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BOT Notification No 4-2556 (7 September 2017)-check

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Notification of the Bank of Thailand No. FPG. 4/2556

Re: Disclosure Requirement on Capital Adequacy for a Commercial Bank

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1. Rationale

The Bank of Thailand issued the Notification of the Bank of Thailand No. FGP. 25/2552 Re: Disclosure Requirement on Capital Adequacy for a Commercial bank in order to promote the supervision by the market discipline, as the commercial bank must have transparency in their disclose of information on capital adequacy and risk exposures, and the market participants are able to use such information in assessing the risk profile of the commercial bank. This market mechanism would encourage commercial bank to have sound risk management system, in addition to internal control and supervision by the Bank of Thailand. In issuing this Notification, the Bank of Thailand refers to the guideline as in the Third Pillar – Market Discipline in International Convergence of Capital Measurement and Capital Standards - A Revised Framework (Comprehensive version : June 2006) of Basel Committee on Banking Supervision (BCBS).

The Bank of Thailand revised the regulations on capital supervision for commercial bank by referring to the Basel III framework: A global regulatory framework for more resilient bank and banking system (Revised version: June 2011) of the BCBS in order to ensure that commercial bank will have high quality and adequate quantity of capital to absorb losses that may arise both in a period of stress and in ordinary circumstances, and the stability of financial system would be as a result. Therefore, it is deemed appropriate to make revisions to the regulations on disclosure of capital adequacy for commercial bank, as in such Notification, in order to reflect the capital adequacy and risk exposures in a different scheme, as well as, the market participants can accurately understand and make use of the disclosed information. The essences of such revisions are as follows:

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1. Makes revisions to regulations on disclosure of information on capital adequacy, capital structure and component of capital to be in line the Notification of the Bank of Thailand Re: Capital Component for Locally-Registered Commercial Bank and Capital Component for Foreign Bank Branch

2. Requires commercial bank to disclose the information in accordance with Composition of Capital Structure Disclosure Requirements (June 2012) of the BCBS, which are:

2.1 Main features of regulatory capital instrument; in order that the market participants are informed of and understand the features of financial instruments issued by commercial bank, and whether such instruments can be included in the capital in accordance with the specified requirements

2.2 Disclosure of capital under the Basel III during the transitional period; in order that the market participants are informed of changes in the capital in the future due to the features of the items as specified in the Notification of the Bank of Thailand Re: Capital Component for Locally-Registered Commercial Bank and Capital Component for Foreign Bank Branch

3. Make revisions to the disclosure of capital requirement for operational risk to be in line with the Notification of the Bank of Thailand Re: Regulations on Minimum Capital Requirement for Operational Risk, as well as, Regulations on Minimum Capital Requirement for Operational Risk under the Advanced Measurement Approach (AMA), as additionally specified.

Furthermore, certain contents are also revised to be more apparent.

2. Statutory Power

By virtue of Sections 31 of the Financial Institutions Businesses Act B.E. 2551 (2008), which contain some provisions restricting private rights and liberties while it is enacted under Section 29 together with Section 31, Section 33, Section 36, Section 39, Section 41 and Section 43 of the Constitution of the Kingdom of Thailand by virtue of the provisions of the Law, the Bank of Thailand hereby issued the Regulations on Disclosure Requirement on Capital Adequacy for a Commercial bank and all commercial banks shall comply with accordingly.

3. Scope of Application

This Notification shall apply to all commercial banks according to the Financial Institutions Businesses Act B.E. 2551 (2008).

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4. Notification to be Repealed

The Notification of the Bank of Thailand No. FPG. 25/2552 Re: Disclosure Requirement on Capital Adequacy for a Commercial bank, dated 14 December 2009 (B.E. 2552)

5. Content

5.1 Definitions

Under this Notification:

“Commercial bank” means a commercial bank under the Financial Institutions Businesses Act B.E. 2551 (2008)

“Locally-registered commercial bank” means a commercial bank under the Financial Institutions Businesses Act B.E. 2551 (2008), except a foreign commercial bank branch.

“Foreign bank branch” means a branch of a foreign commercial bank licensed to undertake commercial banking business in Thailand.

“Management of a commercial bank” means all executive directors and top executive of accounting department

5.2 Principles

Under this Notification, commercial banks shall disclose qualitative and quantitative information only those with regards to the capital supervision, namely, capital, risk profile, risk assessment process and capital adequacy of commercial banks, as well as, composition of capital under the BCBS requirements.

The information disclosed under this Notification is met only the minimum requirements to be complied with by the commercial banks. Therefore, commercial banks would disclose information in more details than the requirements. And, certain information required to be disclosed under this Notification may be the same as those to be disclosed under other regulations or guidelines, still, commercial banks have to comply with the specified regulations in order to maximize the efficiency of the disclosure. Furthermore, the Bank of Thailand provides examples of quantitative disclosure for each item so that commercial banks would have clearer understanding about the contents of disclosed information. Nevertheless, commercial banks are not required to disclose information in the same format as given in the examples and may consider using other forms of information

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disclosure as deemed appropriate, provided that the content of the disclosed information is in accordance with the minimum requirements specified by the Bank of Thailand.

If commercial banks applying for approval to use specific approach to calculate risk-weighted assets or credit equivalent assets are not able to comply with minimum requirements for the disclosure under this Notification, the Bank of Thailand may not grant the approval to use such calculation approach.

Under this Notification, the Bank of Thailand requires locally-registered commercial banks to disclose information only on a solo basis only. Foreign bank branches shall disclose only information of the branch in Thailand (Standalone basis) and disclose the source of parent bank’s information on a consolidated basis as a reference for information users.

5.3 General principles of information disclosure

5.3.1 Commercial banks shall set the disclosure policy in accordance with the requirements specified in this Notification. Such policy must be approved by board of directors of the commercial banks or other appointed committees. The policy must also specify the scope of information to be disclosed and internal control system for such disclosure.

5.3.2 Disclosed information must be accurate and consistent with the information received and used by senior management and the board of directors for managing risk of commercial banks.

5.3.3 The management of commercial banks is responsible for accuracy and appropriateness of the information disclosed under this Notification and ensures that the process for assessing the appropriateness of the disclosure and the process for verifying the accuracy of information are put in place properly.

5.4 Mediums for information disclosure

5.4.1 Commercial banks shall disclose all information as specified in this Notification on their websites. The management of commercial banks may consider disclosing the formation through other mediums, as deemed appropriate; if such disclosure makes market participants retrieve the information more conveniently.

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In case of foreign bank branches, if there is no websites of their own, they can use the website of the parent banks as the mediums for information disclosure. At least, the information to be disclosed in accordance with this Notification must be in Thai or English.

5.4.2 Commercial banks shall clearly indicate the medium that is used for information disclosure under 5.4.1 and the date of disclosure in the following sources:

(1) Commercial bank’s website

(2) At the end of summary statement of assets and liabilities1

(3) Notes to the financial statement for 12-month accounting period2

5.4.3 Commercial banks disclosing information under this Notification together with information disclosed under other regulations shall inform information users which parts of disclosure are made under requirements of this Notification.

5.4.4 In case the information required to be disclosed under this Notification is the same as those disclosed under the accounting standards e.g. information disclosed in annual report, supporting information in financial statements and other related information, such information must be audited by the external auditors. This is except for foreign banks branches where they are not required to prepare the audited financial statements for the 6-month period; therefore, for information to be disclosed on a semi-annual basis under this Notification, the foreign banks branches can use information from unaudited financial statements for such disclosure.

5.4.5 In case the information to be disclosed under this Notification is the same as those disclosed under notifications or requirements of the Securities and Exchange Committee e.g. management’s discussion and analysis, such information must be accurate in accordance with the requirements specified by Securities and Exchange Committee

5.4.6 In case where commercial banks wish to amend the existing mediums or use additional mediums for the disclosure under this Notification, the commercial banks shall inform the Financial Institutions Monitoring and Analysis Department,

1 Refer to the Notification of the Bank of Thailand Re: Preparation and Disclosure of Summary Statement of Assets and Liabilities 2 Refer to the Notification of the Bank of Thailand Re: Preparation and Announcement of Financial Statements of Commercial Banks and Parent Companies of Financial Holding Groups

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Supervision Group, the Bank of Thailand, no less than 15 days prior to disclosing information through the new mediums.

5.5 Disclosure of material information

5.5.1 Commercial banks shall disclose material information, that is, information where the omission or misstatement could influence the assessment or decision of information users. This requirement is in line with the materiality principle of the accounting standards.

5.5.2 Commercial banks should carefully determine the content of material information and shall disclose the principle used to determine materiality of information to the information users, as well as maintain consistency in determining materiality of information disclosed to the public.

5.6 Proprietary and confidential information

Information required by the Bank of Thailand to be disclosed, and commercial banks deem that disclosing of such information would result in negative impact as they are the confidential business information or if disclosed to the public, the competitive position of commercial banks would be detrimental and or undermined, commercial banks shall disclose such information in an aggregate term. However, the commercial banks must justify why such information will not be disclosed, when examined by the Bank of Thailand.

5.7 Disclosure frequency and timeframe

5.7.1 Commercial banks shall disclose the information in accordance with minimum requirements for information to be disclosed by the commercial Banks which are classified into 4 main sets, namely, Set A: Scope of application; Set B: Capital; Set C: disclosure related to risk assessments of commercial banks; and Set D: Additional disclosure of capital under the BCBS guideline. Each set consists of both qualitative and quantitative disclosure (details in Attachment 1). The Bank of Thailand provides the examples of quantitative disclosure for each item so that commercial banks can have clearer understanding on the information to be disclosed (details in Attachment 2). Nevertheless, commercial banks may consider using other forms of disclosure as deemed appropriate, provided that the content of the disclosed information is in accordance with the minimum requirements specified by the Bank of Thailand.

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As such, the contents in Set D, as the Bank of Thailand requires commercial banks to disclose additional capital under the BCBS guideline, are as follows:

(1) Key features of financial instruments included in the capital (details in Attachment 3)

(2) Disclosure of capital in transitional period under the Basel III framework: Commercial banks shall disclose total amount of capital, adjustments and deductions in the transitional period under the Basel III framework as specified in transitory provision of the Notification of the Bank of Thailand Re: Capital Components for Locally-Registered Commercial Banks or the Notification of the Bank of Thailand Re: Capital Components for Foreign Bank Branches, as the case maybe. The total amount of each item shall be disclosed, classified by Common equity tier 1, Additional tier 1 and Tier 2 capital for an amount that can be included in the capital, and an amount that cannot be included in the capital shall also be disclosed (details in Attachment 4).

5.7.2 Commercial banks shall disclose the information under 5.7.1 with different disclosure frequencies, as follows:

Set Information to be disclosed Frequency3

A Scope of application under Basel III Annually

B Capital

Item 1 Capital structure

Item 2 Capital adequacy

Semi-annually

C Risk exposures and assessment

I. General qualitative disclosure (for all types of risk exposure)

II. Qualitative and quantitative disclosure for each type of risk exposure

Annually

3 All qualitative information shall be disclosed on an annual basis. Nevertheless, if there is signification change in qualitative information during the disclosure period, commercial banks shall update the information accordingly.

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Set Information to be disclosed Frequency3

C Credit risk (excluding equity exposure)

Item 1 General disclosure for credit risk exposure

Item 2 Credit risk exposure

2.1 SA

2.2 IRB

Item 3 Credit risk mitigation

3.1 SA

3.2 IRB

Annually

Market risk for trading book position

Item 4 Market risk exposure

4.1 Standardized approach

4.2 Internal model approach

Semi-annually

Operational risk

Item 5 Operational risk exposure

Annually

Equity exposure

Item 6 Equity exposure in banking book

Annually

Interest rate risk in banking book

Item 7 Interest rate risk exposure in banking book

Annually

D Composition of capital disclosure requirements under the BCBS guideline

Item 1 Key features of financial instruments included in the capital

Item 2 Disclosure of capital in transitional period under the Basel III framework

Semi-annually

Commercial banks shall disclose all information within 4 months from the period ending.

