Figure 11. Thailand: Profile of New Mortgages
The proportion of new housing loans has been increasing in recent years, though it declined in the course of 2018.
The proportion of households with high mortgage debts service ratio continued to edge higher.
Source: The BoT.
B. Liquidity Stress Tests
10. A set of liquidity stress tests was performed jointly by the BoT and the FSAP team
based on commonly agreed assumptions. The tests were based on two frameworks: (i) a severe
scenario reflecting shocks to a baseline scenario, with outflows of retail deposits, wholesale funds,
and mutual funds due to a confidence crisis and a resulting sharp exchange depreciation; and (ii) an
implied cash-flow-based analysis by maturity bucket ranging from seven days to more than a year,
with the same severe scenario in the liquidity coverage ratio (LCR) analysis resulting in higher run-off
rates on funding sources. An analysis of the Net Stable Funding Ratio (NSFR) was not undertaken
due to inadequate quality of the NSFR reporting, which began only in September 2018. All these
3
In the BoT stress-testing framework, these risks are indirectly captured in the probability-of-default satellite models
of banks that have a significant proportion of housing loans in their portfolios by including the change in house
prices among the regressors.
300
330
360
390
420
450
0.0
20.0
40.0
60.0
80.0
100.0
120.0
140.0
2013
2014
2015
2016
2017 Q3 2018
>60%
40%-60%
20%-40%
M-DSR<=20%
median tenor (months, RHS)
Proportion of Loan Accounts by M-DSR and
Tenor or Borrowers in the Banking System
(In percent)
0.0
10.0
20.0
30.0
40.0
50.0
60.0
20
14
Q
1
Q2
Q3
Q4
20
15
Q
1
Q2
Q3
Q4
20
16
Q
1
Q2
Q3
Q4
20
17
Q
1
Q2
Q3
Q4
20
18
Q
1
Q2
Q3
LTV > 90%
LTV (+ Top up)>100%
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