5.3.1 Regulation Addressed through Business Assumptions
The application supports multiple assumptions with pre-configured rules and scenarios based on regulator specified scenario parameters such as HQLA haircuts, inflow and outflow percentage / rates and so on. The list of pre-configured business assumptions and the corresponding reference to the regulatory requirement that it addresses is provided in the following table:
Table 4-14 List of pre-configured business assumptions
| Business Assumption Name | Business Assumption Description | Regulatory Requirement Addressed | Regulatory Reference BOT Notification No FPG. 9 /2558 |
|---|---|---|---|
| Outflows | |||
| BOT-Stable retail deposits run-off | Run-offs on the stable portion of deposits from retail customers and SMEs treated as retail | The outflow rate on the stable portion of deposits, from retail customers, and SMEs treated as retail customers, for the purpose of LCR, is pre-defined as part of this assumption. This assumption applies a 5% run-off on the stable portion of retail deposits that are either not encumbered, or the encumbrance period is less than the LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Attachment 2 Paragraphs (I) 1.2 (1), (2) and (3), Paragraph (I) (2.1) |
| BOT-Unencumbered part of stable retail deposits run-off | Run-offs on the unencumbered portion of stable deposits from retail customers and SMEs treated as retail. | The outflow rate on the unencumbered portion of stable deposits, from retail customers, and SMEs treated as retail customers, for the purpose of LCR, is pre-defined as part of this assumption. This assumption applies a 5% run-off on unencumbered portion of stable deposit, having an encumbrance period greater than the LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Attachment 2 Paragraphs (I) 1.2 (1), (2) and (3), Paragraph (I) (2.1) |
| BOT-Less stable retail deposits run-off | Run-offs on the less stable portion of deposits from retail customers and SMEs treated as retail. | The outflow rate on the less stable portion of deposits, from retail customers and SMEs treated as retail customers, for the purpose of LCR, is pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits, that are either not encumbered or the encumbrance period is less than the LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Attachment 2 Paragraph (I) 1.2 (1), (2) and (3), Paragraph (I) (2.1) |
| BOT-Unencumbered part of less stable retail deposit runoff | Run-offs on the unencumbered portion of less stable deposits from retail customers and SMEs treated as retail. | The outflow rate on the unencumbered portion of less stable deposits, from retail customers and SMEs treated as retail customers, for the purpose of LCR, is pre-defined as part of this assumption. This assumption applies a 10% run-off on the unencumbered portion of less stable deposits, having an encumbrance period greater than the LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Attachment 2 Paragraph (I) 1.2 (1), (2) and (3), Paragraph (I) (2.1) |
| BOT-Other retail deposits with maturity more than 30 days | BOT- Run-offs from other retail deposits with maturity greater than 30 days | The outflow rate on deposits maturing after the LCR horizon from retail customers, and SMEs treated as retail customers, for the purpose of LCR, is pre-defined as part of this assumption. This assumption applies a 0% run-off on EOP balance of deposits having a significant withdrawal penalty on principal, and a 5% run-off on term deposits having significant withdrawal penalty on interest. Additionally, it applies a 5% run-off on EOP balance of term deposits, where early redemption or withdrawal is not allowed. | Attachment 2 Paragraph (I) 1.2 (3), (5) and (6), Paragraph (I) (2.1) and footnote 12 |
| BOT-Run-off from encumbered portion of retail deposits | Run-offs on the encumbered portion of deposits from retail customers and SMEs treated as retail. | The outflow rate on the encumbered deposits, from retail customers, and SMEs treated as retail customers, for the purpose of LCR, is pre-defined as part of this assumption. This assumption applies a 0% run-off on the encumbered balance of deposits maturing after the LCR horizon and having an encumbrance period greater than the LCR horizon. | Attachment 2 Paragraph (I) 1.2 (1), (2), (3) and (4), Paragraph (I) (2.1) |
| BOT-Run-off from retail borrowings | Run-offs on the borrowings from retail customers and SMEs treated as retail. |
The outflow rate on the borrowings, from retail customers and SMEs treated as retail customers, for the purpose of LCR, is pre-defined as part of this assumption. This assumption applies a 10% run-off on EOP balance of borrowings, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. This assumption applies a 5% run-off on the EOP balance of borrowings maturing after the LCR horizon, where early redemption or withdrawal is not allowed. Additionally, it applies a 5% run-off on EOP balance of borrowings, which are withdrawn early by incurring significant penalty. Lastly, it applies 0% run-off on EOP balance of borrowings, which are withdrawn early by incurring significant penalty on the principal. |
Attachment 2 Paragraph (I) 1.2, Paragraph (I) (2.1) and footnote 12 |
| BOT - Insured Operational Balance Run-off | Run-offs on the portion of operational balance, from deposits generated by clearing, custody and cash management activities, that is fully covered by deposit insurance. | The outflow rates on the insured portion of the balances held in operational accounts with other financial institutions, for clearing, custody and cash management, are pre-defined as part of this assumption. This assumption applies a 5% run-off on insured operational balances that are covered by deposit insurance. | Attachment 2 Paragraph (I) 2.2.1, 2.4 (1) |
