REPO from Local Perspective by Manaviga Piyapimook Department Head

1
REPO from Local Perspectiveby Manaviga
Piyapimook(Department Head Senior Vice
President)andMongkol Mathangkul (Vice
President)Central Treasury DepartmentKASIKORNBAN
K
6th November 2009
2
Agenda

• REPO Market Development in Thailand
• Why Private REPO ?
• Market Convention
• Key Enabler
• QA

3
Agenda

• REPO Market Development in Thailand
• Why Private REPO?
• Market Convention
• Key Enabler
• QA

4
Market Liquidity
Injection
BOT
Monetary policy instruments
Liquidity system
Absorption
5
Monetary policy instruments Open Market
Operations (OMOs)
6
Market Liquidity BOT Absorption
7
Private REPO Market Development
?????????? GMRA ????????
???????????????????Private Repo ??????????
???.?????????????????? Private Repo
Market Growth ????????? ??????????????
?????????????
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
??????? BOT Repo ?????? 13 ?.?. 2008 ????????????
BOT Debt. ????????????? ???. ?????? Bilateral
Repo ??? BOT Debt.
??????? BOT Repo ??????? ?????? 1 ??.?. 2004
???. ?????????????????? Bilateral Repo ???? PD
??????????? Bilateral Repo
8
Private REPO Growth 2009

• ???????????????????????????????? 2552
  ?????????????? 2551 ?????? 1,222

(???????????????? ThaiBMA)
9
Private REPO Key Successes

• ????????????????????????????
• ???????????????????????? ????????
  ??????????????????
• ??????????????????????????? ???? ???. ???????
• ???????????????????????????????????????
• ??????????????????????????????????????????????????
  
• ??????????????????????????????????????
  ??????????????????? (GMRA)

10
Private REPO Market Shared by value
(???????????????? ThaiBMA)
11
Agenda

• REPO Market Development in Thailand
• Why Private REPO?
• Market Convention
• Key Enabler
• QA

12
Why Private REPO? Products Characteristic
Comparison
13
Why Private REPO? Products Characteristic
Comparison
14
Why Private REPO? TAX

• ?????????????????? Capital Gain ????????????
  ??????????????????????????????????
• ??????????????????????????????????????????????????
  ??? (income tax 30) (SBT0.01)
• ????????????????????????? Margin ?????????????
  (income tax 30) (SBT0.01)
• ????????????????????????????????????????????
  (Manufactured Interest)
• ???????????????? ????????????????????????????????
  ????????????????????????????.??????? (withholding
  tax)
• ?????????????????????????????????????????????????
  ????????? (??????????????) ???????????????????????
  ???
• ????.????????????????????????????????????

15
Why Private REPO? Risks Comparison
16
Why Private REPO? Benefit Strategies

• Bond Holder
• ????????????????????????????
• Illiquid Bond ???????????????????????????????
• ???????????????
• ?????? Gap risk
• ??? Funding ??????????????????????
  ????????????????????????????????????? Credit risk
  ??????

• Cash Holder
• ???????????????
• ????????????????????????????? ??????? Bond ????
  Collateral
• ?????? Reserve
• ???????? Bond collateral ?????????????????????
  Reserve ??? (?????????????????????????????????????
  ???? ?????????????????????????)

?????????????????? ???????????????????????.
????????????????????????????? ?????????????? ?????
??? Bond Collateral ?????????????????
17
Agenda

• REPO Market Development in Thailand
• Why Private REPO?
• Market Convention
• Key Enabler
• QA

18
Private REPO and Regulations
Baht
cross-currency
Foreign currency
Lending
Individual personJuristic person (THAI)
FI (Fx license)
FI (Fx license) Non-resident
Juristic person (THAI) FundsFI that issue THB
debt
Borrowing
Treasury Bill, Govt. bonds, BOT bonds, State Ent.
Bonds and debts guaranty by Govt. Other bonds
which BOT approvedBaht debt as prescribed by
MOFBaht debt with credit rating ? BBB
Eligible securities
Baht debt
Foreign currency bonds issue by Thai
Govt.Foreign currency bonds issue by Foreign
Govt.Foreibn currency debt with credit rating ?
BBB
Foreign currency debt
19
REPO in Thailand
20
??????????????????? Private Repo

• ????????????????? GMRA
• ?????????????????????
• ????????????????????????????????????
• ????????????????????????????
• ??????????????????????????????

GMRA
Dealing
Collateral Calc.
Margin
Settlement
21
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
GMRA
ANNEX I
ANNEX II Confirmation
Thailand Annex
ANNEXIII Buy/Sell Back
Agency Annex
?
Confirmation I
Confirmation II
Confirmation N
22
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing

• ???????????? GMRA ??????????? 21 ??????
  (Paragraph)
• ???????????????????????????????? ???????????????
  ????????
• ????????????????? ???????????????????
  ???????????????????????
• ??????? Margin
• ????????????????????
• ????????????????
• ??????????
• ??????????????????

23
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing

• Key Negotiation
• Size
• Tenor
• Repo Rate
• Bond Type
• Confirm
• Required Collateral (Unit)

24
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing

• ??????????????????? (Purchase Price)
  ??????????????????????????????????????
• ??????????????????????????????? (Securities
  Value) ?????????????????????????? (Gross Price) ?
  ????????????????????????????? ????????????????????
  ??????????????????????????????????????????????????
  ????????????
• ????????????????????????????????????????????????
• Initial Margin (Hair Cut) ????????????????
  (????????????? Haircut ??? ???.)

