THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights
อัตราผลตอบแทนของพันธบัตรรัฐบาลเริ่มมีการปรับตัวลดลง ตามปัจจัยในประเทศและการกลับเข้ามาซื้อพันธบัตรรุ่นอายุ มากกว่า 1 ปีของผู้ถอื ครองต่างชาติ นักลงทุนต่างชาติทยอยขายพันธบัตรรัฐบาลและพันธบัตรธนาคารแห่งประเทศไทยอย่างต่อเนื่องทัง้ สัปดาห์ โดยเน้นขายใน รุ่นอายุต่ากว่า 1 ปี (ส่วนมากเป็นพันธบัตรธนาคารแห่งประเทศไทย) ค่าเงินบาทมีความผันผวนสูงมากตลอดทัง้ สัปดาห์จากระดับ 34.80 บาทต่อดอลลาสหรัฐในสัปดาห์กอ่ นอ่อนสูร่ ะดับ 35.73 บาทต่อดอลลาสหรัฐในช่วงสิน้ วันของวันที่ 13 ต.ค. 59 และเริ่มปรับตัวแข็งขึน้ ในช่วงปิดตลาดของวันที่ 14 ต.ค. 59 ที่ 35.20 บาทต่อดอลลาสหรัฐ Inflation Rate
MACRO DATA
Inflation Rate Core Inflation Nominal Inflation Forecast
Policy Rate
YoY(%)
MoM(%)
2013 2014 2015
0.25% 0.00% -0.10%
Thai Policy Interest Rate
Avg. Selling Rate (THB)
YTD
35.3944 43.5118 39.2275 34.2664 5.3005
USD GBP EUR JPY CNY
As of
Source : BOT
2.90 0.70 2.80
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
GDP Forecast 2016
1.50%
-2.1% -18.2% -0.1% 13.8% -4.3%
Next Meeting:
EQUITIES Index
Name
Source : NESDB
Major World Currencies
3.10 3.50 3.30
BOT NESDB FPO
9-Nov-2559
180.20
Source : BOT As of Aug 2016
YoY(%)
0.25% - 0.5%
Source : MOC As of Sep 2016
Currency
INT'L RESERVE THAI (b.USD)
GDP Growth
American Interest Rate (Fed) British Interest Rate (BoE) European Interest Rate (ECB) Japanese Interest Rate (BoJ)
0.75 0.02 0.38 0.04 0.00 - 1.00
17/10/2016
Change(Wk) -26.73 -42.73 -169.56 -28.22 11.58 -719.19 13.59
1,477.61 16,856.37 18,098.94 2,132.55 10,580.38 23,233.31 7,013.55 OIL (USD/Barrel)
BRENT WTI
Last Update : Aug 2016
0.02 0.54
51.95 50.35 PRECIOUS METALS (USD)
GOLD SILVER
17/10/2016
3.60 0.061
1,255.50 17.441 As of Oct 17th , 2016
Source : Bloomberg
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt Debt to GDP =
OtherNon- 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
58% 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
517,517.92
8%
-4,096.12
11,309.07
1%
-638.38
100%
-53,297.80
GOVT - Domestic - Foreign
SFIs Others
5,924,055.53
Total
Financial Institution 4%
10
7
128%
106%
NR 14%
6 5
Insurance Company 28%
3 2
ATM
75%
20% 12%
Nominal Cost of Debt Source : PDMO as of May 2016
Spread over T-1 Date
Tenor (Year)
Symbol
15 50 5 20 10 30 15 5 50
LB316A LB666A LB226A LB366A LB26DA LB466A LB316A LB226A LB666A
Auction Amount (THB Mil.)
Allocated CB (THB Mil.)
Total Allocated CB+NCB (THB Mil.)
greenshoe
NCB (THB Mil.)
BCR
AAY (%)
Spread (bps)
Min. (bps)
Max. (bps)
Corp Bond 25%
820,426 THB Mil.
12-Oct-16 19-Oct-16 26-Oct-16 2-Nov-16 16-Nov-16 30-Nov-16 7-Dec-16 14-Dec-16 21-Dec-16
15,000 14,000 36,000 12,000 16,000 13,000 15,000 24,000 14,000
2,900
3,450
-
550
0.80
2.61
8.30
3.46
5.96
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 Jul-16
0%
Asian Fin. Crisis
MW Duration
Baht Bond 1%
24%
40%
ATR
GOVT Bond Auction Schedule Q1/FY2017
99% 60%
3.89
Source : BOT as of July 2016
100% 80%
6.50
4
Domestic Bond Market Classified by Issuer
120%
9.22
8
Contractual Funds 27%
Bond Market Cap. Size 10,649,296 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
42.83%
Bank Loan /GDP
Equity/GDP
Bond Market / GDP
BOT Bond 28%
2,996,637 THB Mil.
Source : ThaiBMA
Maturity Profile BOT vs GOVT Bond
10%
78%
≤1
Govt Bond 38% 18%
22%
12%
1<yr≤3
3<yr≤5
24%
5<yr≤10
36%
Top 5 Most Active GOVT Bond No.
Symbol
TTM.
Outstanding Value (THB Mil.)