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5.7.3 For quantitative information: Commercial banks shall disclose the information of current and previous period so that information users can easily make the comparison, except for the first disclosure under this notification or the case where the Bank of Thailand specifies otherwise.

5.7.4 For qualitative information: Commercial banks are not required to disclose qualitative information by making comparison to that of the previous period. However, if there are significant changes in risk management policy of commercial banks during the disclosure period, commercial banks shall keep the disclosed information up to date.

5.7.5 Commercial banks shall disclose the information in Baht.

6. Disclosure Timeframe

The Bank of Thailand specifies the period for disclosure under this Notification to be line with locally-registered commercial banks and foreign bank branches having 6-month accounting period ended in June and December. The information at the end of the first half of 2013 (B.E. 2556) shall be used as the information to be disclosed on a semi-annual basis, and the information at the end of 2013 (B.E. 2556) shall be used as the information to be disclosed on an annual basis. However, for foreign bank branches whose accounting periods different from these e.g. Japanese bank branches where the accounting periods are ended in March and September, such foreign bank branches shall use the information at the end of September 2013 (B.E. 2556) as the information to be disclosed on semi-annual basis and information at the end of March 2014 (B.E. 2557) as the information to be disclosed on an annual basis.

As such, commercial banks shall keep the information disclosed under this notification at least 5 years from the period end for examination and reference by the Bank of Thailand.

7. Transitional Provisions

For disclosure of capital adequacy for the last period of 2012 (B.E. 2555), commercial banks shall comply with regulations as specified in the Notification of the Bank of Thailand No. FPG. 25/2552 Re: Disclosure Requirement on Capital Adequacy for a Commercial bank, dated 14 December 2009 (B.E. 2552) until the timeframe as specified in 6 is met.

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8. Effective Date

This Notification shall come into force on the date following the day of its publication in the Royal Thai Government Gazette.

Announced on 2rd May 2013 (B.E. 2556)

(Mr. Prasarn Trairatvorakul) Governor

Bank of Thailand


Attachments with regards to the Disclosure Requirement on Capital Adequacy for Commercial banks

Attachment 1: Minimum disclosure requirements for commercial banks

- Set A: Scope of application under Basel III

- Set B: Capital

- Set C: Risk exposure and assessment of commercial bank

- Set D: Additional disclosure of capital under the BCBS guideline

Attachment 2: Example tables for quantitative disclosures (Set B and Set C)

Attachment 3: Additional disclosure of capital under the BCBS requirements (Set D)

Attachment 4: Disclosure requirement of capital in transitional period under the Basel III (Set D)

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Minimum disclosure requirements for commercial banks

Set A: Scope of application

Locally-registered commercial banks shall disclose information as specified in this Notification only on a solo basis. Foreign bank branches shall disclose only information of a branch in Thailand (on a standalone basis) and disclose the source of parent bank’s information on a consolidated basis as reference for information users.

Set B: Capital

Item 1: Capital structure

Qualitative disclosure

Summarized information on material components of capital classified by type of capital as specified by the Bank of Thailand, as follows: 1. Tier 1 capital, namely, Common equity tier 1 (CET1) and

Additional tier 1; and 2. Tier 2 capital

Quantitative disclosure (Example of the disclosure in Table 1 of Attachment 2)

Locally-registered commercial banks1 1. Tier 1 capital: Locally-registered commercial banks shall disclose the

following: 1.1 CET1, comprising of

1.1.1 Paid-up capital (common stock) deducted by buyback of common stock

1.1.2 Warrants to buy common stock 1.1.3 Premium (Discount) on the value of common stock (net) 1.1.4 Legal reserves 1.1.5 Reserves appropriated from net profit at the end of

accounting period in accordance with the resolution of shareholders general meeting or the rules specified by locally-registered commercial banks. Reserves, however, do not include reserves for assets devaluation, reserves for dividend payment and reserves for debt repayment

1 Refer to the Notification of the Bank of Thailand Re: Capital Components for Locally-Registered Commercial Banks

Attachment 1


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1.1.6 Net profits after appropriated in accordance with the resolution of shareholders general meeting or the rules specified by locally-registered commercial banks

1.1.7 Other items of owner’s equity:

Accumulated other comprehensive income

Other items from owner changes 1.1.8 Adjustments not allowed to affect the capital 1.1.9 Items to be deducted from CET1:

Total amount of items to be deducted from CET1 e.g. net losses, goodwill, intangible assets, deferred tax asset (DTA), excluding buyback of common stock as specified in 1.1.1. Locally-registered commercial banks are not required to elaborate such deductions.

Items to be deducted from Additional tier 1, for remaining parts, in case where Additional tier 1 is insufficient for the deductions in full

1.2 Additional tier 1, comprising of 1.2.1 Proceeds received from issuing preferred shares with

non-accrued dividends deducted by buyback of preferred shares

1.2.2 Warrants to buy preferred shares with non-accrued dividends

1.2.3 Proceeds received from issuing debt instruments with claims subordinated to depositors, general creditors and subordinated debts, including debt instruments eligible for inclusion in Tier 2 capital

1.2.4 Premiums (or discounts) on value of debt instruments under 1.2.1 to 1.2.3 received by locally-registered commercial banks

1.2.5 Deductions from Additional tier 1

Total amount of items to be deducted from additional tier 1 e.g. direct and indirect investments in additional tier 1 of other commercial banks or finance companies, excluding buyback of preferred shares with non-accrued dividends as specified in


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1.2.1. Locally-registered commercial banks are not required to elaborate such deductions.

Items to be deducted from Tier 2 capital, for remaining parts, in case where Tier 2 capital is insufficient for the deductions in full

2. Tier 2 capital: Locally-registered commercial banks shall disclose the following: 2.1 Proceeds received from issuing preferred shares with

accrued dividends deducted by buyback of preferred shares

2.2 Warrants to buy preferred shares with accrued dividends 2.3 Proceeds received from issuing debt instruments with

claims subordinated to depositors and general creditors 2.4 Premiums (or discounts) on value of instruments under 2.1

to 2.3 received by locally-registered commercial banks 2.5 General provision for performing loans 2.6 Surplus of provision 2.7 Total amount of items to be deducted from Tier 2 capital

e.g. direct and indirect investments in Tier 2 capital of other commercial banks or finance companies, excluding buyback of preferred shares with accrued dividends as specified in 2.1. Locally-registered commercial banks are not required to elaborate such deductions.

3. Total regulatory capital (equal to 1 + 2)

(Example of disclosure in Table 2 of Attachment 2)

Foreign bank branches 2 1. Assets required to be maintained under Section 32 of the Financial

Institutions Business Act B.E. 2551 2. Sum of net capital for maintenance of assets under Section 32 and

net balance of inter-office accounts (equal to 2.1 + 2.2) 2.1 Net capital for maintenance of assets under Section 32 2.2 Net balance of inter-office accounts, where the branch is the

debtor (the creditor) to the head office and other branches

2 Refer to the Notification of the Bank of Thailand Re: Capital Components for Foreign bank branches


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located in other countries, the parent company and subsidiaries of the head office.

3. Total regulatory capital (equal to 3.1 – 3.2) 3.1 Total regulatory capital before deductions (The lowest amount

among 1, 2, or 2.1) 3.2 Sum of deductions that the Bank of Thailand requires to deduct

from capital e.g. goodwill, intangible assets. Foreign bank branches are not required to elaborate such deductions.

Item 2: Capital adequacy


Summary of the approach and rationale that commercial banks apply in assessing the adequacy of their capital for absorbing risk exposures from current and future business operations

Quantitative disclosure (Example of disclosure in Table 3 - 4 of Attachment 2)

1. Minimum capital requirements for credit risk classified by type of assets3, as defined under the credit risk-weighted asset calculation approach that commercial bank choose e.g. the SA or IRB4 5; including the minimum capital requirements for securitization transactions that the Bank of Thailand shall further specify.


2. Minimum capital requirement for equity exposures under the IRB (only for the commercial banks that apply the IRB) as follows: 2.1 Minimum capital requirements for equity exposures exempted

from risk-weighted assets calculation under the IRB 2.2 Minimum capital requirements for equity exposures under the

IRB 2.2.1 The market-based approach

(1) Simple risk weight approach

3 Commercial banks using the IRB should classify types of retail exposure in accordance with the Notification of the Bank of Thailand Re: Regulations on the Calculation of Credit Risk-Weighted Assets for Commercial Banks under the Internal Ratings-Based Approach (IRB), which are1) Residential mortgage 2) Qualifying revolving credit for retail exposure and 3) Other retail exposures. Except the case where the portfolios are insignificant in size (relative to the total credit exposures) and the risk profile of each type of exposure is similar; such that separate disclosure of information would not assist information users to better understanding on the risk profile of the banks’ retail exposure. 4 Commercial banks that using the IRB for calculation of credit risk-weighted assets and have insignificant asset portfolios where commercial banks use the SA for calculation of credit risk-weighted assets for such portfolios, the commercial banks shall disclose information related to such portfolios under the SA as well. 5 Applied to commercial banks using the IRB only


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(2) Internal model approach (for equity exposures in banking book) 2.2.2 PD/LGD approach


3. Minimum capital requirements for market risk for position in the trading book under each approach chosen for the calculation of minimum capital requirements for market risk e.g. the Standardized approach or Internal model approach. Commercial banks using the mixed approach shall disclose the minimum capital requirements according to the Standardized approach and Internal model approach.

( Example of disclosure in Table 7 of Attachment 2)

4. Minimum capital requirements for operational risk for each approach chosen for the calculation of minimum capital requirements for operational risk e.g. BIA or SA-OR or ASA or AMA

( Example of disclosure in Table 8 of Attachment 2)

5. The ratio of total capital to risk-weighted assets of commercial banks (credit, market and operational risk), the ratio of Tier 1 capital6 to risk-weighted assets of commercial banks (credit, market and operational risk), and the ratio of CET17 to risk-weighted assets of commercial banks (credit, market and operational risk). The ratios must be disclosed comparing with the minimum capital ratios as specified by the Bank of Thailand.

Set C: Risk exposure and assessment of commercial banks

Commercial banks shall disclose the information on their risk exposures e.g. credit, market and operational risk, and information on credit risk mitigation, as well as techniques applied to identify, measure, monitor and control such exposures. This information is the important factors that the stakeholders of commercial banks must use in assessing the overall risk profile of the commercial banks.

6 To be disclosed by locally-registered commercial banks only 7 To be disclosed by locally-registered commercial banks only


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The following are information that the Bank of Thailand requires commercial banks to disclose in Set C:

I. General qualitative disclosure requirements

In all significant risk exposures, commercial banks must describe their risk management objectives and policies, including:

- Risk management processes

- Structures and responsibilities of relevant risk management unit

- Scopes and nature of risk measuring, monitoring and reporting system

- Policies for risk hedging or mitigation, as well as processes for monitoring effectiveness of such risk hedging or mitigation

- Guidelines for setting risk controlling limits

- Roles and responsibilities of relevant internal auditors of commercial banks

II. Qualitative and quantitative disclosure for each type of risk

1. Disclosure of credit risk information

Credit risk information that the Bank of Thailand requires commercial banks to disclose is divided into 3 items, as follows:

Item 1: General disclosures of credit risk exposures8

Qualitative information

Commercial banks shall disclose the following: - Details of general qualitative information under Section I. for

credit risk - Definition of past due and impairment9

8 Excluding equity exposures on statement of financial position that the Bank of Thailand requires to be disclosed separately under Item 6: Equity exposures in the banking book. Nevertheless, off balance sheet items which are OTC derivatives that Bank of Thailand requires to be disclosed under this Item shall include equity-related derivatives. All commercial banks are required to disclose the information specified under this Item ,regardless of approach chosen for calculation of credit risk-weighted assets since the commercial banks have currently disclosed most parts of the information in accordance with accounting standards or regulations of Securities and Exchange Commission 9 In accordance with relevant accounting standards


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- Guidelines/statistical methods (if any) for the calculation of general provision and specific provision

- For commercial banks that use the IRB but have not yet fully adopted the IRB for all significant asset portfolios during the phase-in period of the IRB, the commercial banks shall specify the type of assets that use the SA, FIRB, and AIRB, as well as their plans and timeframe in adopting the IRB for all significant asset portfolios as specified in the Notification of the Bank of Thailand Re: Regulations on the Calculation of Credit Risk-Weighted Assets for Commercial Banks under the Internal Ratings-Based Approach (IRB).