25
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
26
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
27
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
28
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
(??????????????? 1 ??????? 2552 ?????????)
Haircut
29
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
Required Collateral Purchase Price x
(1haircut) Security Value
30
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
??????????? 2 LB108A ????? 1,000,000
????? LB11NA ???????????? ?????????????????????
LB108A ??????????????????????????????? ????????
LB108A ????? 1,000,000 ?????????????????
(1,000,000 x 102.04x 1,000) 1,020,400,000
??? ??????? ???????? LB108A ????????????????????
1,020,400,000/(10.01) 1,010,297,029.70
??? ???????????? ??????? 1,500,000,000.00
??? ??????????? LB108A ??????????????
1,010,297,029.70 ??? ?????????????????????????
?? LB11NA ????? 489,702,970.30
??? ?????????????????????? LB11NA ?????
(489,702,970.30 x (10.03)) 504,394,059.41
??? (504,394,059.41/(106.03x1,000))
475,708.82 ????? ?????????????????????????
100,000 ??? 475,800 ?????
31
??????????????????? Private Repo
Margin
GMRA
Settlement
Collateral Calc.
Dealing
32
??????????????????? Private Repo
Margin
GMRA
Settlement
Collateral Calc.
Dealing
33
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
34
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
??????
???????
Confirmation
1
????????????????
???????
???????????? Confirmation ????? 2 ????
?????????????????? 1 ????
????
SWIFT
Confirmation MT 298 ?????????????????
Confirmation MT 298 ?????????????????
35
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
Settlement
36
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
MTM for Margin Maintenance
37
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
Margin Call
38
??????????????????? Private Repo
Margin
GMRA
Collateral Calc.
Settlement
Dealing
Settlement
39
Agenda

• REPO Market Development in Thailand
• Why Private REPO?
• Market Convention
• Key Enabler
• QA

40
Key Enabler

• ????????????????????????????????????????????????
  ???????????????????????????????????????
  ?????????????????????????????????
• ??????????????????????????????????
  ????????????????????????????????
  ?????????????????????????????????????????
• ??????????????????????????????????????????????????
  ?????? ???????????????????????????????????????????
  ?
• ????????????????????????????????????????????
  ??????????????????????????????????????????
• ?????????????????????????????????????????????
  ?????????????????

41
Q A
42
(No Transcript)
43
Appendix
44
??????????????????????????

• www.bot.or.th
• ?????? ????????????????????????????
• ????????? ???. ?????? ???????????????????
• www.thaibma.or.th
• ?????????????????????????????????????????????????
  ???????????????????????????? (8 ??.?. 49)
• ??????????????????????????????????????????????
  ?????????????????????????????????????????????????
  ??? (24 ?.?. 44)
• www.rd.go.th
• ????????????? ????????????????????????????????????
  ??
• www.isma.org
• Global Master Repurchase Agreement (ISMA/GMRA)

45
Private Repo ???????
46
Private Repo ???????

• ???????/???????????????????????????????/???????
  ??????????????? Global Master Repurchase
  Agreement (GMRA)
• ?????????????????????????????????????????? ???
  ??????????????????????????????
• ????????????????????????????????????????
  ??????????????????????????????????????????????????
  ????????????????????????????? Private Repo ??????

47
Private Repo ??????? (???)
Reverse Repo
Repo
Securities
??????
?????????
??????????
Cash
Securities
??????
?????????
???????????????
Cash Repo Interest
48
Private Repo ??????? (???)

• ???????????????? ?????????????????????????????????
  ????? ??? Haircut/Initial Margin
• ??????????????????????????????????????????????????
  ??????????? (Mark-to-Market)
• ???????????????/?????? Margin ????????????????????
  ????????/????????????????? (???????????????)
  ??????????????????????????
• ??????????????????? (Coupon) ?????????????????????
  ???????

49
KBANK Performance
50
????????????? KBank ?????? Private Repo
????????????????????? 5 ??????????????????????????
???????????????????????????????? Private Repo
?????????????????????????????????????????
(Private Repo) ????????? 2004
??????? 4 ?????? ?????????????????????????????????
???? GMRA ??????????????????
??????????????????????????????????????????????????
?????????????????????????????????????

• ??????????????????????????????????????????????????
  ?????? Private Repo ???????????????????,
  ????????????????, ????????????????????????????,
  ???????????? ??????????????????????
• ??????????????????????????????????????????????????
  ??????????????????????
• ???????????????????????? ???????????????????
• ??????????? 11 ?????????? (Primary Dealer)
  ??????????????????????

51
KBANK

• ????????????????????????????????
  ?????????????????????????????
• ??????????????????????????????????????? private
  repo ??????
• ??????????????????????????????????????
  (??????????????????)
• ???? Competitive
• ??????????????????????????????????????????????
  Private Repo ???? ??????????, ????????????????,
  ??????????????????????????????,
  ?????????????????????????, ?????????? ???????
• ???????????????????????????????

52
??????????? Front
??????????? Collateral
??????????? Settlement