THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights
ดัชนีดาวโจนส์ทรุดตัวลงหนักที่สดุ ตัง้ แต่รู้ผลการลงประชามติ Brexit เนื่องจากนายเอริค โรเซนเกรน ประธานเฟด สาขา บอสตันเตือนว่าเฟดเผชิญความเสีย่ งมากขึน้ หากชะลอการปรับขึน้ อัตราดอกเบี้ยออกไปนานเกินไป การที่มีปัจจัยกระทบ การขยายตัวของเศรษฐกิจ ในระยะยาว ชีว้ า่ เฟดจะปรั ตราดอกเบี ้ยในอั ราที่ชเพืา้ มาก นายกฯญีป่ ุ่นย้บ่้างกฎหมายไม่ อนุบญขึาตน้ อัBOJ ซื้อบอนด์ ตา่ ตงชาติ ่อให้เยนอ่อนค่า บอนด์ยลี ด์ญปี่ ุ่นปิดพุ่งขึน้ ในสุดสัปดาห์ที่ผ่าน
September 12, 2016
มา เหตุคาดแบงก์ชาติญปี่ ุ่นอาจชะลอซื้อสินทรัพย์ Inflation Rate
MACRO DATA
Inflation Rate Core Inflation Nominal Inflation Forecast
Policy Rate
YoY(%)
MoM(%)
2013 2014 2015
Source : MOC As of July 2016
Avg. Selling Rate (THB)
Thai Policy Interest Rate YTD
34.9292 46.7589 39.5455 34.4217 5.2697
USD GBP EUR JPY CNY
2.90 0.70 2.80
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
GDP Forecast 2016
1.50%
-3.4% -12.1% 0.7% 14.4% -4.9%
Next Meeting:
3.10 3.50 3.30
BOT NESDB FPO
14-Sep-2559
Change(Wk) -37.14 -71.87 -12.05 1.38 3.07 450.15 -20.72
1,455.38 16,965.76 18,479.91 2,181.30 10,675.29 24,099.70 6,858.70 OIL (USD/Barrel)
BRENT WTI
Last Update : 11-Aug-2016
0.38 1.44
48.01 45.88 PRECIOUS METALS (USD)
GOLD SILVER
As of September 12, 2016
Source : BOT
EQUITIES Index
Name
Source : NESDB
Major World Currencies Currency
180.20
Source : BOT As of Aug 2016
YoY(%)
0.50% 0.25% 0.00% -0.10%
American Interest Rate (Fed) British Interest Rate (BoE) European Interest Rate (ECB) Japanese Interest Rate (BoJ)
0.10 -0.35 0.76 0.06 0.00 - 1.00
INT'L RESERVE THAI (b.USD)
GDP Growth
7.80 0.002
1,334.50 19.368 th
Source : Bloomberg
As of Sep 12 , 2016
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt Debt to GDP =
42.83%
Other Non- profit Mutual Funds 1% organization 2% 1% Household 3%
5,924,055.53 THB Mil. Chg. from Dec-15
%
(THB Mil.)
(THB Mil.)
3,403,355.89 3,310,838.57 92,517.32
57% 56% 2%
-38,509.54 -39,471.05 961.51
FIDF
969,932.25
16%
-3,222.34
SOE -G - NG
1,021,940.40 421,963.18 599,977.22
17% 7% 10%
-6,831.42 3,422.33 -10,253.75
GOVT - Domestic - Foreign
SFIs
517,517.92
8%
-4,096.12
11,309.07
1%
-638.38
100%
-53,297.80
Others
5,924,055.53
Total
Financial Institution 4%
10
7
120% 101%
NR 14%
6 5
Insurance Company 28%
3 2
ATM
75%
20% 12%
Corp Bond 24%
825,866 THB Mil.
1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Mar-16 Apr-16 May-16 Jun-16
0%
Asian Fin. Crisis
Bank Loan /GDP
Equity/GDP
Bond Market / GDP
MW Duration
Nominal Cost of Debt Source : PDMO as of May 2016
Spread over T-1 Date
Tenor (Year)
Symbol
15 5 20 50 10 30 5 20 15 10 30 20 50 5
LB296A LB206A LB366A LB666A LB25DA LB446A LB226A LB366A LB316A LB26DA LB466A LB366A LB666A LB226A
Auction Amount (THB Mil.)
