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FINAL DRAFT

2550

FINAL DRAFT

FINAL DRAFT


.. 2536


.. 2540
2544


(tensions)


(excess liquidity)


(free float)

(herd mentality)


20
60.5 48.2
8 .


. .
.
( )

FINAL DRAFT



(.)
.

() 0.25

(
bid-ask spread)

... (... )


(class action law)





Basel II




Prompt Corrective Action




FINAL DRAFT

1. ....................................................8
1.1 ........................................................................................8
1.2 .......................................................14
1.3 ......................................................................16
2. ..........................................20
2.1 ...........................................................21
2.2 ....................................................................24
2.2.1. .......................................25
2.2.2. .....................................................................................31
2.2.3. .....................................................................................39
2.3 .....................................................................................................................................48
3. .........................................50
3.1 : ..............................50
3.1.1 ............................................51
3.1.2 ...............................59
3.1.3 2544 ..........................63
3.2 :
...........................................................................................................71
3.2.1 :
.............................................................................................................................71
3.2.2 Financial Sector Master Plan........................................74
3.3 ...................77
3.3.1 (Competition Landscape)..................................77
3.3.2 Non-Bank
(Regulatory Architecture)..........................................................................................................80
3.4 .....................................................................................................................................84

FINAL DRAFT

1: GDP
2531 - 2543 2544 - 31 2550......................14
2: . 20 .. 2539 2550 ......32
3 BIBF .............................................54
4 Loan Portfolio ...............................55
5 .........................................................58
6
14 ...........................................62
7
......................................................76
8 .............................78
9 Non-Bank .......................................................................83

1: GDP ..........................8
2: .............10
3: %
Gross Fixed Capital Formation .................................................................................11
4:
2542-2545........................................................................................12
5:
2546-2548........................................................................................13
6:
2540- 2550......................................................13
7: 2535 2550........................................17
8:
........................18
9:
2544 30 2550.....................................................................................19

FINAL DRAFT

10: (
) 2535 6 2550 .....................................22
11: (emerging
markets) 2544-2549......................................................................23
12: .......................................................27
13: 2549 ...............................29
14: . (SET)
3 (2547-2549) .......................30
15: (basis point
1/100 1 ) ............................................................................................31
16: .........................31
17: (Free Float)
20 ..............................................................34
16: . 2545
27 2550 ( 1 2545 = 100)...................................................36
16: 2541 6 2550 .....................................39
17: . 7 2550.................................40
18: 1 2545-2549............................41
19: (net foreign buy) 2538
30 .. 2550 .....................................................................................................................42
20: MSCI Far East Ex-Japan .........................44
21:
2548 2549 .....................................................................................45
22: JP Morgan
Asia Currency - 2549 .............................................................................46
23: Financial Deregulation Capital
Mobilization .......................................................................................................................53
24: ......................................................................532
25: .........................................................................53
26: .....................................................53
27: NPLs ........................................60
28: NPLs ..........................................................................................63
29: ........................................64
30: ............................................................................64
6

FINAL DRAFT

31: ......................................................................................64
32: ............65
33: ...........................................................................66
33.1: * ...............................................................66
33.2: ...................................................................66
34: ........................................................67
35: .................................................................................................68
35.1: ...................................................65
35.2: ................................................................68
36: .....................69
37: ()..........72
38: ....................75
39: ...............................................79
40: .....................................79
41: .....................................81
42: .......................81
43: Non-Bank ..............................................83

FINAL DRAFT

1.
1.1

GDP
2540 2544
(recapitalization)
80.8 2545
1
2550 67.9 GDP
GDP 67.2
2545 103.3 2536
(P/E ratio)
26.09 P/E ratio ( P/E
ratio 25 2550 12.6 )
1: GDP
140.0%
121.1%

120.0%

114.6%
108.1%
103.3%

101.7%
97.7%

100.0%

91.0%
85.6%

% GDP

80.1%

80.0%

80.8%

82.4%

82.5%

87.8%

76.4% 75.7%

73.5%

72.2%

71.6%

79.5%

67.9%
70.5%

72.2%
65.3% 67.2%

60.0%
53.6%

51.6%

46.8%

40.0%

31.7%
23.2%

26.9%

20.0%
7.0%

6.9%

7.3%

7.6%

41.6%
38.4% 40.0%

32.8% 32.2% 33.6%

22.1% 23.2%
7.4%

37.1%

26.2%

16.1%

3.9%

4.3%

26.4%
4.9%

5.1%

6.4%

5.9%

8.1%

11.1% 10.8%

0.0%
2535 2536 2537 2538 2539 2540 2541 2542 2543 2544 2545 2546 2547 2548 2549

..
2550

: .,
1

GDP 1 2550 (annualized)


8

FINAL DRAFT

10.2
GDP 2550

(crowding out)


41.6 GDP 4
2550

2540-2549
22 5.5 10

2541 2544 Gross Fixed Capital Formation (GFCF)


( 2 3 )

4
50 GFCF 2541
30 GFCF 2542
2545
50.7 GFCF
2546
1-5
GFCF 6.0 2545 14.1 5
2550 GFCF 50.7
11.4
GDP 79.5 67.9
2 3
60,278 2548 ( 2.9 GFCF) 702,219
2549 ( 31.5 GFCF) 2549 .
, commercial paper,

