THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights ทิศทางเศรษฐกิจของ US เริม 5 มีทศ ิ ทางทีด 5 ข ี น ึ: ทัง: อัตราว่างงานลดลง อัตราเงินเฟ้ อเริม 5 ขยับขึน : ตัวเลขส่งออกและราคานํ: ามัน ทีป 5 รับตัวขึน : เป็ นปั จจัยทีท 5 ําให ้นักลงทุนคาดว่า FED อาจปรับขึน : อัตราดอกเบีย : อีกในเร็วๆนี: ทําให ้นักลงทุนมองหาตราสารหนี: : ได ้แก่ พันธบัตร BOT และขายพันธบัตรรัฐบาลทีม อายุสัน 5 อ ี ายุยาวกว่า
March 10, 2016
อัตราดอกเบีย : อ ้างอิงของพันธบัตรรัฐบาลอายุระหว่าง 10 - 20 ปี ลดลงอย่างต่อเนือ 5 งประมาณ 15 - 25 bps. เนือ 5 งจากความต ้องการ ในพันธบัตรรุน ่ อายุดังกล่าวสูงขึน : เนือ 5 งจากการปรับพอร์ทการลงทุนให ้สอดคล ้องกับปริมาณพันธบัตรในปั จจุบัน
Inflation Rate
MACRO DATA
Inflation Rate Core Inflation Nominal Inflation Forecast
Policy Rate
GDP Growth 0.50% 0.50% 0.05% -0.10%
American Interest Rate (Fed) British Interest Rate (BoE) European Interest Rate (ECB) Japanese Interest Rate (BoJ)
YoY(%) MoM(%)
0.59 0.07 -0.53 -0.26 0.10 - 1.00
2013 2014 2015
Source : MOC As of Jan 2016
2.90 0.70 2.80
Major World Currencies
Thai Policy Interest Rate
YTD
As of 10-Mar-2016
Next Meeting:
OIL (USD/Barrel)
2016
3.50 2.8-3.8 3.70
BOT NESDB FPO
3-Mar-2016
1,379.33 4,707.42 1,993.40 6,130.46
SET NASDAQ S&P500 FTSE100
GDP Forecast
1.50%
-1.3% -5.3% -0.8% 4.7% -0.8%
165.60
EQUITIES
Source : NESDB
Currency Avg. Selling Rate (THB) USD 35.6822 50.3935 GBP EUR 38.9549 JPY 31.5204 5.4925 CNY Source : BOT
INT'L RESERVE THAI (b.USD)
YoY(%)
37.07 34.57
BRENT WTI PRECIOUS METALS (USD)
Last Update : 5-Feb-2016
1,259.20 15.21
GOLD SILVER Source : Bloomberg
10-Mar-2016
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt 6,005,124.74 THB Mil. Oustanding Debt GOVT - Domestic - Foreign FIDF
(THB Mil.)
Mutual Funds 2% Chg. from Dec-14
%
(THB Mil.)
3,414,586.24 3,333,269.45 81,316.79
57% 56% 2%
34,365.41 36,525.27 -2,159.86
995,790.81
17%
-3,000.00
SOE -G - NG
1,045,048.03 419,593.96 625,454.07
17% 7% 10%
323.44 -50.99 374.43
SFIs
532,268.78
8%
-2,203.27
17,430.88
1%
-127.19
6,005,124.74
100%
29,358.39
Others Total
GOVT Debt Portfolio
Classified by Type of Investors
44.36% %
Other 1%
Non- profit organization 1%
9
Contractual Funds 28%
Financial Institution 9%
128%
8.70 ATR
7
Duration
6
6.13
5
Depository Corporation 13%
Nominal Cost of Debt
4
NR 14%
3.81
3
Insurance Company 21%
2
ATM
ATR
MW Duration
Nominal Cost of Debt Source : PDMO as of Dec-15
Source : BOT as of Dec - 15
GOVT Bond Auction Schedule Q2/FY2016 Domestic Bond Market Classified by Issuer
Spread over T-1 Date
Tenor (Year)
Symbol
10 50 20 15 5 30 10 50 15 10
LB25DA LB666A LB366A LB296A LB206A LB446A LB25DA LB666A LB296A LB366A
Auction Amount (THB Mil.)
