1. User Guide
  2. Net Stable Funding Ratio Calculation
  3. Pre-configured BOT Regulatory NSFR Scenarios
  4. Regulation Addressed through Business Assumptions
  5. Derivatives

6.3.1.3 Derivatives

Table 5-6 Derivatives list

Assumption Name Assumption Description Regulatory Requirement Addressed Regulatory Reference: Notification of the Bank of Thailand No. FPG. 1 /2561
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 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 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 market value of the contracts is positive. MC Paragraph - 4.2.2 (2.2.8) A
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 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 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 market value of the contracts is positive. MC Paragraph - 4.2.2 (2.2.8) A
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
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
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
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
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 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 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 market value of the contracts is positive. MC Paragraph - 4.2.2 (2.2.8) A
BOT RSF- Additional Derivative Liability for RSF [BOT]: RSF - 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 market value of the contracts prior to 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 aforementioned derivative contracts. MC Paragraph - 4.2.2 (2.2.8) C
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
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
BOT RSF- Initial Margin for Derivatives-BCBS-IOSCO NonExempt [BOT]: RSF - treatment of initial margin posted against derivative transactions on the bank's own 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 own 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
BOT RSF- Initial Margin for Derivatives - BCBS-IOSCO Exempt [BOT]: RSF - treatment of initial margin posted against derivative transactions on the bank's own position. The RSF factor applicable to the initial margin posted against derivative transactions on the bank's own 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
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