9

FINAL DRAFT

53.5 GFCF 5 2550




2549
(bills of exchange B/E) commercial paper
210 ...
2:
1,500

1,041

1,000
768

702

785
630

599

71

404

301

500

236

164
253
518

76
59

95
52

96
54

49

2537

2538

2539

2540

2541

244

170

120

126

53
64
98

108
83

72
75

125

78
102

132

2542

2543

2544

2545

2546

2547

2548

(285)
(430)

136
182

295
63
78

2549 5
2550

(437)

-500

(803)

-1,000

: .,

10

FINAL DRAFT

3:
% Gross Fixed Capital Formation
80.0%
65.1%
60.0%

52.9%

53.5%

50.7%

50.0%

40.0%
% Gross Fixed Capital Formation

31.5%
31.7%
20.0%

15.1%

16.9%
5.2%

14.1%

9.1%

3.1%

2.9%

0.0%
2537

2538

2539

2540

2541

2542

2543

2544

2545

2546

2547

2548

2.8%
2549

5
2550

-20.0%
-29.5%

-40.0%

-37.0%

-41.5%

-60.0%

-80.0%

-100.0%

-74.2%

: .,

.
(2549)

2542 2548 25422545


(debt-to-equity ratio) 5 2
4

11

FINAL DRAFT

4:
2542-2545
2542 - 2545

296,760

191,317

2,157

380

-1,667

97,140

77,160

2,770

-1,093

43,233

1,915

-11,111

-15,705
-122,480

<500

500-1,000

1,000-10,000

10,000-50,000

>50,000

()
: , . , 2549

2546-2548

( 50,000 )
7 2542-2548
180,000 ( 5)


2545 1.7
7.7 2550 2.1
1.1 ( 6)

521
16 200 .
2

2
2

2542 10
. , 2545
12

FINAL DRAFT

5:
2546-2548
2546 - 2548

388,037

82,740
17,050

1,882

17, 878

77,072

4,717

-3,870

-728

-12,024

<500

500-1,000

1,000-10,000

64,14
3

68,144
24,712

-43,961
-57,438

10,000-50,000

>50,000

()
: , . , 2549

6:
2540- 2550
10

(RHS)

7.1
7.6

6
3

2.0

2.1

1.3

1.1

2.2

1.7

0
-1
-2 2540

2541

2542

2543

2544

2545

2546

2547

2548

2549

2550 -2

: 1 2550, .

13

FINAL DRAFT

1.2

1
GDP
12.1
GDP 2531-2543 67.3
40
2544 2550 (

72.4
) GDP
9.3 GDP
1:
GDP 2531 - 2543 2544 - 31 2550
:
2531 2543

2544 - 31 2550

GDP

GDP

31.6

16.9

36.7

34.6

3.9

21.4

27.6

20.0
16.5

10.4
2.0

22.4
16.7

22.8
15.1

16.7
7.1

38.0
0.4

29.7
16.2

12.1
10.2
4.1
3.0
2.5
100.0

67.3
3.5
100.0

21.1
2.5
0.6
100.0

9.3
10.1
2.8
4.5
0.8
100.0

72.4
100.0

40.0
0.1
100.0

24.1
2.1
0.4
100.0

2531-2543 9
. , 2545; 2544 ., ...

34.6 GDP
27.6 2544

14

FINAL DRAFT

2550 3.9
21.4 2544
2550 25312543
21.1 24.1 GDP 12.1
9.3
36.7 27.6 GDP
31.6 34.6



2550
1.13 1.1 ( 97.9)
15 11,300 ( 1.0)
16-30 , 10,200 ( 0.9) 31-200
2,260 ( 0.2) 200



(SME) 2546

(venture capital)
(high-yield debt)
2 venture capital ...
6
B ( high-yield
investment grade)
93
A ( 1 )

15

FINAL DRAFT

1.3


(hedge fund)

(direct foreign
investment)



(reinvested earnings)
( 7) 2535
1 2550 (Foreign Direct Investment)

(Portfolio Investment) 2548 1


2550 ()
2.45-2.81


(non16

FINAL DRAFT

resident account)




7: 2535 2550
800,000

600,000

400,000

200,000

0
2535

2536

2537

2538

2539

2540

2541

2542

2543

2544

2545

2546

2547

2548

2549

1 2550

-200,000

-400,000

-600,000

-800,000

-1,000,000

: .