Quantitative information (Example of disclosure in Table 9 of Attachment 2)

1. Outstanding amounts of on-balance sheet assets and off-balance sheet items10 of commercial banks as specified by the Bank of Thailand before credit risk mitigation e.g. financial collateral or on-balance sheet netting. Commercial banks shall disclose the outstanding amount at the end of reporting period comparing with the average outstanding amount11during the reporting period. The commercial banks shall also disclose the outstanding amounts classified by major types of exposure, as follows: 1.1 On-balance sheet assets:

1.1.1 Loans (net)12 (including interbank and money market items)

1.1.2 Investment in debt securities (net)13 (including investments in receivables)

1.1.3 Deposits including accrued interest receivables 1.1.4 Derivatives

1.2 Off-balance sheet items14: 1.2.1 Aval of bills, guarantees, and letter of credits

10 Before multiplying by credit conversion factors 11 If the period-end outstanding amount is not significantly different from the average outstanding amount over the period, commercial banks need not disclose the average outstanding amount over the period 12 Including accrued interests and net of deferred incomes, allowances for doubtful accounts and revaluation allowances for debt restructuring 13 Excluding accrued interest receivables and net of allowance for doubtful accounts and impairment of assets 14 Before multiplying by credit conversion factor


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1.2.2 OTC derivatives15 1.2.3 Undrawn committed line


2. Outstanding amount classified by country or geographic area of debtors according to commercial bank’s internal management for each type of significant exposures as listed in Item 1. Commercial banks shall also clearly specify the criteria used for classifying the outstanding amount.


3. Outstanding amount classified by residual maturity for each type of significant exposures as listed in Item 1 by 2 groups of residual maturity, namely, not exceeding 1 year and exceeding 1 year

(Example of disclosure in Table 12-13 of Attachment 2)

4. Commercial banks shall disclose the following information in details: 4.1 Outstanding amount of loans including accrued interest

receivables (including interbank and money market items) and investment in debt securities (including investments in receivables) before credit risk mitigation, classified by country or geographic area of debtors according to 2 and in accordance with asset classification as specified by the Bank of Thailand16

4.2 Provisions (classified by general provision and specific provision: general provision shall be disclosed in total amount; specific provision shall be classified by country or geographic area of debtors according to 2) and loans written off during the period, for loans including accrued interest, classified by country or geographic area of the debtors according to 2.

(Example of disclosure in Table 14 - 15 of Attachment 2)

5. Commercial banks shall disclose the following: 5.1 Outstanding amount of loans including accrued interest

receivables before credit risk mitigation classified by business

15 Including equity-related derivatives 16 Refer to the Notification of the Bank of Thailand Re : Regulations on Asset Classification and Provisioning of Financial Institutions


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type 17 of debtors and asset classification as specified by the Bank of Thailand

5.2 Provisions (classified by general provision and specific provision, where general provision shall be disclosed in total amount, and specific provision shall be disclosed classified by business type of debtors) and loans written off during the period, for loans including accrued interest, classified by business type of debtors.


6. Details of reconciliation of changes in provisions (broken down into general provision and specific provision) for loans including accrued interest receivables as follows; - Provisions at the beginning of the period - Loans written off during the period - Increases or decreases in provisions during the period - Other provisions (provisions for losses from foreign exchange,

provisions for merger and sale of businesses) - Provisions at the end of the period

(Example of disclosure in Table 17-18 of Attachment 2)

7. Outstanding amount of on-balance sheet assets and credit equivalent amount of off-balance sheet items, net of specific provision, classified by the type of asset under the approach for the calculation of credit risk-weighted assets used by commercial banks (The SA or IRB)

Item 2: Credit risk exposures classified by credit risk-weighted assets calculation approach used by commercial banks18

2.1 Credit risk exposures under the SA19

Qualitative information

1. Names of External credit assessment institutions (ECAIs) and Country risk classification of OECD that commercial banks use ratings, classified by type of asset/debtor, as reference for

17 Refer to the Notification of the Bank of Thailand Re: Preparation and Publication of Financial Statements of Commercial Banks and Holding Companies which are the Parent Company of Financial Group 18 Commercial banks shall disclose only the information related to the approach that they chose for the calculation of credit-risk weighted assets. 19 Including insignificant credit portfolios where the SA is used for the calculation of credit risk-weighted assets in case of the commercial banks using the IRB


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assigning risk weights (commercial banks assigning a 100% risk weight to all claims on corporate shall disclose that they do not use ratings from any ECAIs). Commercial banks changing the ECAIs shall also disclose reasons for such change.

2. Description of the process used in assigning risk weights to the debtors by making reference to ratings of the ECAIs20

Quantitative information (Example of disclosure in Table 19 of Attachment 2)

Outstanding amount of on-balance sheet assets and credit equivalent amount of off-balance sheet items net of specific provision and after credit risk mitigation for each type of asset, classified by risk weight specified by the Bank of Thailand under the SA, including outstanding amount required by the Bank of Thailand to be deducted from the capital of commercial banks21.

2.2 Credit risk exposure under the IRB

The Bank of Thailand requires commercial banks to disclose the following information:

1. Qualitative information; to make the information users understand assumptions used for the calculation of credit risk-weighted assets under the IRB, use of the IRB for internal risk management and methodologies used for validating the IRB parameters.

2. Quantitative information: divided into 2 items as follows:

2.1) Risk exposures and assessment which are the inputs used in the calculation of credit risk-weighted asset under the IRB

2.2) Historical results; to measure the accuracy of disclosed information


1. The approach used for the calculation of credit risk-weighted asset (The FIRB or AIRB) including the phase-in plan that has already been approved by the Bank of Thailand.

2. Explanations and reviews of the following:

20 For example, commercial banks use rating of senior unsecured debt instruments issued by the debtors in assigning the risk weights to loans given to such debtors. 21 For example, goodwill, intangible assets, deferred tax asset (DTA)


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2.1 Structure of internal rating systems e.g. the number of grades, definition of each rating grade and relation between internal rating and ECAIs rating (if any).

2.2 Use of internal rating system for other objectives rather than calculation of credit risk-weighted asset under the IRB

2.3 Process for managing or recognizing credit risk mitigation 2.4 Control mechanism for the rating systems including issues

of independence, function and responsibility of relevant units as well as review of internal rating systems

3. Description of the internal rating process for each type of asset22 as follows: 3.1 Claims on sovereigns, financial institutions and corporate

(including claims on small and medium enterprises that the sales of the group is below 1,000 million baht a year and specialized lending)

3.2 Residential mortgage loans 3.3 Qualifying revolving retail loans23 3.4 Other retail exposures 3.5 Equity exposures if using the PD/LGD approach for the

calculation of credit risk-weighted asset Description for these 5 exposures above should include the

following:

- Type and definition of exposures included in the credit portfolios of commercial banks

- Methodologies and data used for estimation and validation of the PD estimates (including LGD and EAD estimates for commercial banks using the AIRB and retail portfolios of commercial banks using the FIRB and AIRB), and assumptions used in deriving these estimates24

22 Including purchased receivables for each type of assets 23 If the sum of qualifying revolving retail exposures and other retail exposures comparing with overall credit portfolio is not significant or if separate disclosure of internal rating process of these assets would not help information users to better understand the risk profile of the retail portfolio, it is not necessary to separately disclose the information of these 2 asset types. 24 Commercial banks do not have to disclose all detailed description but should provide information users with an overview of the following:

- The broad overview of the model approach, variables and definition of the used variables


- 1/12 -

- If definition of default of commercial banks differs from that specified by the Bank of Thailand, for example, in case where commercial banks use external data which is collected under the different definition of default from that specified by the Bank of Thailand or under the definition the commercial banks use before the current guidelines enter into effect. The commercial banks shall explain which credit portfolios referring to the definition of default different form that specified by the Bank of Thailand, and explain how the definitions differ from each other25.

4. The qualitative information to be disclosed under Item 2, 2.1 credit risk exposure under the SA for insignificant asset portfolios that commercial banks use the SA for the calculation of credit risk-weighted assets.

Quantitative disclosure: Risk assessment (Example of disclosure in Table 20 - 25 of Attachment 2)

1. For claims on sovereigns, financial institutions and corporate as well as equity exposures using the PD/LGD approach, commercial banks shall disclose the following information classified by rating grade (PD grade). The number of rating grades to disclose must be sufficient to allow a meaningful differentiation of credit risk level26. (Example of disclosure in Table 20 of Attachment 2) - Outstanding amount of on-balance sheet assets and off-balance

sheet items after multiplying by credit conversion factor (EAD) and after credit risk mitigation.

- Exposure-weighted average PD

n

i

n

iiii EADEADPD

1 1

- Exposure-weighted average risk-weight

- Estimation methodologies

- Validation methodologies for the estimates as specified by the Bank of Thailand in the quantitative requirements

These should be done for each of the 5 asset types. Furthermore, commercial banks should summarize the differences in estimation approach for each asset type. 25 In order to provide information users with supplements to quantitative disclosure as specified by the Bank of Thailand 26 The disclosure of PD, LGD, and EAD here should reflect the effect of collateral, netting, and guarantees / credit derivatives specified under the Notification of the Bank of Thailand Re: Regulations on the Calculation of Credit Risk-Weighted Assets for Commercial Banks under the Internal Ratings-Based Approach (IRB)


- 1/13 -

n

i

n

iiii EADEADRW

1 1

- Commercial banks using the AIRB shall disclose the exposure-weighted-average LGD

n

i

n

iiii EADEADLGD

1 1

2. Commercial banks using the AIRB shall disclose the amount of undrawn committed lines after multiplying by credit conversion factor and the exposure-weighted average CCF (Example of disclosure in Table 21 of Attachment 2).

n

i

n

iiii EADEADCCF

1 1for each asset type27

3. For each type of retail exposure (residential mortgage loan, qualifying revolving retail loan and other retail exposures), commercial banks may choose to disclose information either under 3.1 or information under 3.2, as follows:

3.1 The same information as specified for asset types under 1 but on a pooled basis (Example of disclosure in Table 22 of Attachment 2); or

3.2 Outstanding amounts and undrawn committed lines after multiplying by credit conversion factor (EAD) and after credit risk mitigation by rating grade of the expected loss (EL), where the number of rating grades must be sufficient to allow a meaningful differentiation of credit risk level (Example of disclosure in Table 23 of Attachment 2).

4. Net outstanding amount classified by the following assets: 4.1 Specialized lending after credit risk mitigation, if using the

supervisory slotting criteria method (Example of disclosure in Table 24 of Attachment 2).

4.2 Equity exposures, if using the simple risk weight method (Example of disclosure in Table 25A of Attachment 2)

27 The Bank of Thailand allows commercial banks to disclose only one estimate of EAD for each asset type. However, commercial banks may disclose EAD classified by type of undrawn lines for each asset type if commercial banks view that such disclosure is helpful to information users in assessing risks of commercial banks.


- 1/14 -

4.3 Equity exposures, if using the internal model method (Example of disclosure in Table 25B of Attachment 2)

Quantitative disclosure: Historical results (Example of disclosure in Table 26 – 27 of Attachment 2)

1. Commercial banks shall disclose the historical results with the following details: (Example of disclosure in Table 26 of Attachment 2)

1.1 Actual losses in current period for each asset type as specified under 3 of qualitative disclosure and how such information differs from actual losses in the past.

1.2 Descriptions of the factors that affect actual losses in current period in case where there are significant differences from past experience, for example, actual default rate in current period is higher than the average default rate in the past, the current LGD and EAD in the current period is higher than the average LGD and EAD in the past etc.

