Interbank

1
???????????????????????????????????
OFFSHORE
??????
???????????????????
Bank A
?????? ?
?????????
?????? ?
Bank B
???? Interbank
?????????
??????
ONSHORE
Bank C
2
???????????????????????????

• ????????????? 2 ??????? 2540 ?????????
  ???????????????????????? ?????????????????????????
  ??? (Managed Float)
• ???????????????????????????????????????????
  ??????????? ??????????????????
  ????????????????????????????????????????????
  ??????????????????????????????????????????????????
  ??????
• ????????????????????????????????????????????????
  ??? ??????????????????????????????????????????????
  ??????????????????????????????????
• ????????????????????????????????????????????
  ??????????????????????????????????????????????????
  ?????????????????????????????????????????????????
  ????? ????????????????????????????????????????????
  ??????????????????????????

3
????????????????????????????????

• ????????????????????????????????? liquidity
  ??????????????????????????????
  ???????????????????????????? ?????????????????????
  
• ??????????
• ?????????????????????????????? unwind position
  ????????????????????? ?????? Overnight
• ???????????? (interbank borrowing) ?????????????
  Swap ?????? Sell/Buy USD/THB - ... (??? USD
  ?????????)
• ?????????? / ??????????? ???
• ????????????????????????? ???????????????? ???./
  ???????????????
• ???????????????????????????????????
  ???????????????? funding ???????
• ??????????????????????????????????????????????????
  ????????????????? ????????????????????????????????
  ????

4
???????????????????????????????????? - ???????????

• 50 Million Baht Measure (30?.?.41 ????????)
• - banks are freely engage in THB spot
  transaction with NR
• - a onshore and offshore spot market were
  unified
• - THB credit facilities to NR without underlying
  transactions are subject to maximium outstanding
  limit of 50 mio baht per institution
• - a onshore and offshore swap market are
  still seperated
• - Underlying transactions
• ???????????????? ???????????????????????????????
  ??????????? ?????????????????????????????????
  ???????????????? ??????????????
  ????????????????????????????????????? ??????????
  ???????????????????????????????????????
  ????????????????????? ???????

5
???????????????????????????????????? - ???????????

• ??????????????????? 11 ?.?.47
• ????? NR ????????????????????????????? (????????
  3 ?????)???????? Onshore ??????????????????
  Underlyings ???????????? 50 ??????????????? NR 1
  ???
• NR ?????? ????? park ?????????????????????? Swap
  offshore ??? ????? Implied THB offshore ???????
• NR ????????????????????? T-Bills ????????? ????
  take price risk ???????????????????
• NR ?????????????? swap ????????????????????
  onshore ????????? Swap ???? 91 ???
• ?????????????? park ??????????????
  ???????????????? Onshore (Non-resident THB
  account)
• ???? ? ????? fx gain ??????? opportunity cost
  ???????????????????????????????

6
FX Outlook Q3 / 2006
7
Major Currencies
Outlook Q3 / 2006

• USD weaker
• Correction of global imbalances
• Near-term Fed policy
• EUR stronger 1.29 USD/EUR
• Leading indicators continue to point to faster
  growth which support the ECBs rate hike
• Reserve diversification either via positive
  psychology or actual flows should push the euro
  into rich territory versus the dollar.
• GBP stronger 1.86 USD/GBP
• Clear signs of recovery are finally emerging.
• Sterling gains versus the dollar to track the
  euro in the medium term.
• BOE to keep rate unchanged in short term,
  however, any hawkish statement will further
  support GBP moves topside
• JPY stronger 110 JPY/USD
• Recent datas show that business confidence is
  strong and company investment is high, BOJ needs
  to hike interest rates soon
• RMB regime flexibility

8
Asian Currencies

• RMB stronger 7.88 CNY/USD
• Gradualist approach to revaluation likely to
  continue, though the international debate is not
  one-side
• External pressure to remain but China to defuse
  as best it can through a range of measures
• Onshore/offshore forward parity becoming more
  dominant, suggesting few NDF trading
  opportunities at present
• MYR stronger 3.59 MYR/USD
• A renewed focus here as a CNY-surrogate play
• Inflation dynamic suggest more hike to come, and
  current account surplus not naturally recycled
• MYR also beginning to trade more closely in line
  with a basket
• SGD stronger 1.56 SGD/USD
• Still no obvious opportunity in the SGD NEER
• Singapores openness should see it continue to
  perform strongly, but rates have already done
  tightening also
• Higher return trades elsewhere in the region

9
Asian Currencies

• THB neutral-stronger 37.9 THB/USD
• Politics could again ramp up now the Kings
  coronation celebrations are done
• Slower investment, higher rate and worries about
  global growth begin to look a larger problem
  with the equity market declining
• Unrest in the south remains localized
• KRW stronger 933 KRW/USD
• Investment is recovering and narrowing the
  current account surplus, which is therefore not
  currency negative
• BOK to continue normalizing interest rate
• Upside in USD also limited with resident outflow
  to slow
• TWD stronger 31.5 TWD/USD
• Previous foreign equity buying is proving to be
  ill-placed as politics deteriorates
• Also, carry and the China squeeze (politically
  and economically) will undermine FX in a
  regional context
• Cross strait relations are likely to remain tense
  and contribute to portfolio exit
• IDR neutral 9225 IDR/USD
• Risk aversion and digestion issues in local FI
  likely to dominate FX for now
• But BI has impressed with its patience, and
  upward sloping yield curve represents value
• Cyclical story remain attractive

10
Asian Currencies

• PHP neutral 53 PHP/USD
• Best of currency performance perhaps seen for now
• Credit improvement has arguably peaked, macro
  performance disappoints and political backdrop
  remains discouraging
• Remittance flows may sustain the PHP, but risk
  reward has shifted now
• INR stronger 45.15 INR/USD
• Current account deterioration likely to persist
  over 2006 as growth remain robust
• Along with equity outflows, remain a fundamental
  risk under current market condition
• FX policy, however, argues against active
  positioning here

11
THB Movement
12
??????????
2006
USD/THB

• Sentiment ??? USD ?????? across-the-board
• (2) ????????????????????????????? ???.

• ?????????????? SET ???????
• MA inflows

(1) Fed Statement ??? hawkish (2)
??????????????????????????????????? BOJ
Tender offer ???MA flows
(1) Risk aversion ????????????????????
sell-off ?? Emerging Markets(2) ???????? USD ????

• ?????????? ???. ???????????????????????
• ?????????????? (C/A, ????????)

13 ?.?.37.936
(1) USD sentiment ????????????????????????????????
????? Feds Fund rate ???
?????? USD ??????????????????????????
USD ?????????????????? Fed ?????? ??.???
Source BOTs Average Interbank Exchange Rate
13
????????????????????????????????????????????(1
?.?. 14 ?.?. 49)????????? ???????????? 2549
????? 70,867 ???????
SET Index
???????
115,043
71,373
661.59
14
??????????????????? SET NET NR vs. THB
USD/THB (inverted)
Net Inflows to SET (mio THB)
Inflows
USD/THB
2006 (5 months)
H2/2005
15
Bloomberg Survey USD/THB

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

Source Bloomberg
USD/THB as of survey date (14 July) 38.00
USD/THB as of survey date (14 July) 38.0