5.3.2 Regulation Addressed through Business Rules
The list of pre-configured rules and the corresponding reference to the regulatory requirement that it addresses is provided in the following table.
Table 4-15 List of pre-configured rules
| Rule Name | Rule Description | Regulatory Requirement Addressed | Regulatory Reference BOT Notification No 9-2558 |
|---|---|---|---|
| LRM - BOT - HQLA Level 1 - Cash and Central Bank Reserve and Undrawn portion of Committed Facilities | This rule reclassifies cash, central bank reserves, and undrawn portion of committed facilities that foreign bank branches have received from its head office as HQLA level 1 assets, in accordance with the criteria specified by BOT. | The classification of cash and central bank reserves as HQLA level 1 asset, is configured as part of this rule. Additionally, it classifies the undrawn portion of committed facilities that the branches of foreign banks have received from their head office as HQLA level 1 assets. |
Attachment 1 Paragraphs: 1.1.1, 1.1.2: Calculation Methodology Paragraph 2 |
| LRM - BOT - HQLA Level 1 - Sovereign, Central Bank and MDB Issued with Zero Risk Weight Securities | This rule reclassifies securities assigned a zero risk weight, issued by central banks, sovereigns, and multilateral development banks as HQLA level 1 assets, in accordance with the criteria specified by BOT. | The classification of marketable securities assigned a zero risk weight, issued by foreign sovereigns, central banks, and multinational development banks as HQLA level 1 assets is configured as part of this rule. | Attachment 1 Paragraph:1.1.3 |
| LRM - BOT - HQLA Level 1 - Sovereign, Central Bank and MDB Guaranteed with Zero Risk Weight Securities | This rule reclassifies securities assigned a zero risk weight, guaranteed by central banks, sovereigns, and multilateral development banks as HQLA level 1 assets, in accordance with the criteria specified by BOT. | The classification of marketable securities, assigned a zero risk weight, guaranteed by foreign sovereigns, central banks, and multinational development banks as HQLA level 1 assets is configured as part of this rule. | Attachment 1 Paragraph: 1.1.3 |
| LRM - BOT - HQLA Level 1 - Securities Issued by Sovereign and Central Bank with Non-Zero Risk Weight | This rule reclassifies securities issued by foreign sovereigns and central banks with non-zero risk weight as HQLA level 1 assets, in accordance with the criteria specified by BOT. | The classification of marketable securities, issued by foreign sovereigns, and central banks with non-zero risk weight as HQLA level 1 assets is configured as part of this rule. | Attachment 1 Paragraphs: 1.4.1.1, 1.4.1.2 |
| LRM - BOT - HQLA Level 1 - Securities guaranteed by Sovereign and Central Bank with Non-zero Risk Weight | This rule reclassifies securities, guaranteed by foreign sovereigns and central banks with non-zero risk weight as HQLA level 1 assets, in accordance with the criteria specified by BOT. | The classification of marketable securities, guaranteed by foreign sovereigns and central banks with non-zero risk weight as HQLA level 1 assets is configured as part of this rule. | Attachment 1 Paragraphs: 1.4.1.1, 1.4.1.2 |
| LRM - BOT - HQLA Level 2A - Sovereign Central Bank and MDB Securities | This rule reclassifies the securities, assigned a zero and non-zero risk weight, either issued or guaranteed by sovereigns, central banks, and multilateral development banks as HQLA level 2A assets, in accordance with the criteria specified by BOT. | The classification of marketable securities, assigned a zero and non-zero risk weight, either issued or guaranteed by sovereigns, central banks, and multinational development banks as HQLA level 2A assets is configured as part of this rule. | Attachment 1 Paragraph: 1.2.1.1 |
| LRM - BOT - HQLA Level 2A - Non-Financial Corporate Bonds and Covered Bonds | This rule reclassifies corporate debt securities and covered bonds as HQLA level 2A assets, in accordance with the criteria specified by BOT. | The classification of debt securities issued by corporates and covered bonds as HQLA level 2A assets is configured as part of this rule. | Attachment 1 Paragraphs: 1.2.1.2, 1.2.1.5 |
| LRM - BOT - HQLA Level 2A - Promissory Note and Debt by SFI and PSE | This rule reclassifies debt securities issued by specialized financial institutions and public sector enterprises as HQLA level 2A assets, in accordance with the criteria specified by BOT. Additionally, it reclassifies the promissory notes issued by the Ministry of Finance as HQLA level 2A assets. | The classification of debt securities issued by specialized financial institutions and public sector enterprises as HQLA level 2A assets is configured as part of this rule. Additionally, it classifies the promissory notes issued by the Ministry of Finance as HQLA level 2A assets. | Attachment 1 Paragraphs: 1.2.1.3, 1.2.1.4 |