2. Estimated losses against actual losses over a sufficient period28 that allows the users to evaluate a meaningful validation of the internal rating processes and the estimates for each asset type. If the differences are significant, commercial shall disclose the estimates of PD, LGD and EAD against actual PD, LGD and EAD29, together with the reasons for such differences (Example of disclosure in Table 27 of Attachment 2).

Item 3: Credit risk mitigation30 under the SA and IRB31


Information related to credit risk mitigation, namely:

- Policies, processes and the extent to which commercial banks use the on / off-balance sheet netting

- Polices and processes for collateral management and valuation

- Main types of collateral taken by commercial banks

28 Past experience should be long as possible to collect and should not be less than 5 years for commercial banks using the FIRB and 7 years for commercial banks using the AIRB, to be in line with the minimum requirements under the IRB. However, commercial banks may disclose the information in term of average value instead of value for each year. 29 Commercial banks using the FIRB shall disclose only the PD 30 Excluding credit derivatives where the risk protection is divided into tranches, each with different level of risk, since such credit derivatives are related to securitization where the Bank of Thailand will issue the relevant guidelines in the future. 31 Commercial banks shall disclose only information that relates to chosen approach.


- 1/15 -

- Main types of guarantor and credit derivatives counterparty

- Credit risk and market risk concentrations for each type of collateral, guarantor and credit derivatives counterparty which are used for credit risk mitigation

Quantitative disclosure (Example of disclosure in Table 28 - 29 of Attachment 2)

1. Outstanding amount secured by collateral for each type of assets both on - and off - balance sheet for commercial banks using the SA or FIRB, the commercial banks shall disclose the values (after the on / off- balance sheet netting and after haircuts), classified by collateral types, as follows:

- Financial collateral that the Bank of Thailand allows to use for risk mitigation (Eligible financial collateral) e.g. cash, deposits, debt and equity securities etc.

- Other collateral32 that the Bank of Thailand allows commercial banks using the FIRB to use as a credit risk mitigation e.g. commercial real estates, other types of collateral (specify the collateral type) e.g. automobiles, motorcycles etc.

Commercial banks using the AIRB shall disclose the information classified by collateral types with different LGD.

2. Outstanding amount secured by guarantees and credit derivatives for each type of assets (after the on / off- balance sheet netting) for commercial banks using the SA or IRB

2. Disclosure of market risk information

Item 4: Market risk exposure

4.1 Market risk exposure under the Standardized approach33


Details of general qualitative information as specified in I. for market risk under the Standardized approach

Quantitative disclosure

Minimum capital requirements for market risk, by the following type, calculated by the Standardized approach:

32 Only for commercial banks using the FIRB 33 Means the Standardized approach according to the Notification of the Bank of Thailand Re: Regulations on Market Risk Supervision and Capital Requirements for Market Risk of Financial Institutions; Commercial banks that use the Mixed approach shall disclose the information under 4.1 and 4.2


- 1/16 -


- Interest rate risk - Equity price risk - Exchange rate risk - Commodity price risk

4.2 Market risk exposure under the Internal model approach34


Commercial banks shall disclose the following information: 1. Details of general qualitative information as specified in I. for

market risk under the Internal model approach 2. For each type of market risk under the Internal model approach,

commercial banks shall disclose the followings: - Characteristics of the models used as well as details of data

used in such model (for example, Bank A uses VaR, Historical Simulation, for exchange rate risk, where risk data for the past 250-day period is used and data of each day is equally weighted)

- Description of the methodology used for stress testing - Description of the methodology used for back-testing and the

modeling processes 3. The scope of model that the Bank of Thailand allows

commercial banks to use in calculating minimum capital requirements for market risk

Quantitative disclosure (Example of disclosure in Table 31A – 31B of Attachment 2)

Commercial banks shall disclose market risk information calculated by the Internal model method, as follows: 1. The maximum, minimum and average VaR of positions during

the reporting period and VaR of positions at the end of the reporting period classified by interest rate risk, exchange rate risk, equity price risk, and commodity price risk (before multiplying by scaling factor), as well as VaR of aggregate positions (Example of disclosure in Table 31A of Attachment 2)

34 Means the Internal model approach according to the Notification of the Bank of Thailand Re: Regulations on Market Risk Supervision and Capital Requirements for Market Risk of Financial Institutions; Commercial banks that use the Mixed approach shall disclose the information under 4.1 and 4.2.


- 1/17 -

2. VaR estimated by the model comparing with actual gains / losses from hypothetical change35 as at the end of reporting period, together with analysis of important outliers resulting from back testing (Commercial banks are allowed to separately disclose such information in form of “Graph” in Table 31B)

3. Disclosure of operational risk information

Item 5: Operational risk exposure


Commercial banks shall disclose the following information: 1. Details of general qualitative information as specified in

I. for operational risk 2. Approach that commercial banks use to calculate values

equivalent to operational risk-weighted assets 3. In case where commercial banks use the AMA for the

calculation of values equivalent to operational risk-weighted assets, the commercial banks must also disclose the following information: 3.1 Business line or unit that commercial banks use the

AMA to calculate values equivalent to operational risk-weighted assets (in case where the commercial banks use the AMA together with another approach, the approach used in each business line or unit must be identified)

3.2 Data elements and application of such elements in the calculation of values equivalent to operational risk-weighted assets

4. Disclosure of equity exposure

Item 6: Equity exposure in the banking book

35 Refer to the Notification of the Bank of Thailand Re: Regulations on Market Risk Supervision and Capital

Requirements for Market Risk of Financial Institutions, unless the Bank of Thailand allows, on a case-by-

case basis, to compare VaR with actual gains or losses.


- 1/18 -


Commercial banks shall disclose the following information: 1. Details of general qualitative information as specified in

I. for equity exposures in the banking book 2. Description of the differences between risk management policy

for: 2.1 Equity securities invested on which capital gains are

expected; and 2.2 Equity securities invested for other purposes e.g. long-term

customer relationship or strategic reasons etc. 3. Important policies on fair valuation according to the accounting

standards, assumptions and practices for fair valuation, including significant changes in these practices

Quantitative disclosure (Example of disclosure in Table 32 of Attachment 2)

1. Values of equity exposures as shown in the statement of financial position according to the accounting standards and relevant Bank of Thailand guidelines36, classified by type and characteristic of the investments, as follows: 1.1 Exposures of equity securities listed and publicly traded in a

stock exchange (both domestic / foreign stock exchange), to disclose both book value and fair value

1.2 Exposures of other equity securities (both domestic / foreign stock exchange), to disclose only book value

2. Gains (losses) from sales of equity securities in the banking book during the reporting period

3. Gains (losses) from fair valuation of AFS (available for sales) equity securities

4. Minimum capital requirements for equity exposures in banking book classified by the approach used to calculate minimum capital requirements

5. Equity exposures for commercial banks using the IRB with an exception from the Bank of Thailand to use the SA for the calculation of credit risk-weighted assets

36 Refer to the Notification of the Bank of Thailand Re: Guidelines on Accounting of Financial Institutions


- 1/19 -

5. Disclosure of interest rate risk in the banking book37

Item 7: Interest rate risk exposure in the banking book


Commercial banks shall disclose the following information: 1. Details of general qualitative information as specified in I. for

interest rate risk in the banking book 2. Description of the nature of interest rate risk in the banking book

of commercial banks 3. Key assumptions used for risk assessment e.g. assumptions on

early repayment of loan, behavior of non-maturity deposits etc. 4. Frequency of interest rate risk in banking book measurement

Quantitative disclosure (Example of disclosure in Table 33 of Attachment 2)

Earnings of commercial banks as a result of upward or downward changes in interest rate as well as anticipated net interest income (percent) for the next one year, classified by major currencies e.g. Baht, US Dollar and Euro etc. The Bank of Thailand requires commercial banks to use the assumption of 100 basis point (bps) interest rate change38. However, commercial banks may also disclose the net effect on earnings as a result of other assumptions on interest change.

Set D: Additional disclosure of capital under the BCBS guideline (Composition of capital disclosure requirements)

Item 1: Key features of financial instruments to be included in the capital

Qualitative disclosure (Example of the disclosure in Attachment 3)

Key features of financial instruments included in the capital of commercial banks, classified by the type of issued instruments

37 Refer to Bank of Thailand Notification Re: Supervisory Guidelines on Interest Rate Risk in the Banking Book for Financial Institutions 38 Refer to Bank of Thailand Notification Re: Supervisory Guidelines on Interest Rate Risk in the Banking Book for Financial Institutions


- 1/20 -

Item 2: Disclosure of capital in transitional period under the Basel III guideline (Transitional period)


Details of the items related to capital to be phased in or phased out under the Basel III guideline

Qualitative disclosure (Example of the disclosure in Attachment 4)

Capital, adjustments and deductions from the capital to be phased in or phased out under the Basel III guideline during the transitional period as specified by the Bank of Thailand; these shall be disclosed in total amount according to the components of capital, which are CET1, Additional tier 1 and Tier 2 capital for an amount eligible to be included in the capital, and the amount ineligible to be included in the capital.

- 2/1 -

Attachment 2

Example Tables for Quantitative Disclosures

(Following tables are only the examples for quantitative disclosures in each Set, the banks may have to

alter certain contents to be in line with current and further regulations of the Bank of Thailand)


- 2/2 -SET B: Capital

Item 1: Capital Structure

Unit : …..

Current period Previous period

1. Tier 1 capital (1.1+1.2)

1 Common equity tier 1 (CET1) (1.1.1+1.1.2+1.1.3+1.1.4+1.1.5+1.1.6+1.1.7+1.1.8+1.1.9)

1.1.1 Paid-up capital (common stock) deducted by buyback of common stock

1.1.3 Premium (Discount) on the value of common stock (net)

1.1.4 Legal reserves1.1.5 Reserves appropriated from net profit at the end of accounting period in accordance with the resolution of shareholders general meeting or the rules specified by locally-registered commercial banks

1.1.6 Net profits after appropriated in accordance with the resolution of shareholders general meeting or the rules specified by locally-registered commercial banks

1.1.7 Other items of owner’s equity (1.1.7.1+1.1.7.2)

1.1.7.1 Accumulated other comprehensive income

1.1.7.2 Other items from owner changes

1.1.8 Adjustment items not allowed to affect the capital

1.1.9 Items to be deducted from CET1 (1.1.9.1+1.1.9.2)

1.1.9.1 Items to be deducted from CET1 *

1.1.9.2 Items to be deducted from Additional tier 1, for remaining parts, in case where Additional tier 1 is insufficient for the deductions in full

1 Additional tier 1 (1.2.1+1.2.2+1.2.3+1.2.4+1.2.5)

1.2.1 Proceeds received from issuing preferred shares with non-accrued dividends deducted by buyback of such preferred shares

1.2.2 Warrants to buy preferred shares with non-accrued dividends

1.2.3 Proceeds received from issuing debt instruments with claims subordinated to depositors, general creditors and subordinated debts, including debt instruments eligible for inclusion in Tier 2 capital

1.2.4 Premiums (or discounts) on value of debt instruments under 1.2.1 to 1.2.3 received by locally-registered commercial banks

1.2.5 Items to be deducted from Additional tier (1.2.5.1+1.2.5.2)

1.2.5.1 Items to be deducted from Additional tier 1 **

1.2.5.2 Items to be deducted from Tier 2 capital, for remaining parts, in case where Additional tier 1 is insufficient for the deductions in full

2. Tier 2 capital (2.1+2.2+2.3+2.4+2.5+2.6+2.7)

2 Proceeds received from issuing preferred shares with accrued dividends deducted by buyback of such preferred shares

2 Warrants to buy preferred shares with accrued dividends

2 Proceeds received from issuing debt instruments with claims subordinated to depositors and general creditors

2 Premiums (or discounts) on value of instruments under 2.1 to 2.3 received by locally-registered commercial banks

3 General provision for performing loans

3 Surplus of provision

3 Items to be deducted from Tier 2 capital ***

3. Total regulatory capital (1+2)* For example, net losses, goodwill, intangible assets, deferred tax asset (DTA)

** For example, direct and indirect investments in Additional tier 1 of other commercial banks or finance companies

*** For example, direct and indirect investments in Tier 2 capital of other commercial banks or finance companies

Item

Table 1: Capital of Locally-Registered Commercial Banks

1.1.2 Warrants to buy common stock


- 2/3 -

Set B : Capital

Item 1 : Capital Structure

Unit : …..


