14 March This Policy Statement is applicable to all retail banks.

Size: px

Start display at page:

Download "14 March This Policy Statement is applicable to all retail banks."

Delphia Dalton
5 years ago
Views:

1 Unofficial Translation by the courtesy of The Foreign Banks' Association This translation is for the convenience of those unfamiliar with the Thai language. Please refer to the Thai text for the official version March 2006 BANK OF THAILAND To Managers All Retail Banks No. ThorPorTor.PhorNorSor.(21) Wor. 348/2549 Re: Policy Statement on Maintenance of Foreign Exchange Positions for Retail Banks and Relevant Report Forms 1. Rationale To enhance supervision on maintenance of foreign exchange positions by retail banks meet international standard and to reflect foreign exchange risk more effectively and appropriately 2. Scope of Application 3. Contents This Policy Statement is applicable to all retail banks. 3.1 Criteria for maintaining aggregate currency position (Aggregate Limit) Retail banks shall maintain an aggregate position in proportion to their capital fund at the end of each day at a rate of not exceeding 20 per cent or USD 2 million, whichever is greater. 3.2 Calculation of aggregate currency position (Aggregate Position) The aggregate currency position is the higher amount of the following: 1) Sum of all net FX overbought positions converted to USD currency and 2) Sum of all net FX oversold positions converted to USD currency The calculation method for Net open position in each currency is illustrated as follows: (1) Foreign currency assets in each currency Less (2) Foreign currency liabilities in each currency (1) (2) = (3) Net Spot Positions in each currency (4) Forward Bought Contract in each currency BOT Notification No ( ) (2).doc Page 1

2 Less (5) Forward Sold Contract in each currency (4) (5) = (6) Net Forward Positions in each currency (3) + (6) = (7) Net Foreign Exchange position in each currency 3.3 Definition of Capital Fund Retail banks shall refer the definition of Capital fund pursuant to the Notification of the Bank of Thailand Re: Stipulating the Commercial Banks registered in Thailand to maintain its capital fund and as amended. 3.4 Calculation of Maintenance of Foreign Exchange Positions and Reporting Requirement and Form Retail banks shall prepare the aggregate positions report form by using data as of last Thursday of each month and submit the said report form in CRF File to the Data Management Group, the Bank of Thailand within 10 working days from end of the month. The first report shall start with the data as of April 2006 onwards. However, prior to preparation of said report, the retail banks shall notify the Analysis and Monitoring Department, Supervision Group of source of exchange rate to be applied for converting foreign exchange position in each currency to USD. 4. Effective Date This circular shall come in force from the date of this circular. Please be informed and observe accordingly. Regards, (M.R. Pridiyathorn Devakula) Governor Encl: Aggregate Positions Report Form and Explanation Prudential Policy Department Tel , Remark: [ ] Bank of Thailand will arrange a clarification meeting on. [X] No clarification meeting is arranged. BOT Notification No ( ) (2).doc Page 2

3 Explanation on the Preparation for Aggregate Positions Report Form Preparation 1. Retail banks shall have system to accommodate the preparation for Aggregate Positions Report Form as prescribed by the Bank of Thailand and submit said Report Form filled in with data as at last Thursday of every month to the Data Management Group, the Bank of Thailand within 10 working days except in case that last Thursday of the month is holiday, retail banks shall report the data of previous working day. 2. In converting position of other currencies to USD, both Spot Position and Forward Position, retail banks shall apply exchange rate obtained from a reliable data source i.e. Reuters, Bloomberg, Telerate or weighted average of average buying rate (TT) and average selling rate according to the Notification of the Bank of Thailand Re: Reference Exchange Rates of Commercial Banks. However, a retail bank shall consistently apply the exchange rate from the same data, except for last working day of the month retail banks are required to apply average buying rate (TT) and average selling rate of the said notification. However, the financial institutions shall notify the Bank of Thailand of data source of exchange rate to be applied for converting foreign exchange position of each currency to USD and if retail banks wish to change the data source of exchange rate, retail banks shall give reasons and request for prior approval from the Bank of Thailand. Definition of Item 1. Sum of all net FX overbought position Sum of all net FX overbought position is sum of Net open position in each currency, which is in overbought position (with a sign of + ) after being converted to USD. 2. Sum of all net FX oversold position Sum of all net FX oversold position is sum of Net open position in each currency, which is in oversold position (with a sign of - ) after being converted to USD. 3. Aggregate Currency Position (Aggregate Position) Aggregate Currency Position is Sum of all net FX overbought position as mentioned in No. 1 or Sum of net FX oversold position as mentioned in No. 2, whichever is higher per cent of Total Capital (Aggregate Limit) 20 per cent of total capital is the outcome of total capital in No. 5 multiplied by the rate of 20 per cent. 5. Total Capital Total Capital is total capital of retail banks, definition of which is referred to that of defined in the Notification of the Bank of Thailand Re: Stipulating the BOT Notification No ( ) (2).doc Page 3