| LRM - BOT - HQLA Level 2B - Sovereign, Central Bank and MDB Securities | This rule reclassifies the securities assigned a non-zero risk weight, either issued or guaranteed by sovereigns, central banks, and multilateral development banks as HQLA level 2B assets in accordance with the criteria specified by BOT. | The classification of marketable securities, assigned a non-zero risk weight, either issued or guaranteed by sovereigns, central banks, and multinational development banks as HQLA level 2B assets is configured as part of this rule. | Attachment 1 Paragraph: 1.2.2.1 |
| LRM - BOT - HQLA Level 2B - Corporate Issuer - Non Financial Common Equities | This rule reclassifies promissory notes, bills of exchange, and corporate debt securities as HQLA level 2B assets, in accordance with the criteria specified by BOT. | The classification of promissory notes, bills of exchange, and corporate debt securities as HQLA level 2B assets is configured as part of this rule. | Attachment 1 Paragraph: 1.2.2.2, 1.2.2.3 |
| LRM - BOT - Bank Own Assets - Meets HQLA Operational Requirements Flag Update |
This rule identifies whether the bank's own assets, both unencumbered assets and collaterals meet the operational requirements prescribed by BOT guidelines, except for unencumbered assets in the case of placed collateral. For unencumbered assets, it updates the Meets HQLA Operational Requirements flag. For placed collateral, it updates the Meets HQLA Operational Requirements on Unwind flag. |
The identification of whether an asset owned by the bank meets the operational requirements set forth by BOT, for its inclusion in the stock of HQLA is configured as part of this rule. | Attachment 1 Section III |
| LRM - BOT - Re-hypothecated Mitigants - Meets HQLA Operational Requirements Flag Update |
This rule identifies whether a re-hypothecated mitigant meets the operational requirements prescribed by BOT guidelines, except for being unencumbered. It updates the Meets HQLA Operational Requirements on the Unwind flag for unencumbered mitigants. |
The identification of whether collateral received from a counterparty that is further placed as collateral, meets the operational requirements set forth by BOT on Unwind, is configured as part of this rule. | Attachment 1 Section III |
| LRM - BOT - Mitigants - Meets HQLA Operational Requirements Flag Update | This rule identifies whether a mitigant meets the operational requirements prescribed by BOT guidelines, to be considered for inclusion in the stock of HQLA. It updates the Meets HQLA Operational Requirements flag for such mitigants. | The identification of whether the collateral received from counterparty meets the operational requirements set forth by BOT is configured as part of this rule. | Attachment 1 Section III |
| LRM - BOT - Instruments - Eligible High Quality Liquid Assets Flag Update |
This computation rule updates the HQLA Eligibility flag for the bank’s own unencumbered assets classified as HQLA that fulfill the HQLA operational requirements and therefore can be included in the stock of HQLA. Additionally, it updates the Eligible HQLA on the Unwind flag for all assets placed as collaterals that are classified as HQLA and fulfill the HQLA operational requirements on Unwind and therefore are to be unwound. |
The identification of whether a bank's own asset classified as an HQLA, meets all the operational criteria, and is therefore eligible to be included in the stock of HQLA, is configured as part of this rule. | Attachment 1 Section III |
| LRM - BOT - Mitigants - Eligible High Quality Liquid Assets Flag Update | This computation rule updates the HQLA Eligibility flag for mitigants classified as HQLA that fulfill the HQLA operational requirements prescribed by BOT guidelines, and therefore can be included in the stock of HQLA. | The identification of whether the collateral received from counterparty, classified as an HQLA, meets all the operational criteria and is therefore eligible to be included in the stock of HQLA, is configured as part of this rule. | Attachment 1 Section III |
| BOT LCR - Stock Adjustment Reclassification - Level 1 - Addition |
This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon, which are required to be unwound and reclassifies them to the appropriate adjustment rule. For secured lending transactions, where the collateral received is a non-level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the amount paid. For asset exchange transactions, where the collateral received is a non-level 1 HQLA and the collateral posted in a level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted. |
The identification of secured lending and asset exchange transactions required to be unwound, and the amount to be added to the stock of level 1 assets due to such an unwind is configured as part of this rule. | Attachment 1.1 Paragraph 1 |
| BOT LCR - Stock Adjustment Reclassification - Level 1 - Deduction |