1. Assets required to be maintained under Section 32

2. Sum of net capital for maintenance of assets under Section 32 and net balance of inter-office accounts (2.1+2.2)

2.1 Capital for maintenance of assets under Section 32

3. Total regulatory capital (3.1-3.2)

3.2 Deductions

Table 2 : Capital of Foreign Bank Branches

Item

2.2 Net balance of inter-office accounts which the branch is the debtor (the creditor) to the head office and other

branches located in other countries, the parent company and subsidiaries of the head office

3.1 Total regulatory capital before deductions (The lowest amount among 1, 2, or 2.1)


- 2/4 -

Set B : Capital

Item 2 : Capital adequacy (Table 3-8)

Table 3 Minimum capital requirement for credit risk classified by type of assets under the SA

Unit : …..


Performing claims

1.

2. Claims on financial institutions , non-central governement public sector entities (PSEs) treated as claims on financial institutions, and securities firms

3. Claims on corporates , non-central governement public sector entities (PSEs) treated as claims on corporate

4. Claims on retail portfolios

5. Claims on housing loans

6. Other assets

Non-performing claims

First-to-default credit derivatives and Securitisation

Total minimum capital requirement for credit risk under the SA

Minimum capital requirement for credit risk classified by type of assets under the SA

Claims on sovereigns and central banks, multilateral development banks (MDBs), and non-central governement public sector entities (PSEs)

treated as claims on sovereigns


- 2/5 -

Unit : …..


Non-defaulted assets

1. Claims on sovereigns, financial institutions and corporate*

2. Claims on retail portfolio*

Residential mortgage exposures

Qualifying revolving retail exposures

Other claims on retail portfolios

3. Equity exposures

4. Other assets

Defaulted assets

First-to-default credit derivatives and Securitisation

Total minimum capital requirement for credit risk under the IRB

* Classifying purchased receivable according to asset types of debtor

Table 4 : Minimum capital requirement for credit risk classified by type of assets under the IRB

Minimum capital requirement for credit risk classified by type of assets under the IRB


- 2/6 -Table 5: Minimum capital requirement for credit risk classified by type of assets under the IRB

Unit : …..


1. Equity exposures excluded from capital maintenance under IRB

2. Equity exposures under the IRB classified by calculation method

2.1 Market-based approach

( 1 ) Simple risk weight approach

( 2 ) Internal model method (for equity exposures in the banking book)

2.2 PD / LGD appraoch

Total minimum capital requirement for equity exposures under the IRB

Table 6: Minimum capital requirement for market risk for positions in the trading book (Standardized method / Internal model method)

Unit : …..


1. Standardized method

2. Internal model method

Total minimum capital requirement for market risk

Table 7: Minimum capital requirement for operational risk (BIA / SA / ASA / AMA)

Unit : …..


1. Basic Indicator Approach

2. Standardized Approach

3. Alternative Standardized Approach

4. Advanced Measurement Approaches

Total minimum capital requirement for operational risk

Table 8: Ratio of total capital to risk-weighted assets, ratio of Tier 1 capital to risk-weighted assets and ratio of Common equity tier 1 to risk-weighted assets

Unit : %

Capital ratio of

the bank

Minimum capital

ratio according to

the BOT

regulations

Capital ratio of

the bank

Minimum capital

ratio according

to the BOT

regulations

1. Total capital to risk-weighted assets

2. Tier 1 capital to risk-weighted assets *

3. Common equity tier 1 to risk-weighted assets

* to be disclosed by locally-registered commercial banks only

Previous periodCurrent period

Capital requirement for equity exposures under IRB

Minimum capital requirement for market risk (positions in the trading book)

Minimum capital requirement for operational risk

Ratio

- 2/7 -

Set C: Risk exposure and assessment of commercial banks

Credit risk

Item 1: General information on credit risk* (Table 9 -18)

Table 9: Outstanding amounts of significant on-balance sheet assets and off-balance sheet items before adjusted by credit risk mitigation

(Show an average of outstandings during the period ** outstandings at the end of current period and outstandings at the end of pervious period) Unit : ……

Item 20… 20… 20...**

1. On-balance sheet assets (1.1 + 1.2 + 1.3 + 1.4)

1.1 Net loans 1/

1.2 Net Investment in debt securities 2/

1.3 Deposits (including accrued interest receivables)

1.4 Derivatives

2. Off-balance sheet items 3/

(2.1 + 2.2 + 2.3)

2.1 Aval of bills, guarantees, and letter of credits

2.2 OTC derivatives4/

2.3 Undrawn committed line

* Commercial banks shall disclose positions in banking book and trading book using on-balance sheet assets excluding equity exposures. Off-balance sheet items shall include equity exposures.

** If the period-end outstanding amount is not significantly different from the average outstanding amount during the period, commercial banks may not disclose the average outstanding amount during the period1/

Including accrued interest receivables and net of deferred incomes, allowances for doubtful accounts and allowances for revaluation from debt restructuring and including net loans of interbank and money market.2/

Including investments in receivables, but excluding accrued interest receivables and net of allowances for revaluation of securities and allowances for impairment of securities3/

Before multiplying by credit conversion factor4/

Including equity-related derivatives


- 2/8 -

Unit : .....

Total Net loans 1/

Net

Investment

in debt

securities 2/

Deposits

(including

accrued

interest

receivables)

Derivatives Total

Aval of bills,

guarantees,

and letter of

credits

OTC

derivatives

Undrawn

committed

line

1. Thailand

2. Asia Pacific (exclude Thailand)

3. North America and Latin America

4. Africa and Middle East

5. Europe

Total

Unit : ......

Total Net loans 1/

Net

Investment

in debt

securities 2/

Deposits

(including

accrued

interest

receivables)

Derivatives Total

Aval of bills,

guarantees,

and letter of

credits

OTC

derivatives

Undrawn

committed

line

1. Thailand


3. North America and Latin America


5. Europe

Total

* Commercial banks shall classify countries or geographic areas according to guidelines used in their internal management and shall explain supporting reasons1/

Including accrued interest receivables and net of deferred incomes, allowances for doubtful accounts and allowances for revaluation from debt restructuring and including net loans of interbank and money market.2/

Including investments in receivables, but excluding accrued interest receivables and net of allowances for revaluation of securities and allowances for impairment of securities3/

Before multiplying by credit conversion factor

20…

Country or geographic area of debtor

Off-balance sheet items 3/

Table 10: Outstanding amounts of on-balance sheet assets and off-balance sheet items before credit risk mitigation classified by country or geographic area of

20…

Country or geographic area of debtor

Off-balance sheet items 3/ On-balance sheet assets

On-balance sheet assets


- 2/9 -

Table 11: Outstanding amounts of on-balance sheet assets and off balance sheet items before credit risk mitigation classified by residual maturity

Unit : .....

Maturity

not

exceeding

1 year

Maturity

exceeding

1 yearTotal

Maturity

not

exceeding

1 year

Maturity

exceeding

1 yearTotal

1. On-balance sheet assets (1.1 + 1.2 + 1.3 + 1.4)

1.1 Net loans 1/

1.2 Net Investment in debt securities 2/

1.3 Deposits (including accrued interest receivables)

1.4 Derivatives

2. Off-balance sheet items 3/

(2.1 + 2.2 + 2.3)

2.1 Aval of bills, guarantees, and letter of credits

2.2 OTC derivatives

2.3 Undrawn committed line

1/ Including accrued interest receivables and net of deferred incomes, allowances for doubtful accounts and allowances for revaluation from debt restructuring and including net loans of interbank and money market.

2/ Including investments in receivables, but excluding accrued interest receivables and net of allowances for revaluation of securities and allowances for impairment of securities

3/ Before multiplying credit conversion factor

20…

Item

20…


- 2/10 -

Unit : .......

Specific provision for

NormalSpecial

mentionedSubstandard Doubtful Doubtful loss Total Investment in debt securities

2/

1. Thailand


3. North America and Latin

America


5. Europe

Total

Unit : .......


Normal

Special

mentioned Substandard Doubtful Doubtful loss Total Investment in debt securities

2/

1. Thailand



America


5. Europe

Total

* Commercial banks shall classify countries or geographic areas according to guidelines used in their internal management and shall explain supporting reasons1/

Including outstanding amounts of loans and interest receivable receivables of interbank and money market2/

Including investments in receivables

Country or geographic area of

debtor

Loans including accrued interest receivables1/

Table 12: Outstanding amounts of loans including accrued interest receivables and investment in debt securities before credit risk mitigation classifed by country or

geographical area of debtor* and asset classification as specified by the Bank of Thailand

20…


debtor


20…

- 2/11 -

Unit : .......


General provision2/ Specific provision

Bad debt written-

off during period

Investment in debt securities3/

1. Thailand



America


5. Europe

Total

Unit : .......


General provision2/ Specific provision

Bad debt written-

off during period

Investment in debt securities3/

1. Thailand



America


5. Europe

Total

* Commercial banks shall classify countries or geographic areas according to guidelines used in their internal management and shall explain supporting reasons.1/

Including provision and bad debt written-off during period of loans including accrued interest receivables of interbank and money market2/

Disclosed in total amount3/

Including investments in receivables


debtor


Table 13: Provisions (General provision and Specific provision) and bad debt written-off during period for loan including accrued interest receivables and investment in

debt securities classified by country or geographic area*

20…


debtor


20…

- 2/12 -

Unit : ......

Type of business Normal

Special

mentioned Substandard Doubtful Doubtful loss Total

- Agriculture and mining

- Manufacturing and commerce

- Real estate business and construction

- Public utilities and services

- Housing loans

- Others (Commercial banks shall use their owns

discretion to dertermine significance)

- .....................

- .....................

Total

Unit : ......

Type of business Normal

Special

mentioned Substandard Doubtful Doubtful loss Total





- Housing loans


discretion to determine significance)

- .....................

- .....................

Total

* Including outstanding amount of loans including accrued interest receivables of interbank anad money market

Type of business





- Housing loans


discretion to determine significance)

* Commercial banks shall refer to ISIC-BOT Version 4.0. This is to clarify business type classification for commercial banks and to ensure consistency of business type classification disclosure. Commercial banks may not disclose the ISIC codes/Personal Consumption Codes

all K000000 and all F000000

all D000000 all E000000 all H000000 all I000000 all J00000 all M000000 all N000000 all

P000000

all Q000000 all R000000 and all S000000 cl personal consumption : 241002-3 241007-8 241010-11 and 241013-15

all K000000 all O000000 all T000000 all U000000 and cl personal consumption : 241004, 241017-19

and 241021-26

Table 14: Outstanding amount of loans including accrued interests* before adjusted by credit risk mitigation classified by type of business

and by asset classification specified by the Bank of Thailand

20…

20…

ISIC Codes/Personal Consumption Codes *

all A000000 all B000000 and all C000000

all D000000 and all G000000

- 2/13 -

Unit : ......





- Housing loans


discretion to dertermine significance)

- .....................

- .....................

Total* Including outstanding amount of loans including accrued interest receivables of interbank anad money market 1/

Disclosed in total amount

Table 16 Reconciliation of change in provisions (General provision and Specific provision) for loans including accrued interest receivables*

Unit : ......

General

provision

Specific

provision Total

General

provision

Specific

provision Total

Provisions at the beginning of the period

Bad debts written-off during the period

Increases or Decreases of provisions during the period

Other provisions (provisions for losses from foreign

exchange, provisions for merger and sale of

businesses) Provisions at the end of the period

* Including outstanding amount of loans including accrued interest receivables of interbank and money market

Item20… 20…

Table 15: Provisions (General provision and Specific provision) and bad debt written-off during the period for loans including accrued interest

receivables* classified by types of business

Type of business

20... 20…

General

provision1/

Specific

provision

Bad debt

written-off

during period

General

provision1/

Specific

provision

Bad debt

written-off

during period

- 2/14 -Table 17: Outstanding amounts of on-balance sheet assets and credit equivalemt amounts of off-balance sheet items net of specific provisions classified by type of assets under the SA

Unit : ......