2535 2550
( 8) 39
(import content)
( 12.7 ), (
11.4) ( 15)
(local content)

2548
2549
77,000 1,024 2548,
hypermarket ( 169 ),
17

FINAL DRAFT

( 44.7) ( 42.7)

2535

2548 1.1
4.0 2535
8:

450,000

4.5%

400,000

4.0%

350,000
300,000

3.0%

250,000
2.5%
200,000
2.0%
150,000
1.5%
100,000

3.5%

1.0%

50,000

0.5%
0.0%

25
49

25
50

47

46

48
25

25

25

45
25

43

44
25

25

42
25

40

41
25

25

39
25

38
25

37

36

25

-50,000

25

25

35

/ (SHS)

: . United Nations Conference on Trade and Development (UNCTAD)

(
primary market) 2544 30 2550
162,000 36.3 ( 9)
37.4 (
1,000-5,000 ) 42.2
( 5,000 )

18

FINAL DRAFT


( 500-1,000 ) (
500 ) 18.5
17.1
10 (
Foreign Direct Investment)
() ()

9:
2544 30 2550
160,000
144,723
140,000
120,000
105,478

100,000
80,000

70,047

60,000
43,319

41,888
40,000

26,652

20,000
6,058

8,960

0
>5,000

1,000-5,000

500-1000

<500

: IPO, PO, PP
: ...

19

FINAL DRAFT

2.



(collateraland
relationship-based lending)
(cashflow-based lending)
2540

(fundamental characteristics)
(maturity mismatch)
( 80)

(bank run)
(
3
)
2544

. 30 25

,
(Long Term Equity Fund LTF), (Retirement Mutual
Fund RMF),
5
3
12.7
7.8 ,
1.2 1.5
(active account


20

FINAL DRAFT

1 3 ) 272,000 0.5

2.1
2540
2544
2 0.7

(P/E
ratio) 26.1 12.8
.. 2535
10.4
.. 2538
36
NYSE 102 HKEx 12 SGX
3 10

21

FINAL DRAFT

10:
() 2535 6 2550
14%

30x
12.8%
26.1x

12%

25x

10.4%
20x

8%
16.3x
15x

14.7x

10%

13.7x
6%
5.6%
11.1x
10x

4.6%
4%

8.1x
6.6x
4.9x

2.2%

2%

2.0%
2.0%

1.0%

1.1%

5x

0.7%

0%

0x
2535

2536

2537

2538

2539

(LHS)

2540

2541

2542

2543

(LHS)

2544

2545

2546

2547

2548

2549 6
2550

(P/E) (SHS)

: Bloomberg, .



(global hedge fund) (emerging markets fund)
Global Financial Stability Report 2550
(IMF) Hedge Fund Research
global hedge fund 3,000 .. 2538 9,000
.. 2549 (net assets under management)
100,000 1.42
27.3 11 global hedge
fund 20
8.4 1.42


22

FINAL DRAFT

(excess liquidity)

2547 2549
16,790
(
) 4 11
11:
(emerging markets) 2544-2549
20,000

16,790

-
15,000

-
-
- //

10,000

5,148

5,000

0
2544

2545

2546

2547

2548

2549

-5,000
-5,348

-10,000

: Global Financial Stability Report 2007, International Monetary Fund.

23

FINAL DRAFT

2.2
(
) (
) (

) 3

:
1)


()
. (demutualization)





(self-regulating organization)
2)

3)

(herd mentality)

4)
(proxy)
(
)
24

FINAL DRAFT

2.2.1.
... ...
. . (self-regulatory organization SRO)
... .
...


SRO
... .
()

.
.
.

. 11 ...

1. ... 5

25

FINAL DRAFT

2. () 5
3.





.
/ ...

.
5 3 2

() .
.
FetCo ( Federation of Thai Capital Market Organizations)
FetCo4
2547 6
.
3 FetCo

. ( (
)
) .
12 :

http://www.fetco.or.th/th/about.html
26

FINAL DRAFT

12:
2:

1:

3
2

...
5 .
1
.

FetCo*
.
.
.

. 11

*FetCo = Federation of Thai Capital Market Organizations

.
2
4 2
1
2
FetCo FetCo
.
2

.
FetCo
.
.
. .
.
.
(demutualization)
27

FINAL DRAFT

.
2548 58
60 48 World Federation of
Exchanges



(SRO)


5 New
York Stock Exchange (NYSE)

.


.

.


.
.
.
. 2549

(cost-income ratio) . 94
25 73 (
13) .
.
2549 497 18

Thai Investors Day, Money Expo
28

FINAL DRAFT



.
900
World Federation of Exchanges 4-500
.
FetCo .

FetCo .
13: 2549
100

94

90

25 = 73

80

70

62
57

60

49

50

49

45

43

40
30
20
10
0
SET ()

LSE ()

TSE ()

Bursa
()

PSE () SGX ()

ASX
()

: 2549 ; LSE 12 2549


.

.
3 (2547-2549) .
(EBIT/Sales)
(Return on Equity ROE)
14

29

FINAL DRAFT

14: . (SET)
3 (2547-2549)

: .

.
.
.
(brokerage
commission) . .
0.25 (0.20 )
0.20

(median bid-ask spread) (


) .
( 15)
.

30

FINAL DRAFT

15:
(basis point 1/100 1 )
(median bid-ask spread)

(+)

27.3

35

KRX
SGX

31

HKEx

30

SET

61.2
13.1
68.2

26.8
18

ASX

25.4
16.2

10

TSE

Median bid-ask spread

: .