Total Allocated CB+NCB (THB Mil.)
Allocated CB (THB Mil.)
greenshoe
NCB (THB Mil.)
4,000.00 -
200 750 2,000 420 100 100 450 300 370 200
BCR
AAY (%)
Spread (bps)
1.78 3.32 1.50 2.24 1.15 1.87 2.47 1.02 1.17 1.78 0.74 0.88
2.2793 1.7095 2.6067 3.0227 1.8708 2.6417 1.7272 2.4842 2.4768 2.0910 2.8089 2.7689
BOT Bond 29%
8-Jun-16 15-Jun-16 15-Jun-16 22-Jun-16 29-Jun-16 6-Jul-16 13-Jul-16 20-Jul-16 27-Jul-16 10-Aug-16 24-Aug-16 31-Aug-16 14-Sep-16 21-Sep-16
10,000 24,000 10,000 10,000 20,000 10,000 30,000 10,000 16,000 15,000 11,000 11,000
9,800 20,000 9,250 8,000 15,580 9,900 29,900 10,000 15,550 14,700 7,860 9,505
10,000 20,000 10,000 10,000 20,000 10,000 30,000 10,000 16,000 15,000 8,230 9,705
-5.82 -1.18 2.90 -17.71 -3.17 -6.12 1.85 6.98 4.66 -1.51 11.20 13.98
2,901,897 THB Mil.
-8.75 -2.75 -1.33 -0.83 -3.77 7.23 -20.18 -16.18 -8.25 -0.25 -12.29 -2.29 1.31 2.63 3.36 9.06 0.68 6.981 -3.21 -0.71 3.81 27.31 5.1 22.09
BOT vs GOVT Bond
10%
≤1
Max. (bps)
Source : ThaiBMA
Maturity Profile
78%
Min. (bps)
Baht Bond 1%
24%
40%
ATR
GOVT Bond Auction Schedule Q3/FY2016
99% 60%
3.89
Source : BOT as of June 2016
100%
80%
6.50
4
Domestic Bond Market Classified by Issuer
128%
9.22
8
Contractual Funds 27%
Bond Market Cap. Size 10,505,956 THB Mil. 140%
9.70
9
Bot 6%
Depository Corporation 14%
Source : PDMO as of June 2016
% 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 Jan-16 Feb-16 Mar-16 Apr-16 May-16
Oustanding Debt
GOVT Debt Portfolio
Classified by Type of Investors
Govt Bond 38% 19%
22%
12%
1<yr≤3
3<yr≤5
24% 5<yr≤10
35%
Top 5 Most Active GOVT Bond No.
Symbol
TTM.
4,030,547 THB Mil.
10<yr≤50
Source : ThaiBMA as of Sep 9th, 2016
1 2 3 4 5
LB206A LB196A LB21DA LB176A LB25DA
Outstanding Value (THB Mil.)
Total Trading Value (THB Mil.)
