 |
BOT RSF - Encumbered Exchange Traded Equities |
[BOT]: RSF - encumbered Exchange Traded Equities. |
The RSF factors applicable to the encumbered Exchange Traded Equities is predefined as part of this assumption. The assumption applies an 85% RSF factor on the exchange-traded equities with an encumbrance period of less than 1 year and a 100% RSF factor on the exchange-traded equities with an encumbrance period of more than 1 year. |
MC
Paragraph -4.2.2 (2.2.5) D |
47 |
BOT RSF - Unencumbered Other Securities |
[BOT]: RSF - unencumbered securities, not in default. |
The RSF factors applicable to the unencumbered securities that are not in default are predefined as part of this assumption. The assumption applies a 50% RSF factor on unencumbered securities with a remaining maturity of less than 1 year and an 85% RSF factor on unencumbered securities with a remaining maturity of more than 1 year. |
MC
Paragraph -4.2.2 (2.2.5) D |
48 |
BOT RSF - Encumbered Other Securities |
[BOT]: RSF - encumbered securities not in default. |
The RSF factors applicable to the encumbered securities that are not in default are predefined as part of this assumption. The assumption applies a 50% and 85% RSF factor on unencumbered securities with a remaining maturity of less than 1 year and more than 1 year respectively, with an encumbrance period of less than 1 year. It also applies a 100% RSF factor on the encumbered securities with remaining maturity and an encumbrance period of more than 1 year. |
MC
Paragraph -4.2.2 (2.2.5) D |
49 |
BOT RSF - Defaulted Securities |
[BOT]: RSF - defaulted securities. |
The RSF factor on the securities that are in default is predefined as part of this assumption. The assumption applies a 100% RSF on the securities that are in the default status. |
MC Paragraph -4.2.2 (2.2.8) B |
50 |
BOT RSF- Unencumbered Commodities |
[BOT]: RSF - unencumbered physically traded commodities, including gold. |
The RSF Factor applicable to unencumbered physically traded commodities is defined as a part of this assumption. The assumption applies an 85% factor. |
MC Paragraph -4.2.2 (2.2.7) C |
51 |
BOT RSF- Encumbered Commodities |
[BOT]: RSF - encumbered physically traded commodities, including gold. |
The RSF Factor applicable to encumbered physically traded commodities is defined as a part of this assumption. The assumption applies a factor based on the encumbrance period. |
MC Paragraph -4.2.2 (2.2.7) C, 4.2.2 (2.3) |
52 |
BOT RSF- Trade date receivables |
[BOT]: RSF - trade date receivables arising from purchases of foreign currencies, financial instruments, and commodities that are expected to settle or have failed, but are expected to settle within the standard settlement cycle. |
The RSF factor applicable to trade date receivables arising from purchases of foreign currencies, financial instruments, and commodities that are expected to settle or have failed but are expected to settle within the standard settlement cycle are pre-defined as part of this assumption. The assumption applies a 0% RSF factor to the trade receivables, which expected to settle within the settlement cycle. |
MC Paragraph -4.2.2 (2.2.1) D |
53 |
BOT RSF- Interdependent Assets |
[BOT]: RSF - all the assets that have interdependent liabilities and have been classified as interdependent assets by the bank. |
The ASF factor all the loans and balances that have interdependent assets. This assumption applies a 0% RSF factor on the interdependent assets. |
MC Paragraph - 3.0 |
This section lists the derivatives assumptions.