Total Allocated CB+NCB (THB Mil.)
14,000 10,000 10,700 10,000 24,000 10,000 13,000 10,000 10,000 10,000
14,000 10,000 10,700 10,000 23,779 10,000 13,000 -
Baht Bond 1%
120%
9.29
ATM
8
Bot 6%
Bond Market Cap. 140%
10
Household 5%
Source : PDMO as of Dec-15
% Share of GDP
ATM, ATR, Duration, Nominal Cost of Debt Government Debt Portfolio
Year / %
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15
Debt to GDP =
Allocated CB (THB Mil.)
greenshoe
NCB (THB Mil.)
BCR
AAY (%)
Spread (bps)
1,675 1,100 500 -
1.42 3.59 1.51 1.43 5.10 2.62 2.87 -
2.6207 3.7590 2.9867 2.6938 1.6393 3.1589 2.0340 -
Min. (bps)
Max. (bps)
100% 100%
99% 80%
75%
60%
2,483,939
24%
40%
Asian Fin. Crisis
20%
783,992.72
12%
THB Mil
THB Mil.
Bank Loan /GDP
Equity/GDP
Bond Market / GDP
No.
Symbol
THB Mil.
Maturity Profile BOT vs GOVT Bond BOT ATM = 5mths GOVT ATM = 11yrs 3mths *End of Oct 2015
GoVT Bond 39 %
80% 15%
≤1
20%
15%
1<yr≤3
3<yr≤5
28%
32%
5<yr≤10
10<yr≤50
Source : ThaiBMA
3,779 -
-2.56 -11.18 -7.8 +4.38 -2.36 -18.80 -2.74 -
-6.6 -14.1 -11.5 +2 -2.8 -21.2 -2.7 -
-1.8 -10.4 -4.5 +7 -1.9 -16.7 -2.7 -
Top 5 Most Active GOVT Bond
BOT Bond 27%
2,698,924 10%
14,000 8,325 10,700 10,000 18,900 9,500 13,000 -
Source : ThaiBMA
1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Oct-15 Nov-15 Dec-15
0%
24%
Corp Bond
6-Jan-16 13-Jan-16 20-Jan-16 27-Jan-16 10-Feb-16 17-Feb-16 2-Mar-16 9-Mar-16 16-Mar-16 30-Mar-16
3,964,193.5 3,964,193 4
1 2 3 4 5
LB196A LB206A LB21DA LB25DA LB176A
Outstanding Value (THB Mil.)
Total Trading Value (THB Mil.)
301,994 132,682 306,104 161,854 218,683
309,747 298,088 296,069 153,348 140,813
% of
Total Trading value
T/O (เท่า)
26% 25% 25% 13% 12%
1.03 2.25 0.97 0.95 0.64
Source : ThaiBMA (From Oct 1st,2015 to March 4th,2016)
THB Mil.
