THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights
การประชุมของธนาคารกลางสหรัฐ (FED) วันที่ 14 ธันวาคม 2559 คณะกรรมการกาหนดนโยบายการเงิน (FOMC) มีมติปรับขึน้ อัตราดอกเบีย้ นโยบายอีก 0.25% จากระดับ 0.25-0.50% สูร่ ะดับ 0.50-0.75% พร้อมส่งสัญญาณว่า จะมีการปรับขึน้ อัตราดอกเบีย้ 3 ครัง้ ในปีหน้า
December 19, 2016
วันที่ 19 ธันวาคม 2559 ธนาคารกลางญีป่ นุ่ (BOJ) ได้เริม่ ประชุมนโยบายการเงิน โดยคาดว่าธนาคารกลางญีป่ นุ่ จะ คงนโยบายการเงินไว้เช่นเดิม แต่จะหารือเกี่ยวกับผลกระทบของนโยบายควบคุมเส้นอัตราผลตอบแทนพันธบัตร รัฐบาล (Yield Curve Control) ท่ามกลางอัตราดอกเบีย้ ระยะยาวทีป่ รับตัวสูงขึน้ Inflation Rate Inflation Rate
YoY(%) MoM(%)
0.72 0.03 0.60 -0.06 0.00 - 1.00
Core Inflation Headlind Inflation Forecast
MACRO DATA
Policy Rate American Interest Rate (Fed)
2014 2015 Q3/2016
0.25% 0.00% 0.00%
European Interest Rate (ECB) Japanese Interest Rate (BoJ)
0.70 2.80 3.30
Name
Thai Policy Interest Rate
YTD
35.9748 44.8884 37.7064 30.6211 5.2358
As of Dec 16 , 2016
2017
1.50%
-0.5% -15.6% -4.0% 1.7% -5.5%
th
GDP Forecast
Next Meeting:
BOT NESDB FPO
21-Dec-2016
3.2 3.0 - 3.4 3.4
174.71
EQUITIES Index
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
Source : NESDB
Avg. Selling Rate (THB)
Source : BOT
Source : BOT As of Nov 2016
YoY(%)
0.5% - 0.75%
British Interest Rate (BoE)
Major World Currencies
USD GBP EUR JPY CNY
INT'L RESERVE THAI (b.USD)
GDP Growth
Source : MOC As of Nov 2016
Currency
.
Change(Wk) -3.23 -158.66 86.56 -1.46 200.38 -577.61 57.43
1,523.09 18,996.37 19,843.41 2,258.07 11,404.01 21,855.41 7,011.64 OIL (USD/Barrel)
BRENT WTI
Last Update : Dec 2016
2.75 -3.36
55.58 52.33 PRECIOUS METALS (USD)
GOLD SILVER Source : Bloomberg
th
-24.50 -1.027
1,141.30 16.160
As of Dec 19 , 2016
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt Debt to GDP =
42.64%
OtherNon- profit Mutual Funds 1% organization 2% 1% Household 3%
5,949,330.64 THB Mil. Oustanding Debt
Chg. from Dec-15
%
(THB Mil.)
(THB Mil.)
3,472,367.50 3,374,900.74 97,466.760
58% 56% 2%
31,425.48 29,613.45 1,812.03
FIDF
950,121.030
16%
-12,513.77
SOE -G - NG
995,932.29 422,327.780 573,604.510
17% 7% 10%
-20,894.36 830.85 -21,725.21
GOVT - Domestic - Foreign
507,633.620
SFIs
Total
8%
Financial Institution 4%
23,276.200
1%
-1,195.97
100%
-10,323.46
120%
105% 100%
24% Asian Fin. Crisis
815,243 THB Mil.
12%
3.85 3.80 3.75 3.70
8.0
3.65 Oct-57
May-58
Dec-58
Jul-59
ATR Source : PDMO as of Sep 2016
GOVT Bond Auction Schedule Q1/FY2017 Spread over T-1 Date
Tenor (Year)
Symbol
Auction Amount (THB Mil.)
Total Allocated CB+NCB (THB Mil.)
12-Oct-16
15
LB316A
19-Oct-16
50
LB666A
26-Oct-16
5
LB226A
2-Nov-16
20
LB366A
16-Nov-16
10
LB26DA
30-Nov-16
30
LB466A
7-Dec-16
15
LB316A
14-Dec-16
5
LB226A
3,450 14,000 30,000 4,260 16,000 4,615 7,970 20,000
21-Dec-16
50
LB666A
15,000 14,000 36,000 12,000 16,000 13,000 15,000 20,000 14,000
Allocated CB (THB Mil.)
NCB (THB Mil.)
BCR
greenshoe
AAY (%)
Spread (bps)
Min. (bps)
Max. (bps)
2,900 12,900 29,800 3,900 15,860 4,315 6,840 19,800
550 1,100 200 360 140 300 1,130 200
0.80 1.03 1.67 0.79 1.18 0.81 0.67 2
5,264 3,950
2.61 3.26 1.92 2.70 2.57 3.33 3.22 2.22
4.86 -4.26 1.59 7.72 7.22 12.39 10.33 3.01
3.46 5.96 -8.69 2.41 -0.50 2.80 3.25 7.25 2.38 12.18 4.68 14.7 6.70 18.70 0.36 5.06
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 Aug-16 Sep-16 Oct-16 Nov-16
0%
Insurance Company 28%
3.90
Baht Bond 1% Corp Bond 25%
20%
3.80
9.0
Source : BOT as of Oct 2016
80%
40%
10.0
ATM
98%
60%
10.5
8.5
Domestic Bond Market Classified by Issuer
128%
3.95
10.32 9.84
9.5
10,763,496 THB Mil.