Sl. No. |
Assumption Name |
Assumption Description |
Regulatory Requirement Addressed |
Regulatory Reference: Notification of the Bank of Thailand No. FPG. 1 /2561 |
|---|---|---|---|---|
1 |
BOT RSF- Derivative Assets - BCBS-IOSCO Non-Exempt |
[BOT]: RSF - derivative assets net of derivative assets, where derivative liability is net of any variation margin posted and the derivative asset is gross of cash margin received from the counterparties that are not exempted from BCBS-IOSCO margin requirements. |
The RSF factor applicable to all derivative contracts including netted derivative contracts from the counterparties that are not exempted from BCBS-IOSCO margin requirements, where the net aggregate mark to the market value of the contracts for an entity including any cash margin adjustment is positive, is predefined as part of this assumption. The assumption applies a 100% RSF factor to the derivative assets net of derivative liabilities, where the net aggregate mark to the market value of the contracts is positive. |
MC Paragraph - 4.2.2 (2.2.8) A |
2 |
BOT RSF- Derivative Assets - BCBS-IOSCO Exempt |
[BOT]: RSF - derivative assets net of derivative assets, where derivative liability is net of any variation margin posted and the derivative asset is gross of cash margin received from the counterparties that are exempted from BCBS-IOSCO margin requirements. |
The RSF factor applicable to all derivative contracts including netted derivative contracts from the counterparties that are exempted from BCBS-IOSCO margin requirements, where the net aggregate mark to the market value of the contracts for an entity including any cash margin adjustment is positive, is predefined as part of this assumption. The assumption applies a 100% RSF factor to the derivative assets net of derivative liabilities, where the net aggregate mark to the market value of the contracts is positive. |
MC Paragraph - 4.2.2 (2.2.8) A |
3 |
BOT RSF- Cash Variation Margin - BCBS-IOSCO Non-Exempt |
[BOT]: RSF - treatment of cash variation margin received against derivative transactions from the counterparties that are not exempted from BCBS-IOSCO margin requirements. |
The RSF factor applicable to cash variation margin received against derivative transactions from the counterparties that are not exempted from BCBS-IOSCO margin requirements is predefined as part of this assumption. The assumption applies a 0% RSF factor to the cash variation margin received from counterparties that are not exempted from BCBS-IOSCO margin requirements. |
MC - Attachment 2 |
4 |
BOT RSF- Cash Variation Margin - BCBS-IOSCO Exempt |
[BOT]: RSF - treatment of cash variation margin received against derivative transactions from the counterparties that are exempted from BCBS-IOSCO margin requirements. |
The RSF factor applicable to cash variation margin received against derivative transactions from the counterparties that are not exempted from BCBS-IOSCO margin requirements is predefined as part of this assumption. The assumption applies a 0% RSF factor to the cash variation margin received from counterparties that are not exempted from BCBS-IOSCO margin requirements. |
MC - Attachment 2 |
5 |
BOT RSF- Variation Margin-Derivatives - BCBS-IOSCO Non-Exempt |
[BOT]: RSF - treatment of variation margin other than cash, received against derivative transactions from the counterparties that are not exempted from BCBS-IOSCO margin requirements. |
The RSF factor applicable to variation margin other than cash received against derivative transactions from the counterparties that are not exempted from BCBS-IOSCO margin requirements is predefined as part of this assumption. The assumption applies a 0% RSF factor to the variation margin other than cash received from counterparties that are not exempted from BCBS-IOSCO margin requirements. |
MC - Attachment 2 |
6 |
BOT RSF- Variation Margin-Derivatives - BCBS-IOSCO Exempt |
[BOT]: RSF - treatment of variation margin other than cash, received against derivative transactions from the counterparties that are exempted from BCBS-IOSCO margin requirements. |
The RSF factor applicable to variation margin other than cash received against derivative transactions from the counterparties that are not exempted from BCBS-IOSCO margin requirements is predefined as part of this assumption. The assumption applies a 0% RSF factor to the variation margin other than cash received from counterparties that are exempted from BCBS-IOSCO margin requirements. |
MC - Attachment 2 |
7 |
BOT RSF - Net NSFR Derivative assets |
[BOT]: RSF - derivative assets net of derivative liabilities, where derivative liability is net of any variation margin posted and the derivative asset is net of cash margin received. |
The RSF factor applicable to all derivative contracts including netted derivative contracts, where the net aggregate mark to the market value of the contracts for an entity including any cash margin adjustment is positive, is predefined as part of this assumption. The assumption applies a 100% RSF factor to the derivative assets net of derivative liabilities, where the net aggregate mark to the market value of the contracts is positive. |
MC Paragraph - 4.2.2 (2.2.8) A |
8 |
BOT RSF- Additional Derivative Liability for RSF |
[BOT]: RSF - an additional portion of derivative liabilities to be included as part of RSF. |
The RSF factor applicable to all derivative contracts including netted derivative contracts, where the aggregate mark to the market value of the contracts before any variation margin adjustment is negative, is predefined as part of this assumption. The assumption applies a 100% RSF factor to the 20% of negative mark-to-mark value for the derivative contracts. |
MC Paragraph - 4.2.2 (2.2.8) C |
9 |
BOT RSF- Initial Margin for Derivatives |
[BOT]: RSF - treatment of initial margin posted against derivative transactions. |
The RSF factor applicable to the initial margin received against derivative transactions is predefined as part of this assumption. The assumption applies a 0% ASF factor to the initial margin posted against the derivative contracts. |
MC Paragraph - 4.2.2 (2.2.7) A |
10 |
BOT RSF- Total Initial Margin for Derivatives |
[BOT]: RSF - treatment of total initial margin posted against derivative transactions. |
The RSF factor applicable to the total initial margin received against derivative transactions is predefined as part of this assumption. The assumption applies a 0% ASF factor to the initial margin posted against the derivative contracts. |
MC Paragraph - 4.2.2 (2.2.7) A |
11 |
BOT RSF- Initial Margin for Derivatives-BCBS-IOSCO NonExempt |
[BOT]: RSF - treatment of initial margin posted against derivative transactions on the bank's position to counterparties that are not exempted from BCBS-IOSCO margin requirements. |
The RSF factor applicable to the initial margin posted against derivative transactions on the bank's position to counterparties that are not exempted from BCBS-IOSCO margin requirements is predefined as part of this assumption. The assumption applies a 0% ASF factor to the initial margin posted against the derivative contracts. |
MC Paragraph - 4.2.2 (2.2.7) A |
12 |
BOT RSF- Initial Margin for Derivatives - BCBS-IOSCO Exempt |
[BOT]: RSF - treatment of initial margin posted against derivative transactions on the bank's position. |
The RSF factor applicable to the initial margin posted against derivative transactions on the bank's position to counterparties that are not exempted from BCBS-IOSCO margin requirements is predefined as part of this assumption. The assumption applies a 0% ASF factor to the initial margin posted against the derivative contracts. |
MC Paragraph - 4.2.2 (2.2.7) A |
13 |
BOT- Initial Margin for derivatives - Default Fund |
[BOT]: RSF - treatment of initial margin provided to contribute to the default fund of a CCP. |
The RSF factor applicable to the initial margin posted for the derivative contracts is predefined as part of this assumption. The assumption applies an 85% RSF factor to the initial margin posted against the derivative contracts. |
MC Paragraph - 4.2.2 (2.2.7) A |
This section lists the off-balance sheet assumptions.
