THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights
วันที่ 8 มีนาคม 2560 สภาขุนนางของอังกฤษลงมติผ่านร่างกฎหมายว่าด้วยการแยกตัวออกจากสหภาพยุโรป (Brexit) ฉบับแปรญัตติ ฉบับที่ 2 โดยกาหนดให้สมาชิกรัฐสภาต้องมีสทิ ธิอานาจมากขึ้นในการลงมติเกี่ยวกับกระบวนการ Brexit สภาขุนนางได้เห็นชอบให้แปร ญัตติร่างกฎหมาย Brexit โดยกาหนดให้รัฐบาลอังกฤษต้องปกป้องสิทธิพลเมืองชาว EU ที่อาศัยอยู่ในอังกฤษ
March 13, 2017
วันที่ 9 มีนาคม 2560 ธนาคารกลางยุโรป (ECB) จัดการประชุมนโยบายการเงิน โดยมีมติคงอัตราดอกเบี้ยนโยบายที่ระดับ 0% และ ยังคงอัตราดอกเบี้ยเงินฝากที่ธนาคารพาณิชย์ฝากไว้กบั ECB ที่ระดับ -0.4% นอกจากนี้ ECB ยังได้คงอัตราดอกเบี้ยเงินกู้ที่ระดับ 0.25%
.
ติดตามการประชุมของธนาคารกลางสหรัฐ (เฟด) ที่จดั ขึ้นวันที่ 14-15 มีนาคม 2560 ซึ่งคาดการณ์ว่าจะปรับขึ้นอัตราดอกเบี้ยในการ ประชุมครั้งนี้จากระดับ 0.75% – 1.00% Inflation Rate Inflation Rate
YoY(%) MoM(%)
Headlind Inflation Forecast
2014 2015 2016
0.25% 0.00% -0.10%
British Interest Rate (BoE) European Interest Rate (ECB) Japanese Interest Rate (BoJ)
Avg. Selling Rate (THB)
Thai Policy Interest Rate
YTD
35.5459 43.4490 37.8263 31.0851 5.1853
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
As of Mar 6 , 2017
2017
Next Meeting:
BOT NESDB FPO
29-Mar-2017
3.2 3.0 - 4.0 3.6
183.00
EQUITIES Index
Name
GDP Forecast
1.50%
-1.5% -2.1% 0.2% 0.9% -0.9%
th
Source : BOT
0.70 2.80 3.20
Source : NESDB
Major World Currencies
USD GBP EUR JPY CNY
Source : BOT As of Feb 2017
YoY(%)
0.5% - 0.75%
Source : MOC As of Feb 2017
Currency
INT'L RESERVE THAI (b.USD)
GDP Growth
American Interest Rate (Fed)
0.59 0.02 1.44 0.04 1.50 - 2.00
Core Inflation
MACRO DATA
Policy Rate
Change(Wk) -26.29 135.61 -102.73 -10.52 -64.18 15.95 -31.18
1,539.91 19,604.61 20,902.98 2,372.60 11,963.18 23,568.67 7,343.08 OIL (USD/Barrel)
BRENT WTI
Last Update : Feb 2017
-4.53 -4.84
51.37 48.49 PRECIOUS METALS (USD)
GOLD SILVER Source : Bloomberg
th
-25.10 -0.817
1,201.40 16.923
As of Mar 10 , 2017
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt Debt to GDP =
42.39%
OtherNon- profit Mutual Funds 1% organization 2% 1% Household 3%
5,944,236.79 THB Mil. Oustanding Debt
Chg. from Oct-16
%
(THB Mil.)
(THB Mil.)
3,538,165.82 3,442,114.85 96,050.97
60% 58% 2%
-5,055.39 -3,437.24 -1,618.15
FIDF
935,392.67
16%
-13,246.17
SOE -G - NG
979,495.27 419,712.70 559,782.57
16% 7% 9%
-5,463.14 1,537.17 -2,141.74
GOVT - Domestic - Foreign
470,719.62
SFIs
Total
8%
Financial Institution 4%
20,463.41
0%
-843.27
100%
-40,938.22
NR 14%
140% 120%
108% 100%
97%
Corp Bond 25%
60% 24% Asian Fin. Crisis
7%
805,218 THB Mil.
12% 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Jan-17 Feb-17 Mar-17
0%
Bank Loan /GDP
Equity/GDP
Insurance Company 28%
Bond Market / GDP
3.95
10.50
3.9
10.00
3.85
9.50
3.8
9.00
3.75
8.50
3.7
8.00
3.65
ATR (LHS)
Average cost (RHS)
Source : PDMO as of Nov 2016
GOVT Bond Auction Schedule Q2/FY2017 Spread over T-1 Date
Tenor (Year)
Symbol
Auction Amount (THB Mil.)