On-balance

sheet assets

Off-balance

sheet

item *

TotalOn-balance

sheet assets

Off-balance

sheet

item *

Total

1. Performing claims

1.1 Claims on sovereigns and central banks, multilateral development banks (MDBs), and non-central governement

public sector entities (PSEs) treated as claims on sovereigns

1.2 Claims on financial institutions , non-central governement public sector entities (PSEs) treated as claims on

financial institutions, and securities firms

1.3 Claims on corporates , non-central governement public sector entities (PSEs) treated as claims on corporate

1.4 Claims on retail portfolios

1.5 Housing loans

1.6 Other assets

2. Non-performing claims

3. First-to-default credit derivatives and Securitisation

Total

* Including all Repo-style transactions (as well as Reverse repo transactions)

Type of asset

20... 20...


- 2/15 -Table 18: Outstanding amounts of on-balance sheet assets and credit equivalemt amounts of off-balance sheet items net of specific provisions classified by type of assets under the IRB

unit : ......

On-balance

sheet assets

Off-balance

sheet

item *

TotalOn-balance

sheet assets

Off-balance

sheet

item *

Total

1. Non-defaulted assets

1.1 Claims on sovereigns, financial institutions, corporate

1.2 Claims on retail portfoli

1.2.1 Residential mortgage exposures

1.2.2 Qualifying revolving retail exposures

1.2.3 Other claims on retail portfolios

1.3 Equity exposures

1.4 Other assets

2. Defaulted assets

3. Securitisation

Total

* Including all Repo-style transactions (as well as Reverse repo transactions)

Type of asset

20... 20...


- 2/16 -Item 2: Credit risk exposures classified by credit risk-weighted assets calculation approach

2.1 Credit risk exposures under the SA*

Table 19: Outstanding amount of net on-balance sheet assets and credit equivalemt amount of off-balance sheet items net of specific provisions and after credit risk mitigation for each type of asset, classified by risk weight under the SA Unit : ….

Risk weight (%) 0 20 50 100 150 0 20 35 50 75 100 250 625 937.5 100/8.5% 0 20 50 100 150 0 20 35 50 75 100 250 625 937.5 100/8.5%

Performing claims

1. Claims on sovereigns and central banks, multilateral

development banks (MDBs), and non-central

governement public sector entities (PSEs) treated as

claims on sovereigns 2. Claims on financial institutions , non-central

governement public sector entities (PSEs) treated as

claims on financial institutions, and securities firms 3. Claims on corporates , non-central governement public

sector entities (PSEs) treated as claims on corporate 4. Claims on retail portfolios

5. Claims on housing loans

6. Other assets

Risk weight (%) 50 100 150 75 50 100 150 75

Non-performing claims1/

Capital deduction items prescribed by the Bank of Thailand

* Including insignificant credit portfolios under the SA of the commercial banks using the IRB

1/ For the portion with no credit risk mitigation of which risk weight is determined by the proportion of provision to total amount of claims

Type of asset20... 20...

Rated outstanding amount Unrated outstanding amount Rated outstanding amount Unrated outstanding amount


- 2/17 -Item 2: Credit risk exposures

2.2 Credit risk exposures under IRB

Quantity disclosures : Risk assessment of assets

Table 20: Credit risk assessment under IRB for claims on sovereigns, financial institutions, corporate and equity exposures under the PD/LGD approach classified by rating grade *

EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%)

Claims on Sovereigns, financial institutions and

corporate**

Equity exposures under the PD/LGD

Total

EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%)


corporate**

Equity exposures under the PD/LGD

Total

* A number of grades is an example. Commercial banks shall disclose the number of grades as appropriate in order for users to recognise the difference of credit risk levels.

**including purchased receivables

1/ Outstanding amounts of on-balance sheet assets and credit equivalent amounts of off-balance sheet items after after CRM.

2/ ØPD is the EAD-weighted average PD for each rating grade

3/ ØRW is the EAD-weighted average risk weights for each rating grade

4/ ØLGD is the EAD-weighted average LGD for each rating grade (only for commercial banks that apply AIRB).

Table 21: Undrawn committed lines after multiplying by CCF and exposure-weighted average CCF for credit risk under AIRB classified by type of assets

Unit:……

Undrawn

committed

lines after

multiplying

by CCF

Exposure-

weighted

average

CCF

Undrawn

committed

lines after

multiplying

by CCF

Exposure-

weighted

average

CCF


corporate**

Equity exposures under the PD/LGD method

Total

**including purchased receivables

20…

Type of asset

Grade 1-4

Type of asset

20…. 20….

Grade 5-8

20…

Type of asset

Grade 1-4 Grade 5-8 Grade 9-12 Grade 13-15 (Default)

Grade 9-12 Grade 13-15 (Default)


- 2/18 -Table 22: Credit risk assessment under IRB for retail exposures* (Pooled basis)

EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%)

Residential mortgage loans


Other retail exposures

Total

EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%) EAD1/

(unit: …)

ØPD2/

(%) ØRW3/

(%) ØLGD4/

(%)




Total

* including purchased receivables

1/ Outstanding amounts of on-balance sheet assets and credit equivalent amounts of off-balance sheet items after after CRM.

2/ ØPD is the EAD-weighted average PD for each group of exposures (in case of purchased receivables, commercial banks shall disclose only PD of default risk)

3/ ØRW is the EGD-weighted average risk weights for each group of exposures

4/ ØLGD is the EAD-weighted average LGD for each group of exposures (only for commercial banks that apply AIRB).

Table 23: Outstanding and undrawn committed lines of each group of retail exposures* after multiplying by CCF and after credit risk mitigation under IRB classified by group of expected loss**

Unit:……

EAD 1/

(million baht)

EL 2/

(%) EL 2/

(%) EL 2/

(%) EAD 1/

(million baht)

EL 2/

(%) EL 2/

(%) EL 2/

(%)




Total

* including purchased receivables

** A number of groups is an example. Commercial banks shall disclose a number of groups as appropriate in order for users to recognize the difference in credit risk levels. 1/

Outstanding amounts of on-balance sheet assets and off-balance sheet items after multiplying by CCF and after CRM.

2/

EL= Sum of (EL(i) x EAD(i)) / Sum of EAD (i)

Type of retail exposures

20…. 20….

EL (Group 1-4 / 5-8 / 9-12 / 13-15) EL (Group 1-4 / 5-8 / 9-12 / 13-15)

20…

Type of asset

Grade 1-4 Grade 5-8 Grade 9-12 Grade 13 (Default)

20…

Type of asset

Grade 1-4 Grade 5-8 Grade 9-12 Grade 13 (Default)


- 2/19 -

Table 24: Net outstanding of specialised lending after credit risk mitigation using the Supervisory Slotting Criteria method under IRB

classified by risk weight

Unit : ….

20…. 20….

Strong 70%

Strong* 50%

Good 90%

Good* 75%

Satisfactory 115%

Weak 250%

Default 0%

Total

* The mentioned risk weights are applied, if complied to one of the following conditions:

1) Maturity of exposures is lower than 2.5 years.

2) Commercial banks can prove that their standards and practices related to loan extensions and other risk characteristics of specialised lending are higher than those specified in attachment 2 of the Notification of the Bank of Thailand

Re: Regulations on the Calculation of Credit Risk-Weighted Assets for Commercial Banks under the Internal Ratings-Based Approach (IRB)

Supervisory grade Risk weightNet outstanding amount


- 2/20 -

Table 25A: Net outstanding of equity exposures after credit risk mitigation using the Simple risk weight method under IRB classified by risk weight

Unit : ….

20…. 20….

Equities registered and traded in the

recognised Stock Exchange300%

Other equities 400%

Total

Table 25B: Net outstanding of equity exposures after credit risk mitigation using Internal model method under IRB classified by risk weight

Unit : ….

20…. 20….

Equities registered and traded in the

recognised Stock Exchange

Other equities

Total

Type of equity Risk weightNet outstanding

Type of equity Risk weightNet outstanding


- 2/21 -

Quantitative disclosures : Historical results

Table 26: Actual losses of commercial banks that use IRB classified by type of assets

Unit : ….

Period t-0 Period t-1

Claims on Sovereigns, financial institutions and corporate** 1/

Equity exposures

Retail exposures

Total

* Actual loss should be calculated in accordance with the risk management of commercial banks. If unavailable, the banks shall calculate actual loss in accordance with accounting principles, where actual loss means

specific provision of all claims existing from the beginning to the end of the year inlucing charge-off of writen off claims but excluding claims emerged during the period

** If there is significant difference from past experience, commercial banks shall disclose such differences.

*** Explanation of the factors that impact on actual losses in case where actual losses differ significantly from past experience. 1/

Including purchased receivables

Table 27: Estimates of losses comparing to actual losses*

Unit : ….

Expected loss Actual loss** Expected loss Actual loss Expected loss Actual loss

Claims on Sovereigns, financial institutions and corporate 1/

Equity exposures

Retail exposures

Total

* Commercial banks shall compare estimates of PD, LGD and EAD with actual PD, LGD and EAD in case where the estimates significantly differ from actual values and shall explain the reasons for such differences.

** Actual loss should be calculated in accordance with the risk management of commercial banks. If unavailable, the banks shall calculate actual loss in accordance with accounting principles, where actual loss means

specific provision of all claims existing from the beginning to the end of the year inlucing charge-off of writen off claims but excluding claims emerged during the period 1/

Including purchased receivables

Period t-n

Type of AssetActual losses* Change** in t-0

comparing with t-1Note***

Type of AssetPeriod t-0 Period t-1


- 2/22 -

Item 3 Credit risk mitigation under SA and IRB

Quantity disclosure

3.1 Credit risk mitigation* under SA

Table 28: Part of outstanding that is secured by collateral** under SA classified by type of assets and collateral

Unit : ….

Eligible

financial

collateral1/

Guarantee and

credit

derivatives

Eligible

financial

collateral1/

Guarantee and

credit

derivatives

Claims on sovereigns and central banks, multilateral development banks

(MDBs), and non-central governement public sector entities (PSEs) treated

as claims on sovereigns

Claims on financial institutions , non-central governement public sector

entities (PSEs) treated as claims on financial institutions, and securities firms

Claims on corporates , non-central governement public sector entities (PSEs)

treated as claims on corporate

Claims on retail portfolios

Claims on housing loans

Other assets

* Excluding securitisation.

** Values after on-balance sheets and off-balance sheets netting

1/ Eligible financial collateral that the Bank of Thailand allows to use for risk mitigation. Commercial banks applying the commerhensive approach shall disclose the value after haircut.

Total

Type of asset

20…. 20.…

Performing assets

Non-performing assets


- 2/23 -

3.2 Credit risk mitigation* under IRB

Table 29: Part of outstanding that is secured by collateral under FIRB classified by type of assets and collateral

Unit : ….

Eligible

financial

collateral1/

Other

collaterals2/

Guarantee

and credit

derivatives

Eligible

financial

collateral1/

Other

collaterals2/

Guarantee

and credit

derivatives

Residential mortgage exposures


Other claims on retail portfolios

* Excluding securitisation.

** Value after on-balance sheets and off-balance sheets netting

1/ Eligible financial collateral that the Bank of Thailand allows to use in risk mitigation. Commercial banks applying the commerhensive approach shall disclose the value after haircuts.

2/ Other collaterals that the Bank of Thailand allows to use as risk mitigation.

20.…

- Non-defaulted assets

Claims on sovereigns, financial institutions,

and corporate

Claims on retail portfolios

Equity exposures

Other assets

- Defaulted assets

Total

Type of asset

20….