| BOT - Uninsured Operational Balance Run-off | Run-off on the portion of operational balance, from deposits generated by clearing, custody and cash management activities, that is not covered by deposit insurance. | The outflow rates on the uninsured portion of the balances held in operational accounts with other financial institutions, for clearing, custody and cash management, are pre-defined as part of this assumption. This assumption applies a 25% run-off on uninsured operational balances that are not covered by deposit insurance. | Attachment 2 Paragraph (I) 2.2.1, 2.4 (1) |
| BOT-Outflow from intra-group transactions | Outflows from net intra-group transactions | Outflows from net intra-group transactions, is pre-defined as part of this assumption. This assumption applies a 100% outflow, if the netted value of cash flows at the group level is negative. Another assumption, Inflows from intra-group transactions applies a 100% inflow if the netted value of cash flows at group level is positive. | Section 5.3.2 |
| BOT-Outflows from issued unsecured debt | Outflows from unsecured debts issued by banks through public offering. | Outflows from unsecured debts issued through public offering, bills of exchange and promissory notes issued by the legal entities, are pre-defined as part of this assumption. This assumption applies a 100% run-off on EOP balances of issued securities specified earlier. Additionally, it applies a 0% run-off on the EOP balance of debt securities not issued through public offering. | Attachment 2 Paragraphs (I) 2.3 and 2.4 (6) |
| BOT-Run-off from other borrowings specified by regulator | Outflows from other borrowings specified by the regulators | The outflow rate on other borrowings as part of promotional lending’s under the soft loan program, is pre-defined as part of this assumption. This assumption applies a 100% outflow i.e. 0% rollover on such borrowings. | Attachment 2 Paragraph (I) 2.4 (7) |
| BOT-Run-off from additional reserves with central bank | Outflows from additional reserves with central bank | The outflow rate on the additional reserves maintained with central banks, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the minimum reserves maintained with the central bank. | Attachment 1 Paragraph 1.1.2 |
| BOT-Secured funding outflows based on secured cash flow | Outflows on annuity contracts, borrowings and deposits from central banks, sovereigns, local governments, PSEs, state enterprises and MDBs. | The outflow rates on the annuity contracts, borrowings and deposits from central banks, sovereigns, local governments, PSEs, state enterprises, and MDBs, are pre-defined as part of this assumption. This assumption applies the regulatory run-offs applicable to each counterparty type in the form of rollover rates i.e. 1 – run-off rates on secured cash flows. | Attachment 2 Paragraph (I) 3 |
| BOT-Secured cash outflows from other entities | Outflows on annuity contracts and borrowings from entities other than central banks, sovereigns, local governments, PSEs, state enterprises, and MDB. | The outflow rates on the annuity contracts, borrowings from entities other than central banks, sovereigns, local governments, PSEs, state enterprises, and MDBs, are pre-defined as part of this assumption. This assumption applies the regulatory run-offs applicable to each counterparty type in the form of rollover rates i.e. 1 – run-off rates on secured cash flows. | Attachment 2 Paragraph (I) 4 |
| BOT-Secured funding outflows based on secured balance | Outflows on repurchase agreement and security lending from entities such as central banks, sovereigns, local governments, PSEs, state enterprises and MDBs. | The outflow rates on the repurchase agreements and security lending’s from central banks, sovereigns, local governments, PSEs, state enterprises, and MDBs, are pre-defined as part of this assumption. This assumption applies the regulatory run-off rates applicable to each counterparty type on secured balance. | Attachment 2 Paragraph (I) 5 |
| BOT-Secured balance outflows from other entities | Outflows on repurchase agreements and security lending from entities other than central banks, sovereigns, local governments, PSEs, state enterprises, and MDBs. | The outflow rates on the repurchase agreements and security lending’s from entities other than central banks, sovereigns, local governments, PSEs, state enterprises, and MDBs, are pre-defined as part of this assumption. This assumption applies the regulatory run-off rates applicable to each counterparty type based on secured balance. | Attachment 2 Paragraph (I) 6 |
| BOT-Outflows from collateral swap | Outflows on collateral swap transactions. | The outflow rates on collateral swaps, are pre-defined as part of this assumption. This assumption applies the outflows applicable to the market value of received collateral, when the collateral placed under a swap transaction is of lower or equal quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral. A 0% inflow rate is applied, when the underlying asset received is used for covering short positions. | Attachment 2 Paragraph (I) 7 |
| BOT-Outflows on non-operational part of operational account | Outflows on the non-operational balances of fundings, classified as an operational deposit, provided by corporates, SMEs, sovereigns, central banks, local governments, state enterprises or MDBs. | The run-off rates on the non-operational balances held in operational accounts, are pre-defined as part of this assumption. This assumption applies a 100% run-off on non-operational balances provided by non-financial corporates and SMEs. Additionally, for the non-operational balances provided by non-financial corporates and SMEs, sovereigns, central banks, local governments, state enterprises or MDBs, a 20% run-off rate is applied for the accounts that are fully covered by deposit insurance, and a 40 % run-off rate is applied for the accounts that are not fully covered by deposit insurance. | Attachment 2 Paragraph (I) 2.2.1, 2.4 (1) |
| BOT-Non-op part of operational account for other entity | Outflows on the non-operational balance of funding, classified as an operational deposit, provided by entities other than corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB. | The run-off rates on the non-operational balances held in operational accounts provided by entities other than corporates, SMEs, sovereigns, central banks, local governments, state enterprises or MDBs, are pre-defined as part of this assumption. This assumption applies a 100% run-off on non-operational balances. | Attachment 2 Paragraph (I) 2.2.1, 2.4 (1) |