188,118 301,994 306,104 162,001 193,854
3.79 2.75 5.27 0.76 9.25
634,283 612,690 604,296 512,535 434,683
% of
Total Trading value
T/O (เท่า)
15.93% 15.39% 15.18% 12.88% 10.92%
3.37 2.03 1.97 3.16 2.24
Source : ThaiBMA (As of Sep 9th ,2016 )
GOVT Yield Curve Movement MPC
5%
3 yr
5 yr
10 yr
20 yr
4% 3% 2%
MPC 1%
1.5%
50 yr
3.23% 50-yr 2.63% 20-yr 2.12% 10-yr 1.79% 5-yr 1.62% 3-yr
Source : ThaiBMA (As of Sep 9th ,2016 )
Foreign Yield
SWAP Interest Rate Swap IRS
3.50%
THAI
3.00%
US
2.50%
UK
2.00%
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.98
10.70
1.26
1.39
1.54
EU
%
-0.19
-0.21
-0.09
0.09
0.39
JAPAN
%
-0.03
-0.08
-0.06
0.01
0.13
THAILAND
%
1.56
1.59
1.88
2.04
2.21
1-yr
2-yr
5-yr
7-yr
10-yr
THB/USD
%
1.540/1.485
1.580/1.470
1.605/1.545
EUR/CBS
Mid
-0.37
-0.39
-0.44
-0.46
-0.48
JPY/CBS
Mid
-0.72
-0.74
-0.78
-0.77
-0.72
2-yr (bps)
5-yr (bps)
1.50%
EURO
1.00% 0.50%
Cross Currency Swap CCS
JAPAN 0.00% 3m
6m
2-yr
5-yr
10-yr
30-yr
1.620/1.490 1.495/1.395
-0.50% -1.00%
3M
6M
2yr
5yr
10yr
30yr
US
0.36%
0.51%
0.79%
1.22%
1.67%
2.39%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
7-yr (bps)
10-yr (bps)
UK
0.22%
0.32%
0.18%
0.31%
0.86%
1.50%
US
15.74
15.74
17.37
25.00
31.75
38.54
EURO
-0.72%
-0.67%
-0.63%
-0.48%
0.02%
0.62%
UK
6.61
6.74
11.05
30.47
47.42
65.66
JAPAN
-0.28%
-0.31%
-0.25%
0.17%
-0.01%
0.54%
JAPAN
3.78
4.22
9.78
29.66
44.28
57.23
THAILAND
1.44%
1.48%
1.55%
1.79%
2.12%
2.83%
THAILAND
14.97
16.18
29.39
81.80
113.03
133.41
Source : ThaiBMA , Reuters (As of Sep 9th, 2016)
Source : Reuters (As of Sep 9th, 2016)
Non-Residence Trading NR Holding Weekly
Peers Comparison
THB.Mil.
Percentage share of Non-resident Holding in Local Government Bond
350,000
Indonesia
2016
300,000
250,000
39.1%
40%
Jun’ 15
Malaysia
Net Buy 131,144 THB Mil.
93,249
200,000
34.52 % Jun' 15
30%
BOT Bond 93,712 THB mil.
84,003
150,000
GOVT Bond 37,432 THB mil.
23,052
100,000
196,463
Thailand 20%
129,454
50,000
117,144
96,738
14.7 %
43,308
80,737
As of Sep' 16
21,494
30,216
0 -22,494
21,608 4,919 6,087 -18,866
29,642
-2,793 -1,598 -7,506
-53,807
-27,157
-50,000
210
7,991 -30,352
9,218 -5,806
28,501 4,533
15,699
250
Japan
-18,824
-39,564
10.26%
10%
-71,124
Mar’ 15
-100,506
Korea 9.7%
-37,994
-100,000
Mar’15
-150,000 2007
2008
2009
2010
2011
2012
2013
2014
Feb
2015
Mar
Apr
May
June
July
Aug
0%
Sep
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 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16
Jan
2016
Source : PDMO (As of Sep 9th, 2016)
Source : PDMO (As of Sep 9th, 2016)
BAHT BOND
67,499 HB Mil.
THE OUTSTANDING BAHT BOND Classified by issuers based on TTM
CLMV
Non-Gov’t
40
8%
%
26,590 THB Mil.
10
%
(6,500 THB Mil )
Government
THB Mil.
Non-Gov’t .
(6,500 THB Mi ) Lao PDR 25(Government) %
30000
l.
34
30
67
(20,090 THB Mil.)
(23,066)
ADB
IFIs , International Credit Rating & CGIF (40,909 THB Mil.)
%
%
AFD
MHBK
%
20000
60% 15
KEXIM
%
12
(10,000)
10000
8
9
%
%
%
(1,434)
CITI
HANA
Lao PDR (Gov,t)
EDL-Gen Lao PDR (Gov,t)
2018
2019
WOORI
Lao PDR (Gov,t)
2016
2017
9
(5,701) KEXIM CABEI
WOORI CABEI
ADB 0
WOORI
%
(8,000)
%
Hana (6,330)
(5,668)
2
KEXIM
Lao PDR (Gov,t)
2020
2
%
EDL-Gen
(1,500)
Lao PDR (Gov,t)
KEXIM
2021
2022
4
%
4
(2,800)
(3,000)
KEXIM
EDL-Gen
2023
KEXIM
%
2024
Lao PDR (Gov,t)
2025
Source : ThaiBMA (As of Sep 9th, 2016)