Total Allocated CB+NCB (THB Mil.)
15,000 20,000 14,000 25,000 8,000 14,000 12,000 11,000 12,000 25,000 8,000 14,000 13,000
7,970 20,000 7,610 25,000 8,000 14,000 12,000 11,000 12,000 25,000
Allocated CB (THB Mil.)
NCB (THB Mil.)
BCR
greenshoe
AAY (%)
Spread (bps)
BOT Bond 29%
7-Dec-16
15
LB316A
14-Dec-16
5
LB226A
21-Dec-16
50
LB666A
18-Jan-17
5
LB226A
25-Jan-17
20
LB366A
1-Feb-17
10
LB26DA
8-Feb-17
50
LB666A
15-Feb-17
15
LB316A
22-Feb-17
30
LB466A
1-Mar-17
5
LB226A
15-Mar-17
20
LB366A
22-Mar-17
10
LB26DA
29-Mar-17
50
LB666A
6,840 19,800 6,410 24,350 8,000 13,800 11,920 8,800 12,000 25,000
1,130 200 1,200 650 200 80 2,200 -
0.67 1.59 0.63 2.83 1.35 1.32 1.46 3.86 1.75 1.96
3,950 4,870 100
3.22 2.22 3.66 2.25 3.36 2.78 3.70 3.25 3.54 2.24
10.33 3.01 6.92 -2.63 6.81 3.37 0.5 -3.73 0.83 3.66
3,148,517 THB Mil.
Max. (bps)
6.70 18.70 0.36 5.06 3.08 9.58 -3.64 -1.94 2.56 8.56 2.75 2.79 3.67 3.74 3.23 3.62 3.50 3.58 2.23 2.25
Source : ThaiBMA
Maturity Profile
9%
Min. (bps)
Baht Bond 1%
80%
20%
Contractual Funds 27%
%
11.00
Source : BOT as of Nov 2016
Domestic Bond Market Classified by Issuer
128%
40%
Year
11,025,187 THB Mil.
% Share of GDP
ATM, ATR, Norminal Cost of Debt Goverment Debt Portfolio
ATM (LHS)
Source : PDMO as of Nov 2016
Bond Market Cap. Size
Bot 6%
Depository Corporation 14%
-16,330.25
5,944,236.79
Others
GOVT Debt Portfolio
Classified by Type of Investors
BOT vs GOVT Bond
Govt Bond 38%
84% 18% 35%
≤1
16%
18%
20%
1<yr≤3
3<yr≤5
5<yr≤10
Top 5 Most Active GOVT Bond No.
Symbol
TTM.
4,207,491 THB Mil.
10<yr≤50
Source : ThaiBMA as of Mar 10th, 2017
1 2 3 4 5
LB226A LB21DA LB196A LB206A LB176A
5.27 4.77 2.25 3.29 0.26
Total Trading Value (THB Mil.)
Outstanding Value (THB Mil.)
170,506 306,104 301,994 188,118 162,001
of Total Trading value
%
328,706 215,476 201,365 200,840 149,978 Source : ThaiBMA ( Oct
T/O (เท่า)
20.92% 1.93 13.71% 0.70 12.81% 0.67 12.78% 1.07 9.54% 0.93 st 1 ,2016 - Mar 10th ,2017 )
GOVT Yield Curve Movement MPC
5%
3 yr
4% 3% 2%
MPC 1%
1.5%
5 yr
10 yr
20 yr
50 yr
3.72% 50-yr 3.41% 20-yr 2.86% 10-yr 2.25% 5-yr 1.79% 3-yr Source : ThaiBMA (As of Mar 10
th
,2017 )
Foreign Yield
SWAP Interest Rate Swap IRS
4.00% 3.50%
THAI
3.00%
US
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
1.42
1.70
2.21
2.37
2.53
EU
%
-0.18
-0.07
0.34
0.59
0.94
JAPAN
%
0.05
0.07
0.13
0.19
0.31
THAILAND
%
1.59
1.75
2.31
2.55
2.76
1-yr
2-yr
7-yr
10-yr
2.50%
UK
2.00% 1.50%
EURO JAPAN
1.00%
0.50%
Cross Currency Swap CCS
0.00%
3m
-0.50%
6m
2-yr
5-yr
10-yr
30-yr
-1.00% -1.50%
5-yr
THB/USD
%
1.585/1.525 1.665/1.575
1.995/1.905