| BOT-Unsecured non-operational funding from SME and corporate | Outflows on the unsecured fundings, provided by corporates or SMEs that are not classified as an operational deposit. | The run-off rates from the unsecured fundings that are not classified as operational deposits, received from corporates or SMEs, are pre-defined as part of this assumption. This assumption applies a 100% run-off on EOP balances from non-operational funding provided by financial customers. Additionally, it applies a 20% run-off on EOP balance from non-operational funding accounts that are fully covered by deposit insurance, and a 40% run-off on the non-operational funding accounts that are not fully covered by deposit insurance. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (1), (2), (3) and (4) |
| BOT-Unsecured non-operational funding from SOV,PSE and MDB | Outflows on the unsecured funding, provided by sovereigns, local governments, state enterprises, PSEs or MDBs that is not classified as operational deposits. | The run-off rates from unsecured fundings, that are not classified as operational deposits, received from sovereigns, local governments, state enterprises, PSEs or MDBs, are pre-defined as part of this assumption. This assumption applies a 20% run-off on EOP balances from non-operational funding accounts that are fully covered by deposit insurance, and a 40% run-off on those non-operational funding accounts that are not fully covered by deposit insurance. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (1), (2), (3) and (4) |
| BOT-Unsecured non-operational funding from central bank | Outflows on the unsecured fundings, provided by central banks that are not classified as an operational deposit. | The run-off rates from unsecured fundings, that are not classified as operational deposits, received from central banks, are pre-defined as part of this assumption. This assumption applies a 40% run-off on EOP balances from non-operational funding accounts that are not fully covered by deposit insurance. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (1), (2), (3) and (4) |
| BOT-Unsecured non-op funding from oth fin inst. and entities | Outflows on the unsecured fundings, provided by entities other than corporates, SMEs, sovereigns, central banks, local governments, PSEs, state enterprises and MDBs, that are not classified as operational deposits. | The run-off rates from unsecured fundings, not classified as operational deposits, received from entities other than corporates, SMEs, sovereigns, central banks, local governments, PSEs, state enterprises and MDBs, are pre-defined as part of this assumption. This assumption applies a 100% run-off on EOP balance from non-operational funding accounts that are not fully covered by deposit insurance. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (1), (2) and (3) |
| BOT-Unencumbered portion of unsecured nonoperational funding | Outflows on the unencumbered portion of lien marked unsecured deposits, provided by corporates, SMEs, sovereigns, central banks, local governments, PSEs, state enterprises and MDBs, that are not classified as operational deposits. | The run-off rates on the unencumbered portion of lien marked unsecured deposits, received from corporates, SMEs, sovereigns, central banks, local governments, PSEs, state enterprises and MDBs, that are not classified as operational deposits, are pre-defined as part of this assumption. This assumption applies a 100% run-off, on unencumbered balance from non-operational deposits by financial customers. This assumption applies a 20% run-off, on unencumbered balances from non-operational deposits that are fully covered by deposit insurance, and a 40% run-off on unencumbered balance from non-operational deposits that are not fully covered by deposit insurance. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (1), (2) and (3) |
| BOT-Unencumbered non-op funding from other entities | Outflows on the unencumbered portion of lien marked unsecured deposits, provided by entities other than corporates, SMEs, sovereigns, central banks, local governments, PSEs, state enterprises and MDBs, that is not classified as an operational deposit. | The run-off rates on the unencumbered portion of lien marked unsecured deposits, received from entities other than corporates, SMEs, sovereigns, central banks, local governments, PSEs, state enterprises and MDBs, that are not classified as operational deposits, are pre-defined as part of this assumption. This assumption applies a 100% run-off on unencumbered balance from non-operational deposits by the customers mentioned above. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (1), (2) and (3) |
| BOT-Unsecured part of secured non-op funding from Sovereign | Outflows on the unsecured portion of secured funding, provided by sovereigns, local governments or state enterprises that are not classified as operational deposits. | The run-off rates on the unsecured portion of secured fundings, received from sovereigns, local governments or state enterprises, that are not classified as operational deposits, are pre-defined as part of this assumption. This assumption applies a 20% run-off on unsecured balance from non-operational secured deposits that are fully covered by deposit insurance, and a 40% run-off on unsecured balance from non-operational funding accounts that are not fully covered by deposit insurance. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (1), (2), (3) and (4) |
