6.3.1.1 Available Stable Funding Factor
Table 5-4 List of assumptions
| Assumption Name | Assumption Description | Regulatory Requirement Addressed | Regulatory Reference: Notification of the Bank of Thailand No. FPG. 1 /2561 |
|---|---|---|---|
| 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 |
| 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 |
| 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 the purposes of 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 remaining maturity of 1 year or more. |
MC Paragraph - 4.2.2 (1.2.2) 4.2.2 (1.2.1) C |
| 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 the purposes of 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) 4.2.2 (1.2.1) C |
| 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 4.2.2 (1.2.5) A 4.2.2 (1.2.1) C |
| BOT ASF- Non Op Portion of Op Dep- Non-Financial Corporates | [BOT]: ASF- 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 4.2.2 (1.2.5) A 4.2.2 (1.2.1) C |
| 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 4.2.2 (1.2.5) A 4.2.2 (1.2.1) C |
| 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 4.2.2 (1.2.5) A 4.2.2 (1.2.1) C |
| BOT ASF- Non Op Portion of Op Dep- Central Banks | [BOT]: ASF- 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 less 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 remaining maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A 4.2.2 (1.2.4) C 4.2.2 (1.2.5) A |
| 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 less 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 4.2.2 (1.2.4) C 4.2.2 (1.2.5) A |
| 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 4.2.2 (1.2.4) C 4.2.2 (1.2.5) A |
| BOT ASF- Non Op Portion of Op Dep-Sov, PSE, MDB, NDB | [BOT]: ASF- 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 organisations, 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 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 4.2.2 (1.2.4) C 4.2.2 (1.2.5) A |
| 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 organisations, 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 remaining maturity of less than 1 year and 100% for non-operational funding with remaining maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A 4.2.2 (1.2.4) C 4.2.2 (1.2.5) A |
| 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 is applicable 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 4.2.2 (1.2.5) C |
| BOT ASF- Non Op Portion of Op Dep- Other LE | [BOT]: ASF- non-operational portion of the operational unsecured deposits from all other legal entities including financial corporates and financial institutions. | The ASF factor applicable 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 remaining maturity of less 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 remaining maturity of more than 1 year. |
MC Paragraphs - 4.2.2 (1.2.5) A 4.2.2 (1.2.5) C |
| 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 remaining maturity of less 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 4.2.2 (1.2.5) C |
| 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 in accordance with 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 less 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 4.2.2 (1.2.5) C |
| 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 the purposes of 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 remaining maturity of less 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 4.2.2 (1.2.5) C |
| 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 the purposes of 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 less 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 4.2.2 (1.2.5) A, 4.2.2 (1.2.5) C |
| 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 the purposes of 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 less 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 4.2.2 (1.2.5) A, 4.2.2 (1.2.5) C |
| 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 the purposes of 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 4.2.2 (1.2.5) A, 4.2.2 (1.2.5) C |
| 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 the purposes of 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 remaining maturity of less 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, 4.2.2 (1.2.5) C |
| 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 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 |
| 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 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 |
| BOT ASF- Variation Margin-Derivatives -BCBS-IOSCO Non-Exempt | [BOT]: ASF- treatment of variation margin posted against derivative transactions from the counterparties that are not exempted from BSBS-IOSCO margin requirements. | The ASF factor applicable to the variation margin posted against derivative 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 |
| BOT ASF- Variation Margin - Derivatives -BCBS-IOSCO Exempt | [BOT]: ASF- treatment of variation margin posted against derivative transactions from the counterparties that are exempted from BSBS-IOSCO margin requirements. | The ASF factor applicable to the variation margin posted 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 variation margin posted against the derivative contracts. | MC - Attachment 2 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| BOT ASF- Liabilities - Maturity less than 1yr | [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 |
| 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 |