2.2.2.
(SERVICE)

(PROPCON) .
85 ( 16.3) 87 ( 16.7)
(RESOURC) (FINCIAL) 48

16:
= 521

= 6,659
mai
0%

NPG
20

mai 44

NPG
0%

AGRO 46
TECH
11%

CONSUMP

43
TECH 37

Other
Instrument
3%

AGRO
3%CONSUMP
1%
FINCIAL
19%

SERVICE
12%

FINCIAL
66

INDUS
7%

SERVICE
85

RESOURC
24

INDUS
69
PROPCON

RESOURC
29%

PROPCON
15%

87

: SETSMART 27 2550

31

FINAL DRAFT

29
24 ( 4.6)

2540
2544 ...




35 20
60.5 48.2
20 2539
2 :
2: . 20 .. 2539 2550
20 2539

BBL

TRUE

PTTEP

KBANK

SCC

KTB

SCB

BBC

THAI

ADVANC

BEC

SHIN

TPI

ITD

UCOM

IFCT

EGCOMP

BAY

LH

MAKRO

PTT
PTTEP
SCC
ADVANC
SCB
BBL
KBANK
PTTCH
TOP
BAY
IRPC (TPI)
KTB
DTAC
SHIN
AOT
THAI
BANPU
ATC
RRC
RATCH

20 2550

69.24%

67.75%

1.61%

0.93%

24.02%

5.82%

1.01%

50.03%

50.34%

0.00%

60.10%

63.74%

5.70%

0.00%

71.46%

72.00%

36.70%

51.03%

48.75%

51.76%

: , (
)
: SETSMART,

32

FINAL DRAFT

2 20
1. 11
. ., . ,
, .
, .
2.
() 8
7 6 . .
30 ()
3. (KTB)
... (quasi-fiscal)

4. 11 4 20
.
(barriers to entry)

20 . (SCC)
5. 11 20
11 7 TRUE, BBC, BEC, UCOM, IFCT, EGCOMP,
MAKRO

(free float)
20 ( 17)
free float
60.5
(free float) 38 free
float
(median bid-ask spread)
2.2.4

33

FINAL DRAFT

17: (Free Float)


20
BBL

100%
90%

KBANK

80%

BANPU

% Free Float

70%

SCB

BAY
SCC

60%

RRC
- Top 20

50%

PTT

TOP
KTB

ATC

40%

ADVANC

RATCH

DTAC

30%

PTTCH

PTTEP
AOT

IRPC (TPI)

20%

THAI

=
=
=

10%

SHIN
0%
0%

10%

20%

30%

40%

50%

60%

70%

80%

: SETSMART

17 20
(8 ) (5 )

(
3 )



( 50)
(KTB)

34

FINAL DRAFT

. .
. ( . . .
25 ) :
1. . . (PTT)
2. . . (PTTEP) . 66.5
3. . (IRPC) . 31.5
4. . (TOP) . 49.5
5. . . (PTTCH) . 55.2
6. . (RRC) . 48.7
7. . () (ATC) . 49.7
8. . (BCP) . 25.1
30
24 ( 7 2550)
. .
. 2544 . .
. 5
2545 27 2550 .

.

. 8
1 2545 100
.
1,036 2545
. 3 2.47 16

35

FINAL DRAFT

16: .
2545 27 2550 ( 1 2545 = 100)
1,200

+1,036%

1,000

800
600

+413%

400

+329%

200

5/15/50

2/21/50

12/4/49

7/3/49

4/7/49

1/20/49

11/3/48

6/2/48

8/19/48

3/10/48

10/5/47

12/22/47

7/20/47

4/30/47

2/10/47

9/8/46

11/21/46

6/20/46

3/31/46

1/14/46

8/8/45

10/24/45

3/1/45

5/22/45

9/18/49

Rebased at 100

: SETSMART

.
. 8
521



.
(real sector)
.


. .
.
30 24


.

36

FINAL DRAFT


2550
.
. 2 . .
(RRC) . () (ATC) .
. . (SPRC) .
36 . 2551

. ESSO (Thailand) 12.5
.
.
(IPO) 85
.
... .
5
.
.
. 7 2549 :
68

.
35 ( 2544) 250

. 2545 23
5

. (http://www.bangkokbizweek.com/20060401/bschool/index.php?news=column_20329141.html)
IPO . : . () 800
35 28,000 ... 10 2545
10 2.20
77 0.24% 2.06 72.10
0.22% 2 70 0.22% 1.71
59.99 0.19% 1.55 54.11 0.17%
1.50 52.50 0.14% 1.31 45.85 0.14%
1.09 38.04 0.12% 1.01
35.42 0.11% 1 35
0.11% 10 3 5.11
178.71 0.53%
37

FINAL DRAFT

43.10 2546 32 89.37 2547


47 . 106.58
. 10
6

...
(.) ( 31 2550)




.



2549 World
Federation of Exchanges 47
2

80
.

(Underlying securities)
(repurchase agreement
repo) (Securities Borrowing and Lending SBL)
... 2547

http://www.bangkokbizweek.com/20060401/road/index.php?news=column_20316505.html
38

FINAL DRAFT

2.2.3.

