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 22 กันยายน 2559 ตลาดหุ้นลอนดอนปรับตัวเพิม่ ขึ้นหลังจากคณะกรรมการกาหนดนโยบายการเงิน (FOMC) ของธนาคารกลาง สหรัฐ (FED) มีมติคงอัตราดอกเบี้ยระยะสั้นอยู่ในช่วง 0.25-0.50% ช่วยหนุนมุมมองที่ธนาคารกลางที่สาคัญต่างๆ จะยังคงใช้นโยบาย ที่กระตุ้นการขยายตัวของเศรษฐกิจโลกอย่างอย่างต่อเนื่อง
September 26, 2016
ธนาคารแห่งประเทศไทย (BOT) ชี้บาทแข็งหลังธนาคารกลางสหรัฐ (FED) คงอัตราดอกเบี้ยดอกเบี้ย เมื่อวันที่ 22 กันยายน 2559 เงินบาทปรับตัวแข็งค่าขึ้นเล็กน้อย โดยช่วงเช้าเคลื่อนไหวในช่วง 34.64-34.67 บาทต่อดอลลาร์สหรัฐฯ หรือแข็งค่าขึ้น 0.3% จาก วันก่อน 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
34.8381 45.7026 39.2126 34.6977 5.2619
USD GBP EUR JPY CNY
2.90 0.70 2.80
Name
GDP Forecast 2016
1.50%
-3.6% -14.1% -0.1% 15.3% -5.0%
Next Meeting:
3.10 3.50 3.30
BOT NESDB FPO
14-Sep-2559
Change(Wk) 13.81 349.01 179.98 29.92 398.01 350.89 201.12
1,492.88 16,754.02 18,392.46 2,177.18 10,674.18 23,686.48 6,911.40 OIL (USD/Barrel)
BRENT WTI
Last Update : 11-Aug-2016
0.12 1.45
45.89 44.48 PRECIOUS METALS (USD)
GOLD SILVER
As of September 26, 2016
Source : BOT
180.20
EQUITIES Index
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
Source : NESDB
Major World Currencies Currency
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
Source : Bloomberg
th
31.50 0.948
1,341.70 19.81
As of Sep 26 , 2016
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt Debt to GDP =
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
SFIs
517,517.92
8%
-4,096.12
11,309.07
1%
-638.38
5,924,055.53
100%
-53,297.80
GOVT - Domestic - Foreign
Others Total
Financial Institution 4%
10
120%
101%
5
75%
Insurance Company 28%
3 2
ATM
Asian Fin. Crisis
20% 12%
Corp Bond 25%
822,046THB 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%
Bank Loan /GDP
Equity/GDP
Bond Market / GDP
ATR
MW Duration
Nominal Cost of Debt Source : PDMO as of May 2016
GOVT Bond Auction Schedule Q3/FY2016 Spread over T-1 Date
Tenor (Year)
Symbol
Auction Amount (THB Mil.)
Total Allocated CB+NCB (THB Mil.)
8-Jun-16 15-Jun-16
15 5
LB296A LB206A
15-Jun-16 22-Jun-16 29-Jun-16
20 50 10
LB366A LB666A LB25DA
6-Jul-16 13-Jul-16 20-Jul-16 27-Jul-16 10-Aug-16 24-Aug-16
30 5 20 15 10 30
LB446A LB226A LB366A LB316A LB26DA LB466A
31-Aug-16 14-Sep-16
20 50
LB366A LB666A
21-Sep-16
5
LB226A
10,000 24,000 10,000 10,000 20,000 10,000 30,000 10,000 16,000 15,000 11,000 11,000 13,000 20,000
10,000 20,000 10,000 10,000 20,000 10,000 30,000 10,000 16,000 15,000 8,230 9,705 13,000 20,000
Allocated CB (THB Mil.)
greenshoe
NCB (THB Mil.)
BCR
AAY (%)
Spread (bps)
BOT Bond 28%
9,800 20,000 9,250 8,000 15,580 9,900 29,900 10,000 15,550 14,700 7,860 9,505 12,520 20,000
4,000.00 -
200 750 2,000 420 100 100 450 300 370 200 480 -
1.78 3.32 1.50 2.24 1.15 1.87 2.47 1.02 1.17 1.78 0.74 0.88 1.35 1.24
2.2793 1.7095 2.6067 3.0227 1.8708 2.6417 1.7272 2.4842 2.4768 2.0910 2.8089 2.7689 3.2289 1.9490
-5.82 -1.18 2.90 -17.71 -3.17 -6.12 1.85 6.98 4.66 -1.51 11.20 13.98 -1.738 3.475
2,975,362 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 -8.7 3.17 0.6 5.43
BOT vs GOVT Bond
10%
≤1
Max. (bps)
Source : ThaiBMA
Maturity Profile
78%
Min. (bps)
Baht Bond 1%
24%
40%
3.89
Source : BOT as of July 2016
99%
60%
6.50
6
NR 14%
100%
80%
7
4
Domestic Bond Market Classified by Issuer
128%
9.22
8
Contractual Funds 27%
Bond Market Cap. Size 10,617,897 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%
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.
4,073,547 THB Mil.