| BOT-Unsecured part of secured non-op funding frm COR and SME | Outflows on the unsecured portion of secured fundings, provided by corporates, SMEs, PSEs or MDBs, that are not classified as operational deposits. | The run-off rates on the unsecured portion of secured fundings, received from corporates, SMEs, PSEs or MDBs, that are not classified as operational deposits, are pre-defined as part of this assumption. This assumption applies a 100% run-off on unsecured balance from non-operational funding provided by financial corporates and SMEs. This assumption applies a 40% run-off on unsecured balance from non-operational secured funding that are provided by non-financial corporates and SMEs, PSEs or MDB. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (1), (2), (3) and (4) |
| BOT-Unsecured part of secured non-op funding from CB | Outflows on the unsecured portion of secured funding, provided by central banks, that are not classified as operational deposits. | The run-off rates on the unsecured portion of secured funding, received from central banks, that are not classified as operational deposits, are pre-defined as part of this assumption. This assumption applies a 40% run-off on unsecured balance from non-operational secured funding that are provided by central banks. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (1), (2), (3) and (4) |
| BOT-Unsecured part of non-op funding from other entities | Outflows on the unsecured portion of secured fundings, provided by entities other than corporates, SMEs, sovereigns, central banks, local governments, PSEs, state enterprises and MDBs, that are not classified as operational deposits. | The run-off rates on the unsecured portion of secured fundings, received from entities other than corporates, SMEs, sovereigns, central banks, local governments, PSEs, state enterprises and MDBs, that are not classified as operational deposits, are pre-defined as part of this assumption. This assumption applies a 100% run-off on unsecured balance from non-operational funding provided by above mentioned entities. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (1), (2), (3) and (4) |
| BOT-Non-op funding without early withdrawal | Outflows on the unsecured funding, that cannot be withdrawn or redeemed early, provided by corporates & SMEs, sovereigns, local governments, PSEs, state enterprises or MDBs, that are not classified as an operational deposit. | The run-off rates on the unsecured fundings that cannot be withdrawn or redeemed early, that are not classified as operational deposits, received from corporates and SMEs, sovereigns, local governments, PSEs, state enterprises or MDBs, are pre-defined as part of this assumption. This assumption applies an 80% rollover i.e. 20% run-off on cash flows from non-operational funding provided by the above mentioned entities. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (3) and (5) |
| BOT-Non-op funding from CB without early withdrawal | Outflows on the unsecured fundings that cannot be withdrawn or redeemed early, provided by central banks that are not classified as operational deposits. | The outflow rates on the unsecured portion of secured fundings, that are not classified as operational deposits, received from central banks, are pre-defined as part of this assumption. This assumption applies an 80% rollover i.e. 20% run-off on cash flows from non-operational funding provided by the above mentioned entities. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (3) and (5) |
| BOT-Non-op funding frm other entity without early withdrawal | Outflows on the unsecured fundings that cannot be withdrawn or redeemed early, provided by entities other than corporates and SMEs, sovereigns, local governments, PSEs, state enterprises, MDBs or central banks, that are not classified as operational deposits. | The outflow rates on the unsecured portion of secured fundings, that are not classified as operational deposits, received from entities other than corporates, SMEs, sovereigns, local governments, PSEs, state enterprises, MDBs or central banks, are pre-defined as part of this assumption. This assumption applies a 50% rollover i.e. 50% run-off on cash flows from non-operational funding provided by above mentioned entities. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (3) and (5) |
| BOT-Non-op funding withdrawal after 30 days | Outflows on the unsecured fundings, that can be withdrawn, or redeemed prior to maturity but only after LCR horizon, provided by corporates, SMEs, sovereigns, local governments, PSEs, state enterprises or MDBs, that are not classified as operational deposits. | The outflow rates on the unsecured fundings that can be withdrawn, or redeemed prior to maturity but only after LCR horizon, that are not classified as operational deposits, received from corporates, SMEs, sovereigns, local governments, PSEs, state enterprises or MDBs, are pre-defined as part of this assumption. This assumption applies a 100% rollover i.e. 0% run-off on cash flows from non-operational funding provided by above mentioned entities. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (3) and (5) |
| BOT-Non-op funding withdrawal after 30 days by CB | Outflows on the unsecured fundings that can be withdrawn, or redeemed prior to maturity but only after LCR horizon, provided by central banks that are not classified as operational deposits. | The outflow rates on the unsecured portion of secured fundings, that are not classified as operational deposits, received from central banks, are pre-defined as part of this assumption. This assumption applies a 100% rollover i.e. 0% run-off on cash flows from non-operational funding provided by central bank. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (3) and (5) |
| BOT-Non-op funding withdrawal after 30 days by other entity | Outflows on the unsecured fundings, that can be withdrawn, or redeemed prior to maturity but only after LCR horizon, provided by entities other than corporates, SMEs, sovereigns, central banks, local governments, PSEs, state enterprises, or MDBs, that are not classified as operational deposits. | The outflow rates on the unsecured portion of secured fundings, that are not classified as operational deposits, received from entities other than corporates, SMEs, sovereigns, local governments, PSEs, state enterprises, MDBs or central banks, are pre-defined as part of this assumption. This assumption applies a 100% rollover i.e. 0% run-off on cash flows from non-operational funding provided by above mentioned entities. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (3) and (5) |
