Thai CB Credit Risk-Weighted Assets

On Dec. 2, Thai CB issued draft rules on derivatives transactions.

  • Thai CB proposed draft regulations on the calculation of counterparty credit risk-weighted assets for derivatives for commercial banks and financial business groups.
  • Draft Regulations
  • Commercial banks and financial business groups are required to maintain additional capital funds for the purpose of credit valuation adjustment risk (CVA risk).
  • Currently, Thai CB supervises the capital of financial business groups but the draft rules enable capital maintenance of financial business groups on a solo basis.
  • As well as assign risk weights for counterparties that are the central clearing house.
  • Reflect risks from derivative transactions with sufficient capital to cover counterparty credit risks for derivative transactions; and conform to international standards.
  • Commercial banks and financial business groups will be given one year to prepare before the regulations on calculating risk-weight assets are in force on Dec. 1, 2023.
  • Effectiveness
  • Opinions and suggestions on the draft guidelines are welcome until Dec. 17, 2022.
  • Nov. 2023 Revised Criteria
  • On Nov. 2, 2023, Thai CB revised the criteria for calculating credit risk-weighted assets of counterparties for derivative transactions for commercial banks, finance companies.
  • New report format with improved criteria for calculating credit risk-weighted assets from defaulting on debt repayment by counterparties, and for calculating credit risk-weighted assets by adjusting the credit quality of the counterparty.
  • Applies to submission of reports for Jul. data reporting period from 2024 onwards.

Regulators Thai CB
Entity Types B/D; Bank; IA; Inv Co
Reference Cir 9/2566, 10/2566, PR 18/2566, 11/2/2023; CP, 12/2/2022
Functions Financial; Reporting; Risk; Treasury
Countries Thailand
Products Banking; Derivatives; Fund Mgt
Regions AP
Rule Type Final
Rule Date 12/2/2022
Effective Date 7/31/2024
Rule Id 155475
Linked to N/A
Reg. Last Update 11/2/2023
Report Section International

Last substantive update on 11/07/2023