2550 ( 16)
39,545
13,415 () 3
679
16: 2541 6 2550
45,000
39,545

40,000

35,000

30,000

28,162

25,000
20,508
18,908

20,000

16,281

16,454

15,490

15,000

13,415
11,653
9,686

10,000

8,357 8,388
6,571

6,440
5,197

5,000

6,101

3,740

3,505
1,626
260

0
2541

297

134

2542

2543

371

2544

867

368

2545

2546

467

2547

365

2548

453

2549

679

.. - ..
2550

: .,


dealer ( 41 ),
( 18),
dealer 5

()
( )
12
39

FINAL DRAFT

. 2548


49 7 2550
( 17) 23


10 13

20
17: . 7 2550
6,659

3,596

: www.setsmart.com,

2540
(net settlement)
day trading
(churn)

40

FINAL DRAFT


(volatility) Dow Jones
2549 18
18: 1 2545-2549
2.50

2.00

Percentage (%)

1.50

1.00

Dow Jones

0.50

0.00

2002

2003

2004

2005

2006

Dow Jones

1.6091

1.0448

0.6832

0.6492

0.6217

Hang Seng

1.2208

1.0679

1.0317

0.7234

0.9093

Straits Times

1.1378

1.1382

0.7790

0.6073

0.8571

KSE-composite

2.0368

1.6334

1.4798

1.0497

1.1485

Weighted Price

1.7667

1.3518

1.4858

0.8134

1.0271

KLSE-composite

0.8164

0.7306

0.7246

0.4882

0.5261

JSX-composite

1.5190

1.1963

1.3881

1.1411

1.3170

PSE-composite

1.1286

1.1524

1.1089

1.1226

1.2495

SET

1.2889

1.2347

1.5274

0.8928

1.5600

: Daily average return volatility (percent) =

n
Rt Rt 1
1

n 1 t =1 Rt 1

100

: .




global hedge fund

2.1
.

( 20 60.5
48.2 2.2.2. )
2548

2538

41

FINAL DRAFT


19
19: (net foreign buy)
2538 30 .. 2550
1,600

50,000

1,400

40,000

1,200
30,000

1,000

()

20,000
800

10,000
600

0
400

(10,000)

200

0
Jan-38 Nov-38 Sep-39 Jul-40 May-41 Mar-42 Jan-43 Nov-43 Sep-44 Jul-45 May-46 Mar-47 Jan-48 Nov-48 Sep-49

(3-month moving average)

(20,000)

SET

: SETSMART




(herd mentality)


(undervalued)

undervaluation


. ...
42

FINAL DRAFT

...







(relative factors)



MSCI Far East Ex-Japan Index
Morgan Stanley Capital International
(free float)
2.3
20

43

FINAL DRAFT

20: MSCI Far East Ex-Japan


12 2550

2548

26.6

Korea

23.6

Taiwan
17.9

Hong Kong
12.2

China
8.6

Singapore
5.2

Malaysia
2.9

Thailand

2.3

Indonesia
Philippines

0.7

25

Korea
20.9

Taiwan

19.1

Hong Kong

16.1

China
8.6

Singapore
4.5

Malaysia
Indonesia

2.5

Thailand

2.3

Philippines

0.9

: .

MSCI
MSCI Far East Ex-Japan Index
1) 2)
free float
( . )
free float


MSCI Far East Ex-Japan Index
.
.
150 (free float) 15
. free
float 15 150 free
float
(/ 01-11) 18 2550 .

. (SHIN) 3.7

44

FINAL DRAFT


2549
4 0.77

1.58 ( 21) 10
7
2550 . 15
(delisting)

free float

21:
2548 2549
10%

8%

6%

4%

2%

0%
2548

2549

: World Federation of Exchanges



2548
7

free float 15 2550 SHIN, TAF, BATA, TBANK, PPC, ROH,


SCNYL, SHANG, NSI, UFM
45

FINAL DRAFT



(
)

22




22: JP
Morgan Asia Currency - 2549
(Index)
110

Thailand

(Mln. USD)
3,500

109

3,000

108
2,500
107

2,135

106

2,000

105

1,500

104
1,000
103

JP Morgan Asia Currency Index

102

Thailand (RHS)

500

O
ct
-0
6
N
ov
-0
6
D
ec
-0
6

A
ug
-0
6
A
ug
-0
6
Se
p
-0
6

0
Ju
l-0
6

Ja
n06
Fe
b06
M
ar
-0
6
A
pr
-0
6
M
ay
-0
6
Ju
n06

101

: 18 , Capital Controls , . , 2550




()

46

FINAL DRAFT

(
class action
law )






. ...



()


() (
)

.




.
. (IPO)
(
...
IPO ...)

47

FINAL DRAFT

2.3
8

3 (2550-2552) ...
: [
]
(mega project)

free float





Electronic Communication Network (ECN)


global hedge fund global private equity fund

(stand alone)
.


.

.
(demutualization) .
.

http://www.sec.or.th/th/misc/sec/achieve/secplan50.doc
48

FINAL DRAFT


(relative factors)
(absolute factors)
.




carry trade (
)
(risk diversification)





(
)

( 100 )





(class action law)
(trust law)

49

FINAL DRAFT

3.

(Financial
Infrastructure)
.. 2505


3.1 :

Rule of The Game



50

FINAL DRAFT

1) , 2)
3)
3.1.1)
.. 2532

(.) (.)