| BOT-Derivative cash outflows | Net cash outflows from derivative transactions. | The outflow rate on the 30-day cash outflows from derivative transactions is pre-defined as part of this assumption. This assumption applies a 100% outflow on derivative cash outflows, on a net basis in case of derivatives which are part of a netting agreement and on a non-net basis for other derivatives. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.1 |
| BOT-Additional Collateral Required Due to Ratings Downgrade | Increased liquidity needs arising from the requirement to post additional collateral due to a 3-notch ratings downgrade. | The outflow rate, on the additional collateral required to be posted on contracts with downgrade triggers, due to a 3-notch ratings downgrade, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the downgrade impact amount arising from a 3-notch ratings downgrade. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.2.1 |
| BOT-Loss of Re-hypothecation Rights Due to Ratings Downgrade | Increased liquidity needs arising from a loss of re-hypothecation rights on assets received as collateral due to a 3-notch ratings downgrade. | The outflow rate, on the additional cash outflows arising on contracts with downgrade triggers, that result in a loss of re-hypothecation rights due to a 3-notch ratings downgrade, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of mitigants received under re-hypothecation rights corresponding to accounts whose downgrade trigger is activated due to the 3-notch ratings downgrade. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.2.1 |
|
BOT - Increased Liquidity Needs Due to Change in Coll Value |
Increased liquidity needs arising from the potential change in the value of posted collateral. | The outflow rate on the additional cash outflow due to a potential loss in the market value of non-level 1 assets posted as collateral is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of non-level 1 posted collateral computed after netting the non-level 1 collateral received under re-hypothecation rights on the same transaction. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.2.2 |
| BOT-Increased Liquidity Needs Due to Market Valuation Change | Increased liquidity needs arising from market valuation changes on derivatives and other transactions. | The outflow rate on the collateral outflows occurring due market valuation changes on derivative and other transactions is pre-defined as part of this assumption. This assumption applies a 100% outflow rate on the largest absolute net 30-day collateral flow occurring during the preceding 24 months under the historical look-back approach. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.2.6 |
| BOT-Increased Liquidity Needs Due To Excess Collateral | Increased liquidity needs arising from excess non-segregated collateral received that can be recalled by the counterparty. | The outflow rate on the excess unsegregated collateral held by a bank, which can potentially be withdrawn by the counterparty, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of excess collateral. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.2.3 |
| BOT-Increased Liquidity Needs from Contractually Due Coll | Increased liquidity needs arising from collateral that is contractually required to be posted to the counterparty but has not yet been posted. | The outflow rate on the collateral that the bank is contractually required to post to its counterparty, but has not yet posted, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of contractually due collateral. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.2.4 |
| BOT-Increased Liquidity Needs Due to Substitutable Coll | Increased liquidity needs arising from contracts that allow a counterparty to substitute lower quality collateral for the current higher quality collateral. | The outflow rate on the collateral that the counterparty can contractually substitute with lower quality collateral is pre-defined as part of this assumption. This assumption applies an outflow rate equal to the difference between the liquidity haircuts of collateral that can be potentially substituted by the counterparty and the collateral that substitutes it. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.2.5 |
| BOT-Loss of Funding on Structured Financing Instruments | Loss of funding on asset-backed securities, covered bonds and other structured financing instruments. | The run-off rate on the maturing asset-backed securities, covered bonds and other structured financing instruments is pre-defined as part of this assumption. This assumption applies a 100% run-off on structured financing instruments that mature within the LCR horizon. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.3 |
| BOT-Loss of Funding from Financing Facility-Maturing Debt | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to inability to refinance maturing debt. | The run-off rate on the maturing amounts of asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities is pre-defined as part of this assumption. This assumption applies a 100% run-off on the EOP balance of the structured financing facilities that mature within the LCR horizon. It also applied 100% run-off on the EOP balance of the structured financing facilities that mature beyond the LCR horizon but have redemption notice period of 30 days or less. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.4 |
| BOT-Loss of Funding from Financing Facility - Return of Asst | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to potential return of assets. | The run-off rate on the returnable assets underlying asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities is pre-defined as part of this assumption. This assumption applies a 100% run-off on the value of the assets that are returnable within the LCR horizon. It also applies a 100% run-off on the value of the assets that are returnable beyond the LCR horizon but have redemption notice period of 30 days or less | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.4 |