- 2/24 -Item 4 Market risk exposures

4.1 Market risk under the Standardized Method

Table 30: Minimum capital requirements for each type of market risk under the Standardized Approach

Unit:……

Minimum capital requirements for market risk under

the Standardized Approach


Interest rate risk

Equity position risk

Foreign exchange rate risk

Commodity risk

Total minimum capital requirements


- 2/26 -

Item 4 Market risk exposures

4.2 Market risk under the Internal Model Approach

Table 31A: Disclosure on each type of market risk under the Internal Model Approach

Unit:……

Type of market risk Current period Previous period

Interest rate risk

Maximum VaR during the reporting

periodAverage VaR during the reporting period

Minimum VaR during the reporting

periodVaR at the end of the period

Equity position risk





Foreign exchange rate risk





Commodity risk





Total market risk






- 2/26 -

Table 31B * VaR estimated by the model comparing with actual gains / losses from hypothetical change**

* Commercial banks are allowed to disclose the information in form of “Graph”

** Together with an analysis of outliners from Backtesting


- 2/27 -

Item 6 Equity exposures in banking book

Table 32: Equity exposures in banking book

Unit:……

Equity exposures 20…. 20….

1. Equity exposures

1.1 Equities listed and publicly traded in the Stock Exchange

- Book value

- Fair value

1.2 Other equities

2. Gains (losses) from sale of equity instruments during the reporting period

3. Net revaluation surplus (deficit) from valuation of AFS equity instruments

4. Minimum capital requirements for equity exposures classified by the calculation

methods

- SA

- IRB

5. Equity values for commercial banks applying IRB which the Bank of Thailand allows

to use SA

Total


- 2/28 -

Item 7 Interest rate risk in the banking book

Table 33: The effect of changes in interest rates* to net earnings

Unit:……

20…. 20…

Effect to net

earnings

Effect to net

earningsBaht

USD

EURO

Others

Total effect from changes in

interest rate

% of anticipated net

interest income for the

next one year

* Commercial banks shall use the percentage changes in interest rates of 100 bps .

20….

Currency


- 3/1 -SET D: Additional disclosure of capital under the BCBS requirements (Composition of capital disclosure requirements) Attachment 3

Item 1: Main features of regulatory capital instruments

A locally-registered commercial bank shall disclose main features of all types of regulatory capital instruments using this Table. If there is no information in any field, "n.a." shall be specified.

Details

1 Issuer

2 Unique identifier

Inclusion of the instruments in the capital under the regulations of the Bank of Thailand

3 Instrument type (Common equity tier 1 / Additional tier 1 / Tier 2 capital)

4 Having the features in accordance with the Basel III or not

5 If having the features not in accrodance with the Basel III, specify such features

6 To be gradually deducted or be included in full

7 Eligible at solo / group / group and solo

8 Amount recognised in regulatory capital (unit : million Baht)

9 Par value of instrument (unit : Baht)

10 Accounting classification

11 Original date of issuance

12 Perpetual or dated

13 Original maturity date

14 Issuer call subject to prior supervisory approval

15 Optional call date, contingent call dates and redemption amount

16 Subsequent call dates, if applicable

Coupons / dividends

17 Fixed or floating dividend / coupon

18 Coupon rate and any related index

19 Existence of a dividend stopper

20 Fully discretionary, partially discretionary or mandatory

21 Existence of step up or other incentive to redeem

22 Noncumulative or cumulative

23 Convertible or non-convertible

24 If convertible, conversion trigger (s)

25 If convertible, fully or partially

26 If convertible, conversion rate

27 If convertible, mandatory or optional conversion

28 If convertible, specify instrument type convertible into

29 Write-down feature

30 If write-down, write-down trigger(s)

31 If write-down, full or partial

32 If write-down, permanent or temporary

33 If temporary write-down, description of write-up mechanism

34 Position in subordination hierarchy in liquidation (specify instrument type which is subordinate to this instrument)

Table for disclosure of main features of regulatory capital instruments

Heading


- 3/2 -Description for Table for disclosure of main features of regulatory capital instruments

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24

25

26

27

28

29

30

31

32

33

34

Note: The bank may show the features of each type of financial instruments in the same table, but classified by the column, or show them in a separate table

Description for the headings of the Table for disclosure of main features of regulatory capital instruments

Identifies issuer legal entity

Unique identifier (eg CUSIP, ISIN)

Specifies whether instrument is convertible or not.

Specifies the conditions under which the instrument will convert. If there is more than one condition, the bank must list such conditions. For each of the condition, it should be stated whether it is the terms of the contract of the instrument

that provide the legal basis to trigger the conversion (a contractual approach) or whether the legal basis is provided by statutory means i.e. under the Act (a statutory approach).

Specifies whether there is an issuer call option.(Yes or No)

Specifies the governing law(s) of the instrument

Specifies the level(s) within the group at which the instrument is included in capital (select from the following: Solo / Group / Solo and Group)

Specifies amount recognised in regulatory capital (unit: million Baht)

Par value of instrument (unit: Baht)

Specifies accounting classification (select from the following: Shareholders’ equity / Liability – amortised cost / Liability – fair value option / Non-controlling interest in consolidated subsidiary)

Specifies date of issuance (Original date)

For dated instrument, specifies original maturity date (day, month and year). For perpetual instrument put “no maturity”.

Specifies instrument type in accordance with the Basel III (i.e. capital components after classification of intruments) (select from the following: Common equity tier 1 / Additional tier 1 / Tier 2 capital)

Having the features in accordance with the Basel III or not (specifies Yes or No)

If having the features not in accrodance with the Basel III, specify such features

To be gradually deducted or be included in full

Specifies whether dated or perpetual.

For conversion trigger separately, specifies whether the instrument will: (1) always convert fully; (2) may convert fully or partially; or (3) will always convert partially.

For instrument with issuer call option, specifies first date of call if the instrument has a call option on a specific date (day, month and year) and, in addition, specifies if the instrument has a tax and/or regulatory event call. Also specifies the

redemption price.

Specifies the existence and frequency of subsequent call dates, if applicable.

Coupons / dividends

Specifies whether the coupon/dividend is fixed over the life of the instrument, floating over the life of the instrument, currently fixed but will move to a floating rate in the future, currently floating but will move to a fixed rate in the future.

(Select from the following: Fixed / Floating / Fixed to floating / Floating to fixed)

Specifies the coupon rate of the instrument and any related index that the coupon/dividend rate references.

Specifies whether there is a dividend stopper.

Specifies whether the issuer has full discretion, partial discretion or no discretion over whether a coupon/dividend is paid. If the bank has full discretion to cancel coupon/dividend payments under all circumstances, it is regarded as “fully

discretionary” (including when there is a dividend stopper that does not have the effect of preventing the bank from cancelling payments on the instrument). If there are conditions that must be met before payment can be cancelled (eg capital

below a certain threshold), it is regarded as “partially discretionary”. If the bank is unable to cancel the payment outside of insolvency, it is regarded as “mandatory”. (Select from the following: Fully discretionary / Partially discretionary /

Mandatory)

Specifies whether there is a step-up or other incentive to redeem. (Yes or No)

Specifies whether dividends / coupons are cumulative or noncumulative.

For each write-down trigger separately, specifies whether the instrument will: (1) always be written down fully: (2) may be written down partially; or (3) will always be written down partially.

For write down instrument, specifies whether write down is permanent or temporary. (Select from the following: Permanent / Temporary / NA)

For instrument that has a temporary write-down, descripes the write-down mechanism.

Specifies instrument type which is subordinate to this instrument in liquidation

Specifies rate of conversion into the more loss absorbent instrument.

For convertible instruments, specifies instrument type convertible into. (Select from the following: Common Equity Tier 1 / Additional Tier 1 / Tier 2 / Other)

If convertible, specify issuer of instrument into which it converts.

Specifies whether there is a write down feature. (Yes or No)

Specifies the trigger at which write-down occurs, including point of non-viability. If there is more than one condition, the bank must list such conditions. For each of the condition, it should be stated whether it is the terms of the contract of

the instrument that provide the legal basis to trigger the write-down (a contractual approach) or whether the legal basis is provided by statutory means i.e. under the Act (a statutory approach).


- 4/1 -

Attachment 4

Unit : ………….

Net amount of item to be included in or

deducted from capital under the Basel III

Tier 1 capital :

Common equity tier 1 (CET1)

1.1 Items eligible for inclusion in CET1

1.2 adjusted by regulatory adjustment to CET1

1.3 less deduction from CET1

Net CET1

Additional tier 1

1.4 Items eligible for inclusion in Additional tier 1

1.5 less Items to be deducted from Additional tier 1

Net Additional tier 1

Total Tier 1 capital (CET1+ Additional tier 1)

Tier 2 capital :

1.6 Items eligible for inclusion in Tier 2 capital

1.7 less deduction from Tier 2 capital

Total Tier 2 capital

Total capital (Tier 1 and Tier 2 capital) of locally-registered commercial bank

2.1 Capital of foreign bank branch

2.2 less deduction from capital of foreign bank branch

Total capital of foreign bank branch

1/Refer to the Notification of the Bank of Thailand Re: Capital Components of Locally-Registered Commercial Banks

2/Refer to the Notification of the Bank of Thailand Re: Capital Components of Foreign Banks Branches

Item 2: Disclosure of capital in transitional period under the Basel III

Value of capital, inclusions, adjustments and deductions for the period of ..........................

1. In case of locally-registered bank1/

2. In case of foreign bank branch2/

column 1 column 2 column 3


- 4/2 -

Previous regulations (Basel II) New regulations (Basel III) To fill in transitional period table


Items eligible for inclusion in Common equity tier 1 (CET1)

1.1.1 Items eligible for inclusion in CET1 in full i.e. items 1.1.1 - 1.1.6 in Table 1 of Attachment

2

eligible for inclusion in CET1 in full eligible for inclusion in CET1 in full fill in column 2 item 1.1 using amount included in CET1

1.1.2 Items related to other comprehensive income from owner changes

(1) Changes in capital surplus from appraisal of lands, buildings or units in condominium include increases in appraisal values of lands,

buildings and condominium in T2 for 70% and

50% respectively

eligible for inclusion in CET1 in full fill in column 2 item 1.1 using amount included in CET1

(2) Profits (losses) from valuation of AFS (available for sales) debt and equity instruments include profits from valuation of AFS

instruments in T2 for 45%

1) in case of AFS equity instruments: include in

CET1 in full

2) in case of AFS debt instruments: profits

(losses) must be deducted from CET1 by 20% a

year

1) in case of AFS equity instruments: fill in column 2 item

1.1 using amount included in CET1

2) in case of AFS debt instruments:

- fill in column 2 item 1.1 using portion included in

(deducted from) CET1 in each year (in case of profits: to

be included in CET1, but in case of losses: to be deducted

from CET1)

- fill in column 3 item 1.1 for portion remaining from that

included in (deducted from) CET1 in column 2

(3) Profits (losses) from conversion of financial statement of a foreign operation - profits (losses) must be included in (deducted

from) CET1 by 20% a year

- fill data in column 2 item 1.1 using portion included in


be included in CET1; in case of losses: to be deducted

from CET1)



(4) Profits (losses) from fair valuation of derivatives for hedging cash flow risk (cash flow

hedge reserves)

- include in (deduct from) CET1 in full fill in column 2 item 1.1 using amount included in

(deducted from) CET1

(5) Profits (losses) from fair valuation of derivatives for hedging risk in net investment in a

foreign operation

- profits (losses) must be included in (deducted

from) CET1 by 20% a year

- fill in column 2 item 1.1 using portion included in


be included in CET1; in case of losses: to be deducted

from CET1)



1. In case of locally-registered bank

1.1

No. Items to be included in or deducted from capital

Description for filling in transitional period table for items to be included in or deducted from capital


- 4/3 -


1.1.3 Other items from owner changes, namely, capital surplus (deficit) from merging businesses

under the same control

- include in (deduct from) CET1 in full fill in column 2 item 1.1 using amount included in

(deducted from) CET1

1.2.1 Changes in fair value of derivatives for hedging cash flow risk (cash flow hedge reserves)

relating to items in the statement of financial position not indicated by the market value

- not allowed to have impact on capital value fill in column 2 item 1.2 using amount to be deducted from