This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon, which are required to be unwound and reclassifies them to the appropriate adjustment rule. For secured funding transactions, where the collateral posted is a non-level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the amount received. For asset exchange transactions, where the collateral posted is a non-level 1 HQLA, and the collateral received in a level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received. |
The identification of secured funding and asset exchange transactions required to be unwound, and the amount to be deducted from the stock of level 1 assets due to such an unwind is configured as part of this rule. | Attachment 1.1 Paragraph 1 |
| BOT LCR - Stock Adjustment Reclassification - Level 2A - Addition |
This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon, which are required to be unwound and reclassifies them to the appropriate adjustment rule. For secured funding transactions, where the collateral posted is a level 2A HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted. For asset exchange transactions, where the collateral received is HQLA and the collateral posted is a level 2A asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted. |
The identification of secured funding and asset exchange transactions required to be unwound, and the amount to be added to the stock of level 2A assets due to such an unwind is configured as part of this rule. | Attachment 1.1 Paragraph 1 |
| BOT LCR - Stock Adjustment Reclassification - Level 2A - Deduction |
This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon, which are required to be unwound, and reclassifies them to the appropriate adjustment rule. For secured lending transactions, where the collateral received is a level 2A HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received. For asset exchange transactions, where the collateral posted is HQLA and the collateral received is a level 2A asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received. |
The identification of secured lending and asset exchange transactions required to be unwound, and the amount to be deducted from the stock of level 2A assets due to such an unwind is configured as part of this rule. | Attachment 1.1 Paragraph 1 |
| BOT LCR - Stock Adjustment Reclassification - Level 2B - Addition |
This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon, which are required to be unwound, and reclassifies them to the appropriate adjustment rule. For secured funding transactions, where the collateral posted is a level 2B HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted. For asset exchange transactions, where the collateral received is HQLA and the collateral posted is a level 2B asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the collateral posted. |
The identification of secured funding and asset exchange transactions required to be unwound, and the amount to be added to the stock of level 2B assets due to such an unwind is configured as part of this rule. | Attachment 1.1 Paragraph 1 |
| BOT LCR - Stock Adjustment Reclassification - Level 2B - Deduction |
This rule identifies all the secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon, which are required to be unwound, and reclassifies them to the appropriate adjustment rule. For secured lending transactions, where the collateral received is a level 2B HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received. For asset exchange transactions, where the collateral posted is HQLA and the collateral received is a level 2B asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the collateral received. |
The identification of secured lending and asset exchange transactions required to be unwound, and the amount to be deducted from the stock of level 2B assets due to such an unwind is configured as part of this rule. | Attachment 1.1 Paragraph 1 |
Table 4-16 List of rules
| Rule Name | Rule Description | Regulatory Requirement Addressed | Notification of the Bank of Thailand No. FPG. 1 /2561 |
|---|---|---|---|
| LRM - Netted Derivatives - Derivative Liability Amount Calculation | This rule calculates the derivative liability amount for the netted contracts by considering the absolute value of the sum of mark to market value of all the underlying contracts associated with the netting agreement. | All the derivative contracts associated with the netting agreement, where the aggregate mark to market value of the contracts prior to any variation margin adjustment is negative is computed as part of this rule. | MC Paragraph: 4.2.2 (2.2.8) |
| LRM - Netted Derivatives - Posted Collateral Margin Amount Calculation | This rule calculates the sum of the margin amount of the variation margin type collaterals posted, related to the netted derivatives at the netting agreement level and updates this information in the FSI_LRM_INSTRUMENT table. | The rule computes the value of all the collaterals posted as a variation margin for the netted derivative contracts related to the netting agreement. | MC Paragraph: 4.2.2 (2.2.7) |