| BOT-Loss of Funding from Financing Facility -Liquidity Draws | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to drawdown of liquidity facilities provided by the bank. | The outflow rate on the undrawn amount available to be drawn down on the liquidity facility extended to the structured financing facility is pre-defined as part of this assumption. This assumption applies a 100% outflow as a drawdown rate on the liquidity facilities extended as support for structured financing purposes. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.4 |
| BOT-Secured non-op funding without early withdrawal | Outflows on the unsecured portion of secured funding maturing beyond LCR horizon, provided by non-financial corporates & SMEs, sovereigns, local governments, PSEs, MDBs or state enterprises, that is not classified as an operational deposit. | The run-off rates on the unsecured portion of secured funding maturing beyond LCR horizon that is not classified as an operational deposit received from non-financial corporates & SMEs, sovereigns, local governments, PSEs, MDBs or state enterprises, are pre-defined as part of this assumption. This assumption applies a 80% rollover i.e. 20% run-off on unsecured portion of cash flows from secured non-operational funding provided by above mentioned entities. | Attachment 2 Paragraph (I) 2.2.2, 2.4 |
| BOT-Secured non-op frm other entity without early withdrawal | Outflows on the unsecured portion of secured funding maturing beyond LCR horizon, provided by other than corporates & SMEs, sovereigns, central banks, local governments, PSEs, state enterprises or MDBs, that is not classified as an operational deposit. | The run-off rates on the unsecured portion of secured funding maturing beyond LCR horizon that is not classified as an operational deposit received from other than corporates & SMEs, sovereigns, central banks, local governments, PSEs, state enterprises or MDBs, are pre-defined as part of this assumption. This assumption applies a 50% rollover i.e. 50% run-off on unsecured portion of cash flows from secured non-operational funding provided by above mentioned entities. | Attachment 2 Paragraph (I) 2.2.2, 2.4 |
| BOT-Secured Non-op frm central bank without early withdrawal | Outflows on the unsecured portion of secured funding maturing beyond LCR horizon, provided by central banks, that is not classified as an operational deposit. | The run-off rates on the unsecured portion of secured funding maturing beyond LCR horizon, that is not classified as an operational deposit, received from central banks, are pre-defined as part of this assumption. This assumption applies a 80% rollover i.e. 20% run-off on unsecured portion of cash flows from secured non-operational funding provided by above mentioned entities. | Attachment 2 Paragraph (I) 2.2.2, 2.4 |
| BOT-Vostro balances from financial corporate and SME | Vostro balances from financial corporate and SME | The run-off rates from vostro balances, that is not classified as an operational deposit, received from financial corporates or SMEs, are pre-defined as part of this assumption. This assumption applies a 100% run-off on EOP balance. | Attachment 2 Paragraph (I) 2.2.2, 2.4 (1), (2) and (3) |
| BOT-Drawdowns on Committed Credit Facility | Drawdowns on committed credit facilities extended to retail customers, SMEs, corporates, sovereigns, banks, central banks, MDBs, PSEs, and other legal entities. | The outflow rate on the undrawn amount available to be drawn down on the committed credit facilities extended to retail customers, SMEs, corporates, sovereigns, banks, central banks, MDBs, PSEs, and other legal entities is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, based on the counterparty type, for the aforementioned counterparties. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.5.1 |
| BOT-Drawdowns on Liquidity Facilities | Drawdowns on committed liquidity facilities extended to retail customers, SMEs, corporates, sovereigns, banks, central banks, MDBs, PSEs and other legal entities. | The outflow rate on the undrawn amount available to be drawn down on the committed liquidity facilities extended to retail customers, SMEs, corporates, sovereigns, banks, central banks, MDBs, PSEs, and other legal entities is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, based on the counterparty type, for the aforementioned counterparties. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.5.2 |
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BOT-Drawdowns on Committed Credit and Liquidity Facilities |
Drawdown on Disbursement Amount of Loans with Committed Credit and Liquidity Facilities | The outflow rate on the cash flows occurring on the loan that has been approved but not yet disbursed, within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% outflow rate as a drawdown rate. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.5.1 |
| BOT-Other Contingent Funding Obligation Outflows | Outflows related to trade and non-trade finance related instruments. | The outflow rate on the trade and non-trade finance related instruments is pre-defined as part of this assumption. This assumption applies a 0.5% run-off on such trade finance obligations. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.7 and 4.8 |
| BOT-Uncommitted Facility Outflows | Drawdowns on uncommitted credit and liquidity facilities extended to customers. | The outflow rate on the undrawn amount available to be drawn down on the uncommitted credit and liquidity facilities extended to customers is pre-defined as part of this assumption. This assumption applies a 0% drawdown on the uncommitted facilities. The drawdown rates are allowed to be updated to reflect the rates specified by national regulators. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.6 |