10<yr≤50
Source : ThaiBMA as of Sep 23th, 2016
1 2 3 4 5
LB206A LB21DA LB196A LB176A LB25DA
Total Trading Value (THB Mil.)
Outstanding Value (THB Mil.)
3.75 5.23 2.71 0.72 9.22
188,118 306,104 301,994 162,001 193,854
650,399 627,934 626,897 526,735 449,861
% of
Total Trading value
T/O (เท่า)
15.76% 15.21% 15.19% 12.76% 10.90%
3.46 2.05 2.08 3.25 2.32
Source : ThaiBMA (As of Sep 16th ,2016 )
GOVT Yield Curve Movement MPC
3 yr
5 yr
10 yr
20 yr
50 yr
5% 4% 3% 2%
MPC 1%
1.5%
3.27% 50-yr 2.69% 20-yr 2.16% 10-yr 1.83% 5-yr 1.63% 3-yr
Source : ThaiBMA (As of Sep 23th ,2016 )
Foreign Yield
SWAP Interest Rate Swap IRS
3.50%
THAI
3.00%
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.96
1.02
1.19
1.31
1.46
EU
%
-0.20
-0.22
-0.13
0.02
0.30
JAPAN
%
-0.01
-0.05
-0.06
-0.02
0.07
THAILAND
%
1.58
1.60
1.19
2.04
2.20
1-yr
2-yr
5-yr
7-yr
10-yr
US
2.50%
UK
2.00% 1.50%
EURO
1.00% 0.50%
Cross Currency Swap CCS
JAPAN 0.00% 3m
6m
2-yr
5-yr
10-yr
30-yr
THB/USD
%
1.555/1.500 1.565/1.485
1.630/1.555 1.605/1.465 1.495/1.395
EUR/CBS
Mid
-0.38
-0.39
-0.45
-0.47
-0.48
JPY/CBS
Mid
-0.68
-0.72
-0.79
-0.80
-0.76
2-yr (bps)
5-yr (bps)
-0.50% -1.00%
3M
6M
2yr
5yr
10yr
30yr
US
0.19%
0.40%
0.75%
1.15%
1.62%
2.34%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
7-yr (bps)
10-yr (bps)
UK
0.22%
0.31%
0.11%
0.22%
0.73%
1.44%
US
15.64
15.95
17.63
25.46
31.92
38.22
EURO
-0.73%
-0.65%
-0.67%
-0.55%
-0.08%
0.48%
UK
7.59
7.70
11.96
31.50
48.28
65.73
JAPAN
-0.30%
-0.20%
-0.22%
-0.18%
-0.05%
0.48%
JAPAN
5.46
5.86
11.87
32.70
46.35
58.74
THAILAND
1.45%
1.49%
1.56%
1.83%
2.16%
2.85%
THAILAND
18.40
19.55
34.03
87.01
118.57
138.84
Source : ThaiBMA , Reuters (As of Sep 26th, 2016)
Source : Reuters (As of Sep 26th, 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
Jun’ 15
Malaysia
Net Buy 134,980 THB Mil.
93,249
34.52 % Jun' 15
30%
BOT Bond 97,929 THB mil.
200,000 84,003
150,000
GOVT Bond 37,051 THB mil.
23,052
100,000
Thailand
196,463 129,454
50,000
39.1%
40%
20%
117,144
96,738
14.5 %
43,308
80,737
As of Sep' 16 21,494
30,216
0 -22,494
-2,793
21,608 4,919
29,642 -1,598 -7,506
-53,807
-27,157
-50,000
6,087 -18,866
210
9,218 -5,806
7,991
28,501
4,533
-30,352
15,699
Japan
-132 -14,607
-39,564
10.26%
10%
Mar’ 15
-71,124
Korea
-100,506
9.7% Mar’15
-37,994
-100,000
2007
2008
2009
2010
2011
2012
2013
2014
2015
Source : PDMO (As of Sep 23th, 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
Non-Gov’t
%
(6,500 THB Mil )
Government
THB Mil.
.
Lao PDR 25(Government) %
30000
34
(6,500 THB Mi ) l.
30
IFIs , International Credit Rating & CGIF (39,909 THB Mil.)
%
%
67
(20,090 THB Mil.)
(23,066)
%
AFD
MHBK 20000
60% 15
KEXIM
%
12
(10,000)
10000
9
9
%
CITI %
(434) 0 2016
%
KEXIM
Hana (6,330)
(5,668)
1
WOORI
HANA
Lao PDR (Gov,t)
EDL-Gen
2018
2019
WOORI
Lao PDR (Gov,t)
2017
Lao PDR (Gov,t)
%
9
(8,000) %
(5,701) KEXIM CABEI
WOORI CABEI
Dec-16
Jun-16
2016
Source : PDMO (As of Sep 23th, 2016)
ADB
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
Sep-11
Mar-11
Dec-10
Jun-10
Sep
Sep-10
Aug
Mar-10
July
Dec-09
June
Jun-09
May
Sep-09
Apr
Mar-09
Mar
Dec-08
Feb
Jun-08
Jan
Sep-08
Mar-08
0% -150,000
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 23th, 2016)