Transcript Collateral Management - Asia Pacific CSD Group

Collateral Management
The ACG Cross Training, Dhaka 2-5 July 2009
Indonesian Clearing and Guarantee Corporation (KPEI)
Indonesia Stock Exchange Building, Tower 1 4-5th Fl
Jl. Jend. Sudirman Kav. 52 – 53
Jakarta - INDONESIA
Agenda
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Overview
Collateral Structure for Equities, Bonds, and SBL Transactions
Acceptable Collateral Criterion
Collateral Valuation
Perfect Collateral
KPEI Financial Buffer (for Defaulting Members)
Risk Management Development at KPEI
Overview
• Collateral as one of Risk Management Tools in KPEI.
• Collateral Management:
– Must be valued properly
– Must be sufficient
• Comparison against Exposure / Outstanding Positions
• Part of Trading Limit Calculation (Equities, Bonds Market, SBL
Transaction)
• Collateral Management Development
General Scheme of Risk Management KPEI
Placement / Margin Call
kpei
Collateral
Netting/Novation
Member
Memberships Req
and NAWC
iMac
Right/Obligation
Risk Calculation
Trading
Limit
Risk Exposure
SX Trading
Free Collateral
GF Charge
Guarantee Fund
Management
COLLATERAL STRUCTURE
Bank
Guarantee
Time Deposit
Stock
Exchange
Seat
Gov Bond
Offline
Collateral
Online
Collateral
Total
Collateral
Account
004
Cash
Securities
Treasury
Bills (SBI)
Instruments Acceptable as Collateral
Offline Collateral (ownership documents given to KPEI)
• Time Deposit (IDR and US$)
- haircut: 2% - 5%
• Bank Guarantee (IDR and US$)
- haircut: 5%
• Stock Exchange Membership Seat (Equity and Fixed Income)
• Indonesian Government Bonds (Fixed Rate, Variable Rate and Retail)
- haircut: 10% - 20% (could also be place in online collateral account)
• BI Treasury Bills (Sertifikat Bank Indonesia)
- haircut: 5%
Online Collateral (linked to the Indonesian Central Securities Depository)
• Cash
- currently national currency (IDR) and (USD)
- future; other currencies (Euro, Yen, etc).
• Listed securities
- Stocks, Indonesian Government Bonds, Corporate Bonds
- haircut: 5% - 100%
Online Collateral Valuation
• Cash (IDR),
- valued 100 % (No Haircut)
- get interest from participating banks
• Acceptable Securities,
- marked to market, lowest price in last three trading days.
- haircut determined by fundamental & market analysis
(liquidity & volatility)
COLLATERAL VALUATION
Online Collateral in Collateral account at KSEI :
---------------------------------------------------------------------------------Collateral
Valuation
===============================================================================
Cash
100 %
Securities
(Lowest Price and Haircut )
Offline Collateral deposited to KPEI :
------------------------------------------------------------------------------------------------
Collateral
Valuation
==============================================================
Time Deposit (IDR)
Time Deposit (US$)
Bank Guarantee
Stock Exchange Memberships
SBI (Certificate of Central Bank)
Bonds
98 %
95 %
95 %
IDR 50.000.000
98%
Haircut from Rating
MARKED TO MARKET
 Marked to market is done when there is a new lowest / highest
price of securities
 Adjustment of collateral and exposure is done two times a day:
 Interday:
 End of day
 Intraday:
 End of first session
 Every 30 minutes (in progress)
PERFECT COLLATERAL
What is Perfect Collateral ?
• Perfect Collateral is securities owned by CM in Delivery
Acc./and Collateral Acc. that match with CM’s outstanding
obligations
• If CM has obligations to deliver the same stocks which its own
in Delivery Acc. / and Collateral Acc., then those obligations
will be released. It’s called perfect collateral until settlement
date due (T+3).
How ?
Deliver
Securities
/Cash
002 & 004
Decreasing
Blocked Collateral
Similar
Securities
/ Cash ?
No
No Changing on
Blocked Collateral
Yes
Perfect
Collateral
Collateral Placed in KPEI Acc.
Total Collateral Value (Offline & Online) placed in KPEI Acc. as
of 29/05/2009: IDR 6.300.332.855.416 (US$ 630.033.285)
Consist of :
- Offline Collateral : IDR 4,139,270,765,063 (US$ 413,927,076)
- Online Collateral : IDR 3,614,182,147,574 (US$ 361,418,214)
- Cash
: IDR 355,819,101,705 (US$ 35,581,910)
- Securities : IDR 3,258,363,045,869 (US$ 325,836,304)
Currency Notes:
US$ 1 = IDR 10,000
Guarantee Funds Positions
Guarantee Funds managed by KPEI
as of 29/05/2009: IDR 978,409,578,437,(US$ 97,840,957)
Currency Notes:
US$ 1 = IDR 10,000
KPEI Financial Buffer
Based on Government Regulation (Bapepam) No.III.B.6: Guarantee for
Transactions in SX
1. Cash in Defaulting Member’s Collateral Account,
2. Selling Out Securities in Defaulting Member’s Collateral Account,
3. Credit Line from Banks,
4. Reserved Funds from part of KPEI’s Current Year Pre-Tax Earning
5. Selling Out Defaulting Members’ SX Memberships,
6. Guarantee Funds, as of 29/05/2009: IDR 978,409,578,437 (US$ 97,840,957)
7. Credit Ring from All Clearing Members of KPEI
Currency Notes:
US$ 1 = IDR 10,000
Risk Management Development at
KPEI
• Risk exposure calculation:
– Hs VaR at portfolio basis
– Net exposure as sum of three days outstanding positions exposure
– Exposure calculation up to client level
• Collateral Management Development:
– Pool collateral account (Clearing Member account) and client’s
subaccount
– Eligibility for collateral allocation
• Update free collateral (exposure and market data at near real time basis)
Q&A