2.145/2.015 2.195/2.075
EUR/CBS
Mid
-0.32
-0.33
-0.33
-0.32
-0.75
JPY/CBS
Mid
-0.59
-0.67
-0.78
-0.80
-0.75
5-yr (bps)
3M
6M
2yr
5yr
10yr
30yr
US
0.75%
0.89%
1.36%
2.11%
2.58%
3.17%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
2-yr (bps)
7-yr (bps)
10-yr (bps)
UK
0.21%
0.26%
0.10%
0.63%
1.23%
1.83%
US
14.84
14.85
15.67
22.00
28.25
34.02
EURO
-0.93%
-0.95%
-0.81%
-0.29%
0.49%
1.27%
UK
5.90
5.99
9.59
26.33
43.35
61.43
JAPAN
-0.37%
-0.36%
-0.25%
-0.11%
0.09%
0.88%
JAPAN
2.54
2.94
5.49
21.51
33.86
44.48
THAILAND
1.45%
1.50%
1.65%
2.25%
2.86%
3.56%
THAILAND
11.47
12.62
22.08
56.71
85.46
105.22
th
Source : Reuters (As of Mar 13th, 2017)
Source : ThaiBMA , Reuters (As of Mar 10 , 2017)
Non-Residence Trading NR Holding Weekly
Peers Comparison
Non-Resident Holding (THB Million)
% Share of Thai Bond Market Cap.
599,036
5433.000%
BOT Bond
70,297
638.000%
SOE Bond
67
0.001%
Corp Bond
670
0.006%
Issuer GOVT Bond
Percentage share of Non-resident Holding in Local Government Bond
Indonesia
40%
37.55% Dec’ 16
Malaysia 32.16% Dec' 16
30%
670,070
TOTAL
6.078%
350,000
2017
300,000
84,003 23,052
100,000
As of Mar 17
Japan
117,144
196,463
129,454
6,864
96,738
Sep 16
45,963 29,642
0
-53,807
-50,000
10.31%
10%
-100,506
Korea
15,548
10.14%
28,956
-71,124
Sep’15
-37,994
-100,000
Source : PDMO (As of Mar 10th, 2017)
asianbondsonline
79,845 HB Mil.
Classified by issuers based on TTM Non-Gov’t
CLMV
8%
47
%
THB Mil.
(6,500 THB Mil ) .
37,156 THB Mil.
29
25,000
%
(23,066)
Lao PDR (Government)
IFIs , International Credit Rating & CGIF (42,689 THB Mil.)
53
39
MHBK 20,000
%
ADB
%
(30,656 THB Mil.)
AFD
15,000 KEXIM
14
%
(11,133) HANA
10,000
WOORI
7
CITI
Lao PDR (Gov,t) 2017
%
(10,352)
10 (8,000) %
KNM
KEXIM
KEXIM WOORI
Hana
5
CABEI
%
WOORI EDL-Gen Lao PDR (Gov,t)
CABEI
0
%
EDL-Gen
%
(5,668) 5,000
13
12
(10,000)
Lao PDR (Gov,t) 2018
2019
Lao PDR (Gov,t)
2020
Lao PDR (Gov,t) 2021
2
(3,864)
KEXIM
4
%
(3,000)
%
(1,500)
Dec-17
Jun-17
Source : PDMO (As of Mar 10th, 2017)
BAHT BOND
THE OUTSTANDING BAHT BOND
Sep-17
Mar-17
Dec-16
Jun-16
Sep-16
Mar-16
Dec-15
Jun-15
Sep-15
Mar-15
Dec-14
Jun-14
Sep-14
Mar-14
Dec-13
Jun-13
Sep-13
Mar-13
Dec-12
Jun-12
Sep-12
Mar-12
Dec-11
Jun-11
2017
Sep-11
2016
Mar-11
2015
Dec-10
2014
Jun-10
2013
Sep-10
2012
Q4
Mar-10
2011
Q3
Jun-09
2010
Q2
Mar-09
Q1
Dec-09
0%
-150,000
Sep-09
50,000
14.2%
Net Buy 35,819 THB Mil.
200,000 150,000
Thailand
20%
93,249
250,000
KEXIM
KEXIM
Lao PDR (Gov,t)
2022
2023
Lao PDR (Gov,t)
EDL-Gen 2024
2
2
%
Lao PDR (Gov,t)
Lao PDR (Gov,t) 2025
2026
%
(1,891)
(1,371)
2027
2028
Source : ThaiBMA (As of Mar 10th, 2017)