Thailand: Financial System Stability Assessment; imf country Report No. 19/308; September 10, 2019
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Comments and Priority 5 assets where this would impair the ability to liquidate such assets quickly without significant adverse price effects. 5 Haircuts are determined by ERMD by calculating VaR at a 95 percent confidence level. The data cover a long historical time span that includes several stressed periods. Volatilities of collateral values are calculated as inputs of the haircuts, based on the number of days required for liquidating the collaterals. The BoT continuously reviews volatilities of collaterals’ values and adjusts the haircuts to reflect any new stressed period. There is a need for an independent review and test of the haircut methodology. BoT Short-term, Medium-priority 7 Larger participants have to post at the beginning of the day collateral representing 10 percent of the average value of their transactions in BAHTNET because there is no automated collateral management system. It is suggested to develop an automated collateral management system where the account balance would trigger the mobilization of collateral, to limit the opportunity cost for participants. BoT Medium-term, Medium-priority 5 The bankruptcy remoteness of BAHTNET collateral securities balances held in TSD’s name could be questioned: when TSD accepts the deposit of securities, it records the securities balance under its own name and holds such securities balances for the depositor or for any customer who is the beneficial owner of securities. It is recommended to explore what would happen to assets held by BAHTNET in case of default of TSD. BoT, SEC Medium-priority, Medium-term 17 There are strong interdependencies between BAHTNET, TSD, and TCH, which should be incorporated more in the BCP scenarios. It is suggested to adopt a holistic approach considering various disaster scenarios where the operations of more than one FMI would be disrupted. BoT, SEC Medium-priority, Short-term |
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