(Regulator)
(prudential) (passive)

Regulator
(Incentive Governance)

NPL 1 2


( 4 )
( )

(Risk-taking ) (Affiliated Company)
9


(Direct Intervention)


Regulatory Arbitrage



51

FINAL DRAFT


(Cronyism)
(Concentrated Ownership)




(Highly Procyclical) (vulnerable
to shocks)

(
)10



(Financial Liberalization) .. 2532
(.) (interest rate ceiling and
spread)


(Global Financial Integration)
8 (IMF Article No.8)


( 23)
( 24)

( 25 26)
10

(Collateral)


Regulation
(Book Value)
(Realize Loss)
52

FINAL DRAFT

Loan
Intermediation Traditional banking
23
Financial Deregulation Capital Mobilization

24

53

FINAL DRAFT

25 26

..
2536
(BIBF PBIBF)
Off-Shore Banking System .
.
BIBF



Stand Alone BIBF
5 BIBF

54

FINAL DRAFT



BIBF
BIBF OutIn 11 Out-Out

(
)

BIBF
Domestic Credit
( 26)

Non-tradable Sector Procyclicality
(Collateral-based)
Procyclicality
6 Loan Portfolio

1989
.
7.10%
25.80%
4.30%
6.30%
5.30%
8.30%
18.90%
7.30%
6.30%
10.30%
100.00%

1996
.
1.30%
21.80%
3.50%
14.80%
2.80%
1.30%
12.70%
7.30%
9.10%
25.50%
100.00%

.
3.90%
26.80%
4.60%
9.10%
3.20%
4.20%
17.80%
10.60%
7.50%
12.30%
100.00%

.
0.90%
15.30%
3.70%
24.30%
1.70%
0.80%
7.80%
7.60%
11.00%
27.00%
100.00%

11

BIBF
( 50) Tradable Sector BIBF

(
BIBF )
55

FINAL DRAFT

Source:
*


BIBF

Off-Shore Banking
Capital Ease
( 7)



Moral Hazard



56

FINAL DRAFT


12

.

(Weak Institution)
() Capital Ease

2538 ()
Prudential
Supervision
Compliance
(Regulatory
Forbearance)

12

(Vulnerable to
External Shocks) Real Exchange Rate Appreciation
(Temporary)
57

FINAL DRAFT

1.

2.

2.1)

2.2) BIBF

() 2.3) Non-Bank

3. Monetary Authorities
4. Use of IMF credit
5. Others

1990
11,514
11,257
257
17,793
7,633
10,160
4,233
286
3,947
0
0
0
13,560
7,347
6,213
1

1991
12,810
12,105
705
25,068
10,382
14,686
4,477
338
4,139
0
0
0
20,591
10,044
10,547
0

1992
13,068
12,518
550
30,553
12,189
18,364
6,263
731
5,532
0
0
0
24,290
11,458
12,832
0

1993
14,171
14,171
0
37,936
15,302
22,634
5,279
1,263
4,016
7,740
1,385
6,355
24,917
12,654
12,263
0

1994
15,714
15,534
180
49,152
20,153
28,999
9,865
3,451
6,414
18,111
2,969
15,142
21,176
13,733
7,443
0

( .)
1995
1996
1997
16,402 16,805 17,166
16,317 16,751 17,146
85
54
20
66,166 73,731 69,093
25,155 36,172 34,277
41,011 37,559 34,816
14,436 10,682 9,488
4,443 2,314 3,824
9,993 8,368 5,664
27,503 31,187 30,079
3,799 10,697 10,317
23,704 20,490 19,762
24,227 31,862 29,526
16,913 23,161 20,136
7,314 8,701 9,390
0
0
7,157

29,308
18,891
10,417

37,878
22,487
15,391

43,621
24,707
18,914

52,107
29,473
22,634

64,866
35,687
29,179

82,568
41,472
41,096

90,536
52,923
37,613

93,416
58,580
34,836

1998
20,290
20,140
150
54,666
31,293
23,373
7,074
3,753
3,321
21,892
6,946
14,946
25,700
20,594
5,106
11,204
3,239
7,965
86,160
62,637
23,523

Rule of the Game









13
13



Regulatory Regime BIS Risk Weight

58

FINAL DRAFT

3.1.2)


Managed Float

(Sudden Stop and Capital Flight)



56 6 ()

Systemic Risk Run




(NPLs) 14
( 27)
IMF

14


12 6 .. 2538
3

59

FINAL DRAFT

27 NPLs

: Supervision Report (2546)

2541 NPLs
45



Comprehensive Plan

(Corporate Debt Restructuring)
14 2541
15
14 2541 (1)
(2)


( )

(1)
15

Moral Hazard




IMF
60

FINAL DRAFT

(2)

14

(Asset Management Company)


14

Standard Chartered Bank United Overseas
Bank Standard Chartered Bank
United Overseas Bank

Yield Maintenance Profit-Loss Sharing


Gain-Loss Sharing 5
(.)



.
(.)
.