CET1

1.2.2 Retained earnings (losses) arising from using fair value option method - not allowed to have impact on capital value fill in column 2 item 1.2 using amount to be deducted from

CET1

1.3.1 Items to be deducted from CET1 in full e.g. Net losses occurring in every accounting

period / Goodwill / Deferred tax asset (DTA)

deduct from CET1 in full deduct from CET1 in full fill in column 2 item 1.3 using amount to be deducted from

CET1

1.3.2 Intangible assets calculate RWA - deduct from CET1 by 20% a year

- calculate credit RWA under SA or IRB for

remaining portion

- fill in column 2 item 1.3 using portion deducted from

CET1 in each year


deducted from CET1 in column 2

1.3.3 Profits from securitization transactions - deduct from CET1 by 20% a year - fill in column 2 item 1.3 using portion deducted from

CET1 in each year



1.3.4 Investments in equity securities and warrants issued by companies that operate financial

business and supporting business, in case where bank does not own more than 10% of

issued common shares of such companies

calculate RWA calculate threshold deduction

- deduct from CET1 / AT1 / T2 in proportion to

type of investment by 20% a year

- for remaining portion, calculate credit RWA

under SA or IRB or calculate market RWA in

proportion to type of investment

- fill in column 2 item 1.3 or 1.5 or 1.7 using amount

deducted from CET1 / AT 1 / T2 (in proportion to type of

investment) in each year

- fill in column 3 item 1.3 or 1.5 or 1.7 for portion

remaining from that deducted from CET1 / AT2 / T2 in

column 2

1.3 Deductions from CET1

1.2 Regulatory adjustments to CET1



- 4/4 -


1.3.5 Investments in equity securities and warrants issued by companies that operate financial

business and supporting business, in case where bank owns more than 10% of issued

common shares of such companies

calculate RWA Calculate threshold deduction

- deduct from CET1 in proportion to type of

investment by 20% a year




- fill in column 2 item 1.3 using amount deducted from

CET1 (in proportion to type of investment) in each year



Additional tier 1 (AT1)

1.4.1 Items eligible for inclusion in AT1 in full i.e. items 1.2.1 to 1.2.4 in Table 1 of Attachment

2

include in AT1 in full include in AT1 in full - fill in column 2 item 1.4 using amount included in AT1

1.4.2 Financial instruments included in the capital but not eligible under Basel III (in case where

such instruments are AT1)

include in capital in full AT1 must be deducted from capital by 10% a

year, according to transitional arrangements for

instruments issued before 1 January 2013

(Attachment 8) of the Notification SorNorSor.

13/2555

- fill in column 2 item 1.4 using amount of instruments

eligible for inclusion in capital under the BOT regulations

- fill in column 3 item 1.4 using amount of instruments to

be phased out in the future

1.5.1 Items to be deducted from AT1 in full e.g. direct and indirect investments in AT1 of

commercial banks or other finance companies

deduct from AT1 in full deduct from AT1 in full - fill in column 2 item 1.5 using amount deducted from AT1

1.5.2 Investments in AT1 issued by companies that operate financial business and supporting

business, in case where bank owns more than 10% of issued common shares of such

companies

calculate RWA deduct from AT1

- deduct from AT1 in proportion to type of





- fill in column 2 item 1.5 using amount deducted from

AT1 in each year


deducted from AT1 in column 2

Tier 2 capital (T2)

1.6.1 Items eligible for inclusion in T2 in full i.e. items 2.1 to 2.4 in Table 1 of Attachment 2 include in T2 in full include in T2 in full fill in column 2 item 1.6 using amount included in T2

1.6.2 Items eligible for inclusion in T2 under relevant regulations i.e. items 2.5 to 2.6 in Table 1

of Attachment 2

include in T2 no more than 1.25% of RWA include in T2 no more than 1.25% of credit

RWA (under the regulations specified in

SorNorSor. 13/2555)

fill in column 2 item 1.6 using amount included in T2

1.6.3 Financial instruments included in the capital but not eligible under Basel III (in case where

such instruments are T2)

include in capital in full financial instruments included in capital must be

deducted from capital by 10% a year, according

to transitional arrangements for instruments

issued before 1 January 2013 (Attachment 8) of

the Notification SorNorSor. 13/2555

- fill in column 2 item 1.6 using amount of instruments

eligible for inclusion in capital under the BOT regulations

- fill in column 3 item 1.6 using amount of instruments to

be phased out in the future

1.7.1 Items to be deducted from T2 in full e.g. direct and indirect investments in T2 of

commercial banks or other finance companies

deduct from T2 in full deduct from T2 in full fill in column 2 item 1.7 using amount deducted from T2

1.6 Items eligible for inclusion in T2

1.7 Deductions from T2

1.4 Items eligible for inclusion in AT1

1.5 Deductions from AT1



- 4/5 -


1.7.2 Investments in T2 issued by companies that operate financial business and supporting

business, in case where bank owns more than 10% of issued common shares of such

companies

calculate RWA deduct from T2

- deduct from T2 in proportion to type of





- fill in column 2 item 1.7 using amount deducted from T2

in each year


deducted from T2 in column 2

include in capital in full include in capital in full fill in column 2 item 2.1 using amount included in capital

in each year

2.2.1 Items to be deducted from capital in full deduct from capital in full deduct from capital in full fill in column 2 item 2.2 using amount deducted from

capital

2.2.2 Goodwill - - deduct from capital by 20% a year

- calculate credit RWA under the SA or IRB for

remaining portion

- fill in column 2 item 2.2 using amount to be deducted

from capital in each year


deducted from capital in column 2

2.2.3 Intangible assets calculate RWA - deduct from capital by 20% a year

- calculate credit RWA under the SA or IRB for

remaining portion


from capital in each year



2.2.4 Investments in equity instruments and warrants to buy shares of companies that operate

financial business and supporting business, in case where a bank does not own more than

10% of issued common shares of such companies


- deduct from capital in proportion to type of






from capital (in proportion to type of investment) in each

year



2.2.5 Investments in equity instruments and warrants to buy shares of companies that operate

financial business and supporting business, in case where a bank owns more than 10% of

issued common shares of such companies


- deduct from capital in proportion to type of






from capital (in proportion to type of investment) in each

year




2. In case of foreign bank branch

2.1 Capital funds of foreign bank branch

2.2 Items to be deducted from capital of foreign bank branch


- 4/6 -

Bank A has the items which are related to the capital calculation, as follows:

1. Additional tier 1 issued on 1 Dec. 2012 of 100 million Baht (the instruments have all attributes under the Basel III except for loss absorbency at the point of non-viability)

2. Intangible assets of 25 million Baht (provided that there is no additional purchase or distribution of such assets during the year)

3. On 30 June 2013, the bank has profits from investments in AFS debt instruments of 50 million Baht.

4. On 30 June 2014, the bank has profits from investments in AFS debt instruments of 30 million Baht.

5. On 30 June 2014, the bank has losses from conversion of financial statement of a foreign operation of 20 million Baht

6. On 30 June 2013, the bank has CET1 of 1,000 million Baht (including retained earnings from Fair value option (FVO) method of 15 million Baht)

7. On 1 Jan. 2014, the bank has CET1 of 1,200 million Baht and the CET1 is increased during the period before 30 June 2014 by 500 million Baht.

No. Items related to the capital calculationAn amount to be included or deducted from

capital under the Basel III for 2013

An amount to be included or deducted from

capital under the Basel III for 2014

1 Additional tier 1 issued on 1 Dec 2012 of 100 million Baht to be deducted from capital by 10% a year (can

be included in capital for 90%) for a 10-year

period as from 1 Jan 2013 onwards; therefore,

the amount of instruments to be included in

capital in 2013 is 90 million Baht (100 million

Baht x 90%)

to be deducted from capital by 10% a year for

a 10-year period as from 1 Jan 2013 onwards

(in 2014, can be included in capital for 80%);

therefore, the amount of instruments to be

included in capital in 2014 is 80 million Baht

(100 million Baht x 80%)

2 Intangible assets of 25 million Baht to be deducted from CET1 by 20% a year as

from 2014; therefore, this item is not deducted

from capital in 2013

to be deducted from CET1 by 20% a year as

from 2014; therefore, this item is deducted from

capital in 2014 for 5 million Baht (25 million

Baht x 20%), and remaining portion is used to

calculate RWA.

3 Profits from investments in AFS debt instruments of 50 million Baht in case of profits from other owner changes: to

be included in CET1 by 20% a year as from

2014; therefore, this item must not be included

in capital in 2013.

-

4 Profits from investments in AFS debt instruments of 30 million Baht - in case of profits from other owner changes: to


2014; therefore, this item must be included in


Baht x 20%).

5 Losses from conversion of financial statement of a foreign operation of 20 million Baht - in case of profits from other owner changes: to


2014; therefore, this item must be included in


Baht x 20%).

Example: Disclosure of capital in transitional period under the Basel III

Calculation of capital to be disclosed in transitional period under the Basel III


- 4/7 -

unit : million Baht



Tier 1 capital :


Items eligible for inclusion in CET1 1,000

adjusted by regulatory adjustment to CET1 (15) 3/

less deduction from CET1

Net CET1 985

Additional tier 1

Items eligible for inclusion in Additional tier 1 90 4/

(90) 4/

less Items to be deducted from Additional tier 1

Net Additional tier 1 90

Total Tier 1 capital (CET1+ Additional tier 1) 1,075

Tier 2 capital :

Items eligible for inclusion in Tier 2 capital

less deduction from Tier 2 capital


Total capital (Tier 1 and Tier 2 capital) of locally-registered commercial bank 1,075

Capital of foreign bank branch

less deduction from capital of foreign bank branch


3/CET1 must be adjusted by retained earnings from FVO method

4/ AT1 from instruments included in the capital in 2013 equals to 90 million Baht (item no. 1), where 10 million Baht has already been deducted from the capital; therefore, the remaining portion to be deducted from the capital of 90 million Baht (in negative value) will

be filled in column 3.

Disclosure of capital in transitional period under the Basel III for the period of June 2013

Value of capital, inclusions, adjustments and deductions for the period of June 2013

1. In case of locally-registered commercial bank1



- 4/8 -

unit : million Baht



Tier 1 capital :


Items eligible for inclusion in CET1 1,702 5/

8 6/

adjusted by regulatory adjustment to CET1

less deduction from CET1 (5) 7/

(20) 7/

Net CET1 1,697

Additional tier 1

Items eligible for inclusion in Additional tier 1 80 8/

(80) 8/

less Items to be deducted from Additional tier 1

Net Additional tier 1 80

Total Tier 1 capital (CET1+ Additional tier 1) 1,777

Tier 2 capital :

Items eligible for inclusion in Tier 2 capital

less deduction from Tier 2 capital


Total capital (Tier 1 and Tier 2 capital) of locally-registered commercial bank 1,777

Capital of foreign bank branch

less deduction from capital of foreign bank branch


5/CET1 is increased from CET1 on 1 Jan. 2014 of 1,200 million Baht + CET1 during the period before 30 June 2014 of 500 million Baht + profits from investments in AFS debt instruments included in CET1 in 2014 of 6 million Baht (item no.4) -

losses from conversion of financial statement of a foreign operation deducted from CET1 in 2014 of 4 million Baht (item no.5) = 1,702 million Baht

6/Remaining portion from that to be included in (deducted from) CET1 of 8 million Baht is from profits from investments in AFS debt instruments to be included in CET1, for remaining portion, of 24 million Baht (item no.4) - losses from

conversion of financial statement of a foreign operation to be

7/Intangible assets deducted from CET1 in 2014 of 5 million Baht (item no.2) and remaining portion from that to be deducted from CET1 of 20 million Baht

8/AT1 from financial instruments included in the capital in 2014 is equal to 80 million Baht (item no.1), which is from that deducted from the capital of 20 million Baht; therefore, remaining portion to be deducted from the capital in the future

is equal to 80 million Baht (shown in negative value) will be filled in column 2.

Disclosure of capital in transitional period under the Basel III for the period of June 2014

Value of capital, inclusions, adjustments and deductions for the period of June 2014

1. In case of locally-registered commercial bank1



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