| BOT-Non-contractual Obligation Outflows | Outflows from non-contractual obligations related to joint ventures, minority investments, debt buy-back requests, structured products, managed funds and any other similar obligations | The outflow rate on the non-contractual obligations related to joint ventures, minority investments, debt buy-back requests, structured products, managed funds and any other similar obligations is pre-defined as part of this assumption. This assumption applies a 0% outflow rate on the non-contractual obligations. The outflow rate is allowed to be updated to reflect the rates specified by national regulators. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 5.3 |
| BOT-Contractual Dividend Payment Outflows | Outflows related to contractual payments of dividends. | The outflow rate on the dividends payable within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% outflow on dividends payable. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.10 |
| BOT-Outflows Related to Short Positions | Outflows related to customer and bank short positions. | The outflow rate on the customer and firm short positions is pre-defined as part of this assumption. This assumption specifies outflows on the short positions based on assets covering such short positions. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.9 and 4.10 |
| BOT-Managed Funds Outflows | Outflows related to managed funds | The outflow rate on the fund value of the fixed income or money market mutual funds which are close ended schemes, within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 5% outflow on fund value. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 5.2 |
| BOT-Secured non-op funding withdrawal after 30 days | Outflows on the unsecured portion of secured funding maturing beyond LCR horizon but withdrawn or redeemed within LCR horizon, provided by corporates, SMEs, sovereigns, local governments, PSEs, MDBs or state enterprises, that is not classified as an operational deposit. | The run-off rates on the unsecured portion of secured funding maturing beyond LCR horizon that is not classified as an operational deposit received from corporates, SMEs, sovereigns, local governments, PSEs, MDBs or state enterprises, are pre-defined as part of this assumption. This assumption applies a 100% rollover i.e. 0% run-off on unsecured portion of cash flows from secured non-operational funding provided by above mentioned entities that are withdrawn or redemmed within LCR horizon. | Attachment 2 Paragraph (I) 2.2.2, 2.4 |
| BOT-Secured non-op withdrawal after 30 days by central bank | Outflows on the unsecured portion of secured funding maturing beyond LCR horizon but withdrawn or redeemed within LCR horizon, provided by central banks, that is not classified as an operational deposit. | The run-off rates on the unsecured portion of secured funding maturing beyond LCR horizon that is not classified as an operational deposit received from central banks, are pre-defined as part of this assumption. This assumption applies a 100% rollover i.e. 0% run-off on unsecured portion of cash flows from secured non-operational funding provided by above mentioned entities that are withdrawn or redemmed within LCR horizon. | Attachment 2 Paragraph (I) 2.2.2, 2.4 |
| BOT-Secured non-op withdrawal after 30 days by other entity | Outflows on the unsecured portion of secured funding maturing beyond LCR horizon but withdrawn or redeemed within LCR horizon, provided by entities other than corporates, SMEs, sovereigns, central banks, local governments, PSEs, MDBs or state enterprises, that is not classified as an operational deposit. | The run-off rates on the unsecured portion of secured funding maturing beyond LCR horizon that is not classified as an operational deposit received from entities other than corporates, SMEs, sovereigns, central banks, local governments, PSEs, MDBs or state enterprises, are pre-defined as part of this assumption. This assumption applies a 100% rollover i.e. 0% run-off on unsecured portion of cash flows from secured non-operational funding provided by above mentioned entities that are withdrawn or redemmed within LCR horizon. | Attachment 2 Paragraph (I) 2.2.2, 2.4 |
| BOT-Other Contractual Obligations to Financial Institutions | Outflows related to other contractual obligations to extend funds within 30 days to financial institutions. | The outflow rate on other contractual obligations to extend funds to financial institutions, not covered in the previous assumptions, is pre-defined as part of this business assumption. This assumption applies a 100% outflow rate on such contractual obligations. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.10 |
| BOT-Other Contractual Obligations to Non-Financial Customers | Outflows related to other contractual obligations to extend funds within 30 days to retail and non-financial wholesale counterparties. | The outflow rate on the other contractual obligations to extend funds to retail and non-financial corporate customers, in excess of 50% of contractual inflows from such customers within the LCR horizon, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the excess contractual obligation amount. | BOT Notification No 9-2558 - Attachment 2 Paragraphs 4.10 Group (2) |
| Inflows | |||
| BOT - Collateral Swap Inflows | Inflows from collateral swap transactions. | The inflow rates on collateral swaps, are pre-defined as part of this assumption. This assumption applies inflows to the market value of placed collateral, when the collateral placed under a swap transaction is of higher, or equal quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral. A 0% inflow rate is applied, when the underlying asset received is used for covering short positions. | Attachment 2 Paragraph (I) 3 |
| BOT-Secured lending inflows where collateral is not reused | Inflows from secured lending transactions where the collateral received is not reused to cover customer or firm short positions. | The inflow rates on secured lending transactions where the collateral received is not reused to cover customer, or firm short positions, are pre-defined as part of this assumption. This assumption applies 0%, 15%, 50% and 100% inflow rate, when collateral received is Level 1, Level 2A, Level 2B and non-HQLA respectively, on secured balance per collateral (i.e. used portion of Collateral) for secured lending transactions specified above. | Attachment 2 Paragraph (II) 1.1 |