.
61

FINAL DRAFT


.
25 - 30


Profit-Loss Sharing Yield
Maintenance

(Realized Loss)
Information
Branch Networking



(Level
Playing Field)
14 2541

BIS
Ratio


10 49
8
8
14

*
*
*

**
**
**
**

5
29.74
4
16.4
4
53.86
13
100
86.71

14
79.83
6
4.2
1
15.97
21
100
13.05

10
100
10
100
0.24

29
36.44
10
14.77
5
48.79
43
100
100
: ( 2543), * 50 , **

62

FINAL DRAFT

14



2 Free-Float

3.1.3) 2544


Thailand Asset
Management Corporation
NPLs ( 27
28 )
28 NPLs

NPLs
20
15
10
5
0

NPLs

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1
2546

2547

2548

2549

2550

35.00
30.00

25.00
20.00
15.00
10.00
5.00

0.00
Q1

Q2

Q3

Q4

2547

Q1

Q2

Q3

Q4

Q1

2548

Q2

Q3
2549

Q4

Q1
2007

63

FINAL DRAFT

29

25
48
25
49

25
47

25
46

25
44
25
45

25
42
25
43

25
40
25
41

25
38
25
39

25
36
25
37

25
35

35
30
25
20
15
10
5
0
-5
-10
-15

25
34

30

25
20
15

10
5
0
-5

2544

2545

2546

2547

2548

-10
-15
-20

31

1.8
1.6
1.4

1.2
1
0.8
0.6
0.4
0.2

25
33
25
34
25
35
25
36
25
37
25
38
25
39
25
40
25
41
25
42
25
43
25
44
25
45
25
46
25
47
25
48
25
49

64

FINAL DRAFT

( 29)

( 30)

( 32)

HHI 2548
HHI ( 36)
32





33



(: 2549)

65

FINAL DRAFT

33

100%
80%
60%
40%
20%
0%
2540

2542

2544

2546

2548

33.1 *
12
10
8
6
4
2
0
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
2542

2543

2544

2545

2456

MRR

2547

2548

RP 14

2549

MLR

:
*
()

33.2

5.5
5
4.5
4
3.5

Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4
Q1
Q2
Q3
Q4

2542

2543

2544

2545

2456

2547

2548

2549

: ; 31.1

66

FINAL DRAFT

34
1,200,000

1,400,000

1,200,000

1,000,000

1,000,000
800,000
800,000
600,000
600,000
400,000
400,000

200,000

200,000

19

8
19 1
8
19 2
8
19 3
8
19 4
8
19 5
86
19
8
19 7
8
19 8
8
19 9
9
19 0
9
19 1
9
19 2
9
19 3
9
19 4
9
19 5
9
19 6
9
19 7
9
19 8
9
20 9
0
20 0
0
20 1
0
20 2
0
20 3
0
20 4
0
20 5
06

Eligible securities (LHS)


Cash in hand (LHS)

Deposits (LHS)
Excess liquid assets (RHS)



( 34)

( 31)
( 33.1 33.2)
Competitive Environment

16 35



17

16

10 Supervision Report 2548



Granger Causality Recursive-based VAR
1999
(Granger Caused by Inflation)
(Not Granger Caused by policy rate)
Inflation Shock Interest Rate Spread

17

67

FINAL DRAFT

35
35.1 *
90
85
80
75
70
65
60
55
50
97

98

99

00

01

02

03

04

Capacity Untilization

05

06

07

Trend

:
* Trend Cyclical Component HP-Filter

35.2 *
200

160

120

80

40

0
88

90

92

94

96

98

TREND01

00

02

04

06

MPI

:
* Trend Cyclical Component HP-Filter

68

FINAL DRAFT

36

69

FINAL DRAFT
: 2548

70

FINAL DRAFT

3.2) :


(
1 )







3.2.1) :

2541
BIS
Basel II Basel I

Basel II

(prudential regulation)
(Self-Evolving)
Regulator
(Risk Management) Internal
Control System Compliance

(External Environment) Regulator

71 / 85

FINAL DRAFT


BIS
(Three Pillars Approach) :
(Minimal Capital Requirement)
Basel I
(Risk-sensitive)
(Capital
Buffer for Unexpected Loss)




.. 2551
(Standardized Approach)
(Internal Approach) ( 37
Standardized Approach)
37 ()

72 / 85

FINAL DRAFT

(Supervisory Power)
(Information Disclosure and Market Discipline):
Basel II

Basel II

Prudential Supervision:


5 NPLs 3

IAS 39
Prudential Supervision
3

BIS
ratio
(Unexpected Loss)
(Financial Safety Net
Program): Basel II

(Depository
Insurance)
(Prompt
Corrective Action)





73 / 85

FINAL DRAFT



(Flat Rate)
(Risk-based)18
3.2.2 Financial Sector Master Plan
Basel II
Regulator

Prudential Regulation


Synergy
One-Stop-Service

(Financial
Conglomerate) (IMF: 2001)19

:
Business Model Consolidated
Supervision:
Restricted Universal Bank
Affiliate Subsidiary