Sl. No. |
Assumption Name |
Assumption Description |
Regulatory Requirement Addressed |
Regulatory Reference: Notification of the Bank of Thailand No. FPG. 1 /2561 |
|---|---|---|---|---|
1 |
BOT RSF- Credit and liquidity facilities to the client |
[BOT]: RSF - irrevocable, revocable, and conditionally revocable credit, and liquidity facilities offered to any clients by the bank. |
The RSF factor applicable to irrevocable, revocable, and conditionally revocable credit and liquidity facilities offered to any clients by the bank, is predefined as part of this assumption. The assumption applies a 5% RSF factor to the undrawn amount of irrevocable and conditionally revocable credit and liquidity facilities and RSF factor of 0% in case of revocable credit and liquidity facilities. |
MC Paragraph - 2.4 |
2 |
BOT RSF- Guarantees and letters of credit |
[BOT]: RSF - guarantees and letters of credit. |
The RSF factor applicable to the Guarantees and Letters of credit offered by the bank is predefined as part of this assumption. The assumption applies a 0.5% RSF factor to the EOP balance of the trade-related Guarantees and Letters of credit and RSF factor of 1% for non-trade related Guarantees and Letters of credit. |
MC Paragraph - 2.4 |
3 |
BOT RSF- Other Contractual Obligations |
[BOT]: RSF - other Contractual Obligations. |
The RSF factor applicable to contractual obligations other than credit and liquidity facilities to clients and guarantees and letters of credit is predefined as part of this assumption. The assumption applies a 100% ASF factor on all the contractual obligations other than credit and liquidity facilities to clients and guarantees and letters of credit. |
MC Paragraph - 2.4 |
4 |
BOT-RSF- Non-contractual obligations - Structured Products |
[BOT]: RSF - non-contractual obligations type such as adjustable rate notes, VRDNs, managed funds, and so on. |
The RSF factor applicable to the non-contractual obligations for structured products such as Variable rate notes (VRDNs), Adjustable rate notes (ARDNs), and so on, offered by the bank, is predefined as part of this assumption. The assumption applies a 100% RSF factor to the EOP balance for aforesaid non-contractual obligations. |
MC Paragraph - 2.4 |
5 |
BOT-RSF- Debt Buy Back Requests - Non-Dealer Bank |
[BOT]: non-contractual obligations type such as potential requests for debt repurchases. |
The RSF factor applicable to the non-contractual obligations for debt repurchase is predefined as part of this assumption. The assumption applies a 0% RSF factor to the debt buy-back amount for the debt securities issued or sponsored. |
MC Paragraph - 2.4 |
6 |
BOT-RSF- Non-contractual obligations type |
[BOT]: non-contractual obligations type such as managed funds, and so on. |
The RSF factor applicable to the non-contractual obligations type such as managed funds is predefined as part of this assumption. The assumption applies a 0% RSF factor to the aforesaid non-contractual obligations amount. |
MC Paragraph - 2.4 |
7 |
BOT-RSF- Other Non contractual obligations type |
[BOT]: RSF - other non-contractual obligations type. |
The RSF factor for Other non-contractual obligations type is predefined as part of this assumption. The assumption applies a 0% RSF factor on the amount of the non-contractual obligation. |
MC Paragraph - 2.4 |
NOTE:
Undrawn contractual committed facilities are configured as a T2T.