| LRM - Derivatives - Posted Collateral Margin Amount Calculation | This rule calculates the sum of the margin amount of the variation margin collaterals posted, related to the derivative contracts and updates this information in the FSI_LRM_INSTRUMENT table. | The rule computes the value of all the collaterals posted as a variation margin for the non-netted derivative contracts. | MC Paragraph: 4.2.2 (2.2.7) |
| LRM - Netted Derivatives - Derivative Asset Amount Calculation | This rule calculates the sum of the margin amount of cash variation margin received, related to the derivative contracts and updates this information in the FSI_LRM_INSTRUMENT table. | All the derivative contracts associated with the netting agreement, where the aggregate mark to market value of the contracts prior to any variation margin adjustment is positive, is computed as part of this rule. | MC Paragraph: 4.2.2 (2.2.8) |
| LRM - Derivatives - Received Variation Margin Calculation | This rule calculates the derivative asset amount for the netted derivative contracts at the netting agreement level by considering the absolute value of the sum of the mark to market value of all the underlying contracts associated with the netting agreement. | The rule computes the sum of the cash amount received as a variation margin for the non-netted derivative contracts. | MC Paragraph: 4.2.2 (2.2.7) |
| LRM - Netted Derivatives - Received Variation Margin Calculation | This rule calculates the sum of the margin amount of cash variation margin received related to the netted derivative contracts at the netting agreement level and updates this information in the FSI_LRM_INSTRUMENT table. | The rule computes the sum of the cash amount received as a variation margin for the netted derivative contracts associated with the netting agreement. | MC Paragraph: 4.2.2 (2.2.7) |
| LRM - Derivatives - Additional Derivative Liability Amount Calculation | This rule calculates the additional portion of the derivative liabilities as a percentage of the derivative liability. This percentage is parameterized in the setup master table and can be edited. This value gets updated in the FSI_LRM_INSTRUMENT table. | 20% of all the 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 configured in this rule. This additional derivative liability amount is used for the purpose of RSF computation. | MC Paragraph: 4.2.2 (2.2.8) |
| BOT - Derivatives - Posted Collateral Initial Margin Amount Calculation | This rule calculates the sum of the margin amount of initial margin posted associated with the derivative contracts and updates this information in the FSI_LRM_INSTRUMENT table. | The rule computes the value of all the collaterals posted as initial margin for the non-netted derivative contracts. | MC Paragraph: 4.2.2 (2.2.7) |
| BOT - Netted Derivatives - Posted Collateral Initial Margin Amount Calculation | This rule calculates the sum of the margin amount of the initial margin type collaterals posted related to the netted derivatives at the netting agreement level and updates this information in the FSI_LRM_INSTRUMENT table. | The rule computes the value of all the collaterals posted as initial margin for the netted derivative contracts related to the netting agreement. | MC Paragraph: 4.2.2 (2.2.7) |
| LRM - Derivatives - Received Initial Margin Calculation | This rule calculates the sum of the margin amount of cash initial margin received related to the derivative contracts and updates this information in the FSI_LRM_INSTRUMENT table. | The rule computes the value of all the collaterals received as initial margin for the non-netted derivative contracts. | MC Paragraph: 4.2.2 (2.2.7) |
| LRM - Netted Derivatives - Received Initial Margin Calculation | This rule calculates the derivative asset amount for the netted derivative contracts at the netting agreement level by considering the absolute value of the sum of the mark to market value of all the underlying contracts associated with the netting agreement. | The rule computes the value of all the collaterals received as initial margin for the netted derivative contracts related to the netting agreement. | MC Paragraph: 4.2.2 (2.2.7) |
| LRM - Derivatives - Posted Collateral Default Funding Amount Calculation | This rule calculates the sum of the default funding amount of the collateral posted associated with the derivative contracts and updates this information in the FSI_LRM_INSTRUMENT table. | This rule calculates the default fund of a Central Counterparty (CCP) amount of the posted collaterals for the non-netted derivative contracts as per BOT guidelines. | MC Paragraph: 4.2.2 (2.2.7) |
| LRM - Netted Derivatives - Posted Collateral Default Funding Amount Calculation | This rule calculates the sum of the default funding amount of the collaterals posted related to the netted derivatives at the netting agreement level and updates this information in the FSI_LRM_INSTRUMENT table. | This rule calculates the default fund of a CCP amount of the posted collaterals for the netted derivative contracts as per BOT guidelines. | MC Paragraph: 4.2.2 (2.2.7) |