18

Limit Insurance Moral Hazard


19
IMF (2001) Financial Sector Consolidation in Emerging markets
74 / 85

FINAL DRAFT

(systemic risk)
Consolidated Supervision Banking Group

10
One Presence

:
Business Model Universal Banking

(Accessibility)
(Retail Bank)
One Presence



Subsidiary
25
( 2547)
38

75 / 85

FINAL DRAFT

Regulator

Prudential Regulation Compliance Time Lag
Upward Trend Business Cycle Regulatory
Forbearance
BIBF
Moral Hazard

Concentrated Ownership Family Business Market Discipline



Capital Ease Rule of Game

NPLs

Bail Out Self-Fulfilling


Implicit Blanket Guarantee
14 NPL

Prudential Supervision Sounding and Safety Financial


Institution
Risk Management Incentive-based Regulation


Financial Sector Master
Plan Consolidated Supervision
Prompt Corrective Action

TAMC
State Bank SFIs

Single Regulator

76 / 85

.
One-Stop-Service

Restricted Universal Banking Subsidiary Legal Entity

Internet Banking Internet Penetration

Non-Bank


Prudential Supervision Stability

FINAL DRAFT

3.3)

3.3.1) (Competition Landscape)

(
)

Conservative

77 / 85

FINAL DRAFT

.. 2537

HH index

2543

10

30
52.8
86.9

25
44.7
78.3

41
39
80.3

15
47.5
83.5

206
39.1
73.1

245
49.9
78.8

37
39.5
79.1

36
48.3
80.8

43
43.9
78.6

55
72
97

40
57.9
84.7

82
52.8
86.9

72
40.7
79.1
: Gelos Rodos (2004) IMF

10

HH index

1263.6
918.9
819.7
1031.7

13
10
27
13

43.5
43.4
39.6
41.7

77.7
82.2
73.3
79.4

899.7
1005.1
789.9
854.4

756.9
1220.9
830.4
1005.4
979.2

113
193
29
23
42

39.8
55.2
39.5
56.3
46.7

80.7
85.6
82
94.5
75.7

865.7
1278.6
857.9
1360.5
923.1

2101.5
1578.8
1263.6
957.2

42
39
77
79

69.7
51.5
43.5
35.9

90.3
80.7
77.7
72

1757.8
1241.2
899.7
710.2




Allen Gale (2003 2004)
Beck, Demirg-Kunt Levine (2005) Shacek
(2006)





(Interest rate Spread) Net Interest Rate margin
NPLs
( 39)

78 / 85

FINAL DRAFT

39

: Financial Stability Report (2550)

40

: Financial Stability Report (2550)

40
Large Enterprise Cherry Picking Margin
SME
Basel II

20

20

Basel II SME
Rating SME
Basel I
Rating Standardized Approach Basel II
Rating SME
(Cherry Picking) Basel II SME

79 / 85

FINAL DRAFT

21
Financial Infrastructure

(Disintermediation) SME


WTO

3.3.2) Non-Bank
(Regulatory Architecture)




, , ,

22

( 41 42)

21


Concentration Ratio
8 Net Interest Margin Concentration
(Level Playing
Field)
22
()
(.) (.)
(.) (.)
80 / 85

FINAL DRAFT

41
60
40
20

25
2
25 7
2
25 8
29
25
3
25 0
3
25 1
3
25 2
3
25 3
34
25
3
25 5
36
25
3
25 7
38
25
3
25 9
40
25
4
25 1
4
25 2
43
25
4
25 4
45
25
4
25 6
47
25
48

0
-20

42

100%
80%

60%
40%
20%
0%
2527 2531 2535 2539 2543 2547

(Quasi-Fiscal Policy)

(Contingent Liability)


Procyclicality
23
23

Procyclicality Basel II
Basel II Rating-based
Rating-based Rating-based
Amplification Business Cycle

Credit Risk
International Evidence Sergeviano Lowe (2002), Amato
Furfine (2003), Gordy Howells (2004)
81 / 85

FINAL DRAFT

24


Non-Bank



2544
10,000
(
10,000 )
Non-Bank

Non-Bank
( 9 Non-Bank
)



( 43
Non-Bank )
Non-Bank
Prudential Supervision


Consumer
24

Compliance Regulation


82 / 85

FINAL DRAFT

Protection

9 Non-Bank

(%)

75
<7500
15
750010,000
10,00015,000
8
15,00030,000
2
>30,000

100
: (2549)

(
NBFI
)
10.4
40
12.7
46
17.3
43
26.8
33
108.8
9
176
21

()

NBFI

840
837
720
706
632
3734

49
59
50
45
38
49

NPL rate

6.8
6
5
3.4
4
5.2

43 Non-Bank
< 15,000
6%

>50,000
30%

30,001-50,000
19%

25,0001-30,000
9%

15,000-20,000
24%

20,000 - 25,000
12%

: ;
* Non-Bank






Financial Supervisory
Agency
.. 1997

(1) Conflict of interest


Lender of Last Resort


83 / 85

FINAL DRAFT

(2)
One-Stop-Service

M&A Financial Architecture

2545


15,000
Macro-Prudential Policy


Single Regulator
Independent Single
Regulator On-site Inspection

Single Regulator


(Regulatory
Convergence)

3.4

Basel II

84 / 85

FINAL DRAFT

Prompt Corrective Action



85 / 85

Rate