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Collateral Management. Indonesian Clearing and Guarantee Corporation (KPEI) Indonesia Stock Exchange Building, Tower 1 4-5 th Fl Jl. Jend. Sudirman Kav. 52 – 53 Jakarta - INDONESIA. The ACG Cross Training, Dhaka 2-5 July 2009. Agenda. Overview

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Collateral management

Collateral Management

Indonesian Clearing and Guarantee Corporation (KPEI)

Indonesia Stock Exchange Building, Tower 1 4-5th Fl

Jl. Jend. Sudirman Kav. 52 – 53

Jakarta - INDONESIA

The ACG Cross Training, Dhaka 2-5 July 2009


Agenda
Agenda

  • 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
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
General Scheme of Risk Management KPEI

kpei

Placement / Margin Call

Collateral

Netting/Novation

Member

Memberships Req

and NAWC

Right/Obligation

Risk Calculation

Trading

Limit

Risk Exposure

-

SX Trading

Free Collateral

Guarantee Fund

Management

GF Charge


Collateral structure

Bank Guarantee

Stock Exchange Seat

Time Deposit

Gov Bond

Treasury Bills (SBI)

Offline Collateral

Online Collateral

Total Collateral

Cash

Securities

COLLATERAL STRUCTURE

Account 004


Instruments acceptable as collateral
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
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
COLLATERAL VALUATION

Online Collateral in Collateral account at KSEI :

----------------------------------------------------------------------------------

Collateral Valuation

===============================================================================

Cash 100 %

Securities (Lowest Price andHaircut )

Offline Collateral deposited to KPEI :

------------------------------------------------------------------------------------------------

CollateralValuation

==============================================================

Time Deposit (IDR) 98 %

Time Deposit (US$) 95 %

Bank Guarantee 95 %

Stock Exchange Memberships IDR 50.000.000

SBI (Certificate of Central Bank) 98%

Bonds Haircut from Rating


Marked to market
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)



What is 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).


Deliver Securities /Cash

002 & 004

Decreasing Blocked Collateral

Similar Securities / Cash ?

Yes

Perfect Collateral

No

No Changing on Blocked Collateral

How ?


Collateral placed in kpei acc
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 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
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 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)



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