as of March 4th, 2016
th
Source : ThaiBMA (As of March 4 ,2016 )
GOVT Yield Curve Movement 5
MPC
3 yr
5 yr
10 yr
20 yr
50 yr
4
3.54% 50-yr 2.50% 20-yr
3 2
MPC 1
1.5%
1.95% 10-yr 1.64% 5-yr 1.48% 3-yr
BOND Forign Yield
SWAP
% 0.04
Interest Rate Swap IRS
THAI 0.03
US
0.02
UK
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.72
0.77
1.09
1.31
1.56
EU
%
-0.14
-0.16
0.03
0.24
0.56
JAPAN
%
-0.07
-0.14
-0.11
-0.02
0.13
THAILAND
%
1.66
1.68
1.99
2.18
2.39
1-yr
2-yr
5-yr
7-yr
10-yr
JAPAN 0.01
EURO Cross Currency Swap CCS
0.00 3m
6m
2-yr
5-yr
10-yr
30-yr
-0.01 US
UK
THB/USD
%
1.650/1.590 1.570/1.420 1.380/1.250 1.390/1.210 1.480/1.210
EUR/CBS
Mid
-0.33
-0.39
-0.47
-0.48
-0.47
JPY/CBS
Mid
-0.64
-0.76
-0.98
-1.00
-0.93
EURO
JAPAN
Thailand
3M
6M
2yr
5yr
10yr
30yr
US
0.29%
0.48%
0.84%
1.33%
1.83%
2.65%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
2-yr (bps)
5-yr (bps)
7-yr (bps)
10-yr (bps)
UK
0.47%
0.51%
0.47%
0.84%
1.45%
2.33%
US
21.08
21.67
22.48
23.35
30.04
40.61
EURO
-0.55%
-0.42%
-0.58%
-0.37%
0.19%
0.96%
UK
15.28
17.28
23.78
39.77
54.81
71.00
JAPAN
-0.07%
-0.14%
-0.20%
-0.19%
-0.04%
0.72%
JAPAN
9.30
14.29
22.00
48.65
70.27
91.35
THAILAND
1.40%
1.41%
1.47%
1.65%
1.95%
3.00%
THAILAND
38.06
41.55
63.62
147.67
176.44
200.53 th
th
Source : Reuters , Bloomberg (As of March 4 , 2016)
Source : ThaiBMA , Bloomberg (As of March 4 , 2016)
Non-Residence Trading NR Holding Weekly
Peers Comparison
THB.Mil.
Percentage share of Non-resident Holding in Local Government Bond
350,000
40%
Indonesia 300,000
2016
38.40% 38.40% Dec’ 15
250,000
Malaysia
93,249 30%
200,000
31.70% 31.70%
GOVT Bond -16,158 THB mil.
84,003
Dec’ 15
150,000
23,052 100,000
129,454 117,144
50,000
0
-50,000
30,216
-22,494
-2,793
BOT Bond 52,866 THB mil.
196,463
Thailand 20%
96,738
As of Feb 16
25,170
4,919
-1,598
29,642
6,087
-7,506
-53,807
-18,866
Korea -2,212
-100,506
-27,157
13.7%
21,608
10%
9.96% 9.96%
-71,124
Sep’15 Sep’15
Japan -37,994
-100,000
9.77% -150,000
Sep’ 15
2007 2008 2009 2010 2011 2012 2013 2014 2015 : -ขายสุทธิของนักลงทุนต่างชาติในตราสารหนี: BOT การซือ
Mar
Apr
Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16
Feb
Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14
0%
Jan
2016
: -ขายสุทธิของนักลงทุนต่างชาติในตราสารหนี: GOVT การซือ
Thailand
Indonesia
Malaysia
Korea
Source : PDMO (As of March 4th, 2016)
Japan
Source : PDMO (As of March 4th, 2016)
BAHT BOND
86,109 THB Mil.
THE OUTSTANDING BAHT BOND Classified by issuers based on TTM THB Mil.
CLMV
30000
33
Non-Gov’t
8%
%
(6,500 THB Mil.)
28,090 THB Mil.
27
25%
(23,066)
23
%
20000
(21,590 THB Mil.)
Mizuho
(20,044)
IFIs , International Credit Rating & CGIF
Government
%
AFD
67%
CBA
(58,019 THB Mil.)
ADB
NOBLE
KEXIM
12
%
10000
7
%
7
(6,330)
%
KEXIM
(5,668) CITI
%
KEXIM
Woori
Hana
Lao PDR Lao PDR
Lao PDR
(Gov’t)
(Gov’t)
2016
2017
(Gov’t)
0 2018
EDL-Gen
7
KEXIM
Lao PDR (Gov’t)
EDL-Gen Lao PDR
(Gov’t)
(Gov’t)
2020
2
%
Lao PDR 2019
KEXIM
(5,701) CABEI
Woori CABEI
(8,000)
%
Woori
Woori
Today
9
(10,000)
ING
2021
3
%
3
%
(2,800)
(3,000)
KEXIM
EDL-Gen
KEXIM 2022
2023
2024
Lao PDR (Gov’t)
(1,500)
2025
Source : PDMO (As of March 4th, 2016)