| BOT-Secured lending inflow where coll reused less than 30d | Inflows from secured lending transactions where the collateral received is reused to cover customer or firm short positions for a period less than the LCR horizon. | The inflow rates on secured lending transactions where the collateral received is reused to cover customer, or firm short positions for a period less than the LCR horizon, are pre-defined as part of this assumption. This assumption applies 0%, 15%, 50% and 100% inflow rate, when collateral received is Level 1, Level 2A, Level 2B and non-HQLA respectively, on secured balance per collateral (i.e. used portion of Collateral) for secured lending transactions specified earlier. | Attachment 2 Paragraph (II) 1.1 |
| BOT-Secured lending inflow where coll reused more than 30d | Inflows from secured lending transactions where the collateral received is reused to cover customer or firm short positions for a period greater than the LCR horizon. | The inflow rates on secured lending transactions, where the collateral received is reused to cover customer or firm short positions for a period greater than the LCR horizon, are pre-defined as part of this assumption. This assumption applies a 0% inflow rate on secured balance per collateral (i.e. used portion of Collateral) for secured lending transactions specified earlier. | Attachment 2 Paragraph (II) 1.2 |
| BOT-Inflows from fully performing loans | Inflows from the fully performing loans and leases. | The inflow rate on the fully performing loans and leases, is pre-defined as part of this assumption. This assumption applies a 50 % inflow (i.e. 50% rollover) on cash flows occurring within LCR horizon from loans and leases extended to retail customers and SMEs who are treated like retail customers, non-financial corporates and wholesale SMEs and other non-financial entities. Additionally, it applies a 100% inflow (i.e. 0% rollover) on cash flow occurring within the LCR horizon from loans and leases extended to central bank and financial entities. | Attachment 2 Paragraph (II) 2.1 |
| BOT-Inflows from deposits placed at financial entities | Inflows from deposits placed in banks or other financial entities. | The inflow rate on deposits placed in banks or financial entities, is pre-defined as part of this assumption. This assumption applies a 0% inflow (i.e. 100% rollover) on cash flows from deposits, with financial entities, classified as operational deposits. Whereas it applies a 100%, inflow (i.e. 0% rollover) on cash flows from deposits, with financial entities, classified as non-operational deposit. | Attachment 2 Paragraph (II) 2.1 |
| BOT-Inflow from intra-group transactions | Inflows from net intra-group transactions | Inflows from net intra-group transactions, is pre-defined as part of this assumption. This assumption applies a 100% inflow if the netted value of cash flows at a group level is positive. Another assumption, Inflow from intra-group transactions applies 100% outflow if the netted value of cash flows at group level is negative. | Section 5.3.2 |
| BOT-Inflows from soft loan | Inflows from loans issued under the soft loan program | The inflow rate on loans issued as promotional lending under the soft loan program, is pre-defined as part of this assumption. This assumption applies a 100% inflow i.e. 0% rollover on such loans. | Attachment 2 Paragraph (II) 2.2 |
| BOT-Inflows from non-HQLA debt securities held by banks | Inflows from securities not included in the stock of HQLA | The inflow rate on the performing debt securities that are excluded from the stock of HQLA, is pre-defined as part of this assumption. This assumption applies a 100% inflow (i.e. 0% rollover) on cash flows from securities classified as other assets, and securities classified as HQLA, but do not meet the eligibility criteria for inclusion in the stock of HQLA. It also applies a 0% inflow (i.e. 100% rollover) on non-performing securities, or securities that are classified as HQLA and meet the criteria for inclusion in the stock of HQLA, to avoid double counting. | Attachment 2 Paragraph (II) 2.3 |
| BOT-Derivative cash inflows | Net cash inflows expected over 30 days from derivative transactions. | The inflow rate on the 30-day cash inflows from derivative transactions, is pre-defined as part of this assumption. This assumption applies a 100% inflow on derivative cash inflows, on a net basis in case of derivatives, which are part of a netting agreement, and on a non-net basis for other derivatives. | Attachment 2 Paragraph (II) 3.1 |
| BOT-Inflows from cheques in the process of collection | Inflows from cheque in in the process of collection, which are expected to settle within LCR horizon. | The inflow rate on cheque that are in the process of collection and are expected to be settled within LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% inflow on Uncleared balance Amount. | Attachment 2 Paragraph (II) 2.2 |
| BOT-Inflows from unsettled transaction | Inflows from sale of debt securities, equities, money markets and asset backed securities, which are not settled | The inflow rates on the sale of debt securities, equities, money markets and asset-backed securities, which are not settled, is pre-defined as part of this assumption. This assumption applies a 100% inflow on unsettled amount for transactions specified earlier. | Attachment 2 Paragraph (II) 2.2 |
| BOT-Outflows from unsettled transactions | Outflows from the purchase of debt securities, equities, money markets and asset backed securities, which are not settled. | The outflow rate on the purchase of debt securities, equities, money markets and asset-backed securities, which are not settled, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the unsettled amount for transactions specified earlier. | Attachment 2 Paragraph (I) 2.4 (7) |