1 2 3 4 5
LB206A LB196A LB21DA LB226A LB176A
3.69 2.65 5.17 5.67 0.66
188,118 301,994 306,104 59,000 162,001
4,066,997 THB Mil.
10<yr≤50
Source : ThaiBMA as of Oct 14th, 2016
Total Trading Value (THB Mil.)
30,685 29,058 23,785 20,393 17,215
% of
Total Trading value
T/O (เท่า)
17.94% 16.99% 13.90% 11.92% 10.06%
0.16 0.10 0.08 0.35 0.11
Source : ThaiBMA (As of Oct 17th ,2016 )
GOVT Yield Curve Movement MPC
3 yr
5 yr
10 yr
20 yr
50 yr
5% 4%
3.30% 50-yr 2.65% 20-yr 2.18% 10-yr 1.83% 5-yr 1.62% 3-yr
3% 2%
MPC 1%
1.5% Source : ThaiBMA (As of Oct 14th ,2016 )
Foreign Yield
SWAP Interest Rate Swap IRS
3.50% 3.00%
THAI US
2.50% 2.00%
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.98
1.07
1.28
1.44
1.62
EU
%
-0.20
-0.18
-0.04
0.15
0.46
JAPAN
%
0.00
-0.05
-0.05
-0.01
0.09
THAILAND
%
1.52
1.55
1.85
2.00
2.20
1-yr
2-yr
5-yr
7-yr
10-yr
THB/USD
%
1.500/1.455
1.495/1.405
1.545/1.455
EUR/CBS
Mid
-0.39
-0.37
-0.40
-0.41
-0.42
JPY/CBS
Mid
-0.69
-0.72
-0.78
-0.78
-0.73
2-yr (bps)
5-yr (bps)
7-yr (bps)
10-yr (bps)
UK
1.50% 1.00%
EURO JAPAN
0.50%
Cross Currency Swap CCS
0.00% 3m
-0.50%
6m
2-yr
5-yr
10-yr
30-yr
1.540/1.400 1.470/1.360
-1.00% -1.50%
3M
6M
2yr
5yr
10yr
30yr
US
0.30%
0.45%
0.84%
1.28%
1.79%
2.56%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
UK
0.23%
0.34%
0.22%
0.46%
1.10%
1.76%
US
14.94
14.95
16.35
24.01
30.53
36.80
EURO
-0.86%
-0.73%
-0.66%
-0.48%
0.06%
0.68%
UK
8.67
8.78
14.00
35.50
53.65
71.54
JAPAN
-0.25%
-0.38%
-0.27%
-0.20%
-0.06%
0.51%
JAPAN
4.07
4.84
10.66
31.67
45.00
56.43
THAILAND
1.45%
1.49%
1.56%
1.83%
2.18%
2.84%
THAILAND
22.56
23.73
40.15
100.96
132.09
152.26
Source : ThaiBMA , Reuters (As of Oct 14th, 2016)
Source : Reuters (As of Oct 14th, 2016)
Non-Residence Trading NR Holding Weekly
Peers Comparison Percentage share of Non-resident Holding in Local Government Bond
Non-Resident Holding (THB Million)
% Share of Thai Bond Market Cap.
GOVT Bond
581,452
5.460%
BOT Bond
116,836
1.097%
SOE Bond
70
0.001%
Corp Bond
769
0.007%
699,127
6.565%
Issuer
Indonesia 39.1%
40%
Jun’ 15
Malaysia 34.52 % Jun' 15
30%
TOTAL 350,000 300,000
2016
250,000
84,003
150,000 23,052
-50,000
As of Oct' 16
Japan 10.26%
196,463 129,454 117,144
50,000 0
14.3%
Net Buy 126,286 THB Mil.
200,000
100,000
Thailand
20%
93,249
-22,494 -27,157
96,738
30,216 -1,598 -2,793 -7,506
80,737 29,642
-100,506
-53,807 -71,124
21,608 4,919 6,087 -18,866
210
Mar’ 15
10%
43,308
Korea
21,494 28,501 9,218 7,991 -5,806 4,533 15,699 8,584 1,252 -11,514 -30,352 -39,564 -21,755
9.65% Jun’15
-37,994
-100,000
0% Jan 2007
2008
2009
2010
2011
2012
2013
2014
Feb
Mar
2015
Apr
May
June
July
Aug
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
-150,000 Oct
2016
Source : PDMO (As of Oct 14th, 2016)
Source : PDMO (As of Oct 14th , 2016)
BAHT BOND
66,499 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 Lao PDR 25(Government) %
30000
30
IFIs , International Credit Rating & CGIF (39,909 THB Mil.)
%
35
%
67
(20,090 THB Mil.)
(23,066)
ADB
THB Mil.)
AFD MHBK
%
20000
60% 15
KEXIM
%
12
(10,000)
10000
9
9
%
%
(434) 0 2016
CITI
KEXIM
WOORI
HANA
WOORI
WOORI CABEI Lao PDR (Gov,t) 2017
Lao PDR (Gov,t)
EDL-Gen Lao PDR (Gov,t)
2018
2019
9
Lao PDR (Gov,t)
2020
(5,701) KEXIM CABEI
%
(8,000)
%
Hana (6,330)
(5,668)
1
%
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 Oct 14th, 2016)