4 Commercial Banks Registered in Thailand to Maintain Capital Fund and as further amended, that is reported in unit equivalent in USD thousand. Remark: Retail banks are required to prepare the data of Net open position in each currency, which is used for calculating Aggregate Position and keep them in the office readily available for BOT s inspection or submission to BOT upon request. Net open position in each currency is the sum of Net spot Positions and Net forward positions in each currency, by which 1. Net spot positions mean the outcome of foreign currency assets less by foreign currency liabilities. Whereas the assets are higher than the liabilities, the amount of net spot positions shall be specified with the sign +, and with the sign - if the assets are less than the liabilities. In this regard, 1.1 Foreign currency assets mean the outstanding of foreign currency assets as of the reporting date, which may comprise of cash in hand and/or interbank and money market transactions and/or investment in foreign currency assets and/or other foreign currency assets as accrued interest, prepaid expenses and accrued expenses, accrued income, etc., excluding fixed assets as land, building, leasehold of land, building and equipment and etc. 1.2 Foreign currency liabilities mean the outstanding of foreign currency liabilities as of the reporting date, which may comprise of borrowing and/or other liabilities in foreign currency e.g. accrued expenses, etc. 2. Net forward positions mean outstanding of Forward bought contract less with outstanding of Forward sold contract. Whereas the outstanding of forward bought contract is greater than that of sold contract, the amount of net forward positions shall be specified with the sign +, and with the sign - if the outstanding bought contract is less than that of sold contract. In this regard, 2.1 Outstanding Forward bought contract means total notional amount of contingent liabilities incurred from Forward contract for sale/purchase or exchange of foreign currency e.g. Outright Forward, FX Swap, Currency Options, Cross Currency Swap, Currency Futures and others, only on purchasing side. 2.2 Outstanding Forward sold contract means total notional amount of contingent liabilities incurred from Forward contract for sale/purchase or exchange of foreign currency e.g. Outright Forward, FX Swap, Currency Options, Cross Currency Swap, Currency Futures and others, only on selling side. BOT Notification No ( ) (2).doc Page 4

5 Report Form on Aggregate Position Name of Retail Bank.. Foreign Exchange Position Banking Business 1. Net Spot Position Less 2. Foreign currency loan classified as doubtful of loss Less 3. Waived items Less 4. Reserves for non-performing debt in foreign currency 5. Net Spot Foreign Exchange Position ( ) 6. Net Forward Position Adjusted by 7. (plus / less) Net notional amount of Currency Options Contract as indicated in Item 6 8. (Plus / Less) Equivalent value of Cash position of net notional amount of Currency Options Contract 9. Irrevocable guarantee [shall be indicated as Short Position (-)] 10. Net Foreign Exchange Forward Position [ ] 10.1 Present Value (PV) of Net Foreign Exchange Forward Position shown in Item 10 (only for banks that obtained permission) 11. Net Foreign Exchange Position of each currency International Banking Facilities (IBF) 12. Net Foreign Exchange Position of each currency Total amount of all currency Daily Report on Summary of Foreign Exchange Position As at.. Foreign Currency (Unit: USD 000) Foreign Branch Offices (only for commercial banks registered in Thailand) 13. Net Foreign Exchange Position of each currency 14. Total Net Foreign Exchange Positions of each currency ( ) (Individual Currency Position) percent of Total Capital (Individual Currency Limit) 16. Sum of all net FX overbought positions 17. Sum of all net FX oversold positions 18. Foreign Exchange Position of all currency (Aggregate Position) (i.e. the higher amount between the total amount of all currencies in Item 16 and percent of Total Capital (Aggregate Limit) 20. Total Capital BOT Notification No ( ) (2).doc Page 5

BOT Notification No (27 September 2017)-check

BOT Notification No (27 September 2017)-check Unofficial Translation This translation is for the convenience of those unfamiliar with the Thai language Please refer to Thai text for the official version -------------------------------------- Notification