% Share of GDP 140%
11.0 Contractual Funds 27%
NR 14%
Source : PDMO as of Aug 2016
Bond Market Cap. Size
ATM, ATR, Norminal Cost of Debt Goverment Debt Portfolio
Year/ % Bot 6%
Depository Corporation 14%
-7,144.84
5,949,330.64
Others
GOVT Debt Portfolio
Classified by Type of Investors
Bank Loan /GDP
Equity/GDP
Bond Market / GDP
BOT Bond 28%
3,063,866 THB Mil.
Source : ThaiBMA
Maturity Profile 9%
BOT vs GOVT Bond
Govt Bond 38%
77%
≤1
18% 35%
23%
18%
20%
1<yr≤3
3<yr≤5
5<yr≤10
Top 5 Most Active GOVT Bond No.
Symbol
TTM.
4,056,521 THB Mil.
10<yr≤50
Source : ThaiBMA as of Dec 16th, 2016
1 2 3 4 5
LB226A LB196A LB21DA LB206A LB176A
5.51 2.50 5.01 3.54 0.51
Outstanding Value (THB Mil.)
115,536 301,994 306,104 188,118 162,001
Total Trading Value (THB Mil.)
149,301 127,156 107,254 103,749 85,486
of Total Trading value
T/O (เท่า)
19.49% 16.60% 14.00% 13.54% 11.16%
1.29 0.42 0.35 0.55 0.53
%
Source : ThaiBMA (As of Dec 19th ,2016 )
GOVT Yield Curve Movement 5%
4% 3% 2%
MPC 1%
1.5%
3.58% 50-yr 3.33% 20-yr 2.89% 10-yr 2.23% 5-yr 1.83% 3-yr Source : ThaiBMA (As of Dec 16th ,2016 )
Foreign Yield
SWAP
4.00%
Interest Rate Swap IRS
THAI US
3.50%
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
1.22
1.52
2.09
2.29
2.49
EU
%
-0.18
-0.14
0.15
0.39
0.79
JAPAN
%
0.05
0.07
0.13
0.19
0.28
THAILAND
%
1.53
1.69
2.23
2.46
2.69
1-yr
2-yr
7-yr
10-yr
3.00% 2.50%
UK
2.00% 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
-1.00% -1.50%
5-yr
THB/USD
%
1540/1.480 1.675/1.585
1.945/1.885
1.950/1.860 2.055/1.905
EUR/CBS
Mid
-0.47
-0.46
-0.47
-0.47
-0.45
JPY/CBS
Mid
-0.72
-0.76
-0.84
-0.84
-0.79
5-yr (bps)
3M
6M
2yr
5yr
10yr
30yr
US
0.51%
0.65%
1.26%
2.07%
2.60%
3.18%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
2-yr (bps)
7-yr (bps)
10-yr (bps)
UK
0.21%
0.26%
0.14%
0.61%
1.44%
2.09%
US
17.24
17.24
18.36
24.99
31.76
38.57
EURO
-0.92%
-0.81%
-0.79%
-0.47%
0.31%
1.06%
UK
7.66
7.78
11.38
30.03
47.24
65.21
JAPAN
-0.38%
-0.34%
-0.18%
-0.06%
0.08%
0.68%
JAPAN
3.25
3.76
9.05
28.05
41.43
53.06
THAILAND
1.51%
1.54%
1.71%
2.23%
2.89%
3.42%
THAILAND
17.48
18.14
31.61
80.54
110.86
131.35
th
Source : Reuters (As of Dec 19th, 2016)
Source : ThaiBMA , Reuters (As of Dec 16 , 2016)
Non-Residence Trading NR Holding Weekly
Peers Comparison
Non-Resident Holding (THB Million)
% Share of Thai Bond Market Cap.
571,332
5.308%
BOT Bond
66,554
0.618%
SOE Bond
64
0.001%
Corp Bond
703
0.007%
Issuer GOVT Bond
Percentage share of Non-resident Holding in Local Government Bond
Indonesia
40%
39.16% Sep’ 15
Malaysia 35.75% Sep' 15
30%
638,653
TOTAL
5.934%
350,000
2016
300,000 250,000
Thailand
20%
14.1 %
93,249
Net Buy 65,885 THB Mil.
200,000 84,003
150,000
As of Dec 16
Japan
23,052
100,000
196,463
129,454
50,000
30,216
117,144
10.05%
0
-22,494 -27,157
-50,000
-2,793
108,432
96,738 29,642
-1,598 -7,506
-53,807 -100,506
-71,124
10%
22,174 30,686
-21,634
Jun’15 -72,036
-150,000 2008
2009
2010
2011
2012
2013
2014
Q2
Q3
2015
0%
Q4
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
Q1 2007
9.65%
-9,486
-13,736
-37,994
-100,000
Jun’ 15
Korea
21,484
2016
Source : PDMO (As of Dec 16th, 2016)
Source : PDMO (As of Dec 16th , 2016)
asianbondsonline
BAHT BOND
79,845 HB Mil.
THE OUTSTANDING BAHT BOND 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)
(42,689 THB Mil.)
53
39
MHBK 20,000
IFIs , International Credit Rating & CGIF
%
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)
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 Dec 19th, 2016)