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 ผลการประชุมนโยบายการเงินของธนาคารกลางญีป่ นุ่ (BOJ) โดยมีมติคงใช้มาตรการทางการเงินภายใต้กรอบการดาเนิน นโยบายการเงิน QQE และเพิม่ มาตรการ Yield Curve Control เพือ่ ดึงเงินเฟ้อของญีป่ นุ่ กลับไปอยู่เหนือระดับ 2% โดยจะมีการควบคุมอัตรา ผลตอบแทนของพันธบัตรรุ่นอายุ 10 ปี ให้อยู่ในระดับร้อยละ 0
October 3, 2016
วันที่ 22 กันยายน 2559 ผลการประชุมคณะกรรมการกาหนดนโยบายการเงิน (FOMC) ของธนาคารกลางสหรัฐ (FED) มีมติ 7 ต่อ 3 เสียงในการประชุม ให้คงอัตราดอกเบีย้ ระยะสั้นอยู่ในช่วง 0.25-0.50% ซึ่งช่วยหนุนมุมมองทีธ่ นาคารกลางทีส่ าคัญต่างๆ จะยังคงใช้นโยบายทีก่ ระตุน้ การขยายตัวของ เศรษฐกิจโลกอย่างอย่างต่อเนื่อง
Inflation Rate
MACRO DATA
Inflation Rate Core Inflation Nominal Inflation Forecast
Policy Rate
YoY(%)
MoM(%)
2013 2014 2015
Source : MOC As of July 2016
Thai Policy Interest Rate
Avg. Selling Rate (THB)
Currency
YTD
34.8381 45.7026 39.2126 34.6977 5.2619
USD GBP EUR JPY CNY
2.90 0.70 2.80
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
GDP Forecast 2016
1.50%
-3.6% -14.1% -0.1% 15.3% -5.0%
Next Meeting:
3.10 3.50 3.30
BOT NESDB FPO
9-Nov-2559
Change(Wk) -9.67 -304.18 -249.01 -26.05 -268.64 -389.33 -12.07
1,483.21 16,449.84 18,143.45 2,151.13 10,405.54 23,297.15 6,899.33 OIL (USD/Barrel)
BRENT WTI
Last Update : Aug 2016
4.30 3.76
50.19 48.24 PRECIOUS METALS (USD)
GOLD SILVER
As of October 3, 2016
Source : BOT
EQUITIES Index
Name
Source : NESDB
Major World Currencies
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)
0.76 0.06 0.10 -0.35 0.00 - 1.00
INT'L RESERVE THAI (b.USD)
GDP Growth
-24.60 -0.596
1,317.10 19.214 rd
Source : Bloomberg
As of Oct 3 , 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
517,517.92
8%
-4,096.12
GOVT - Domestic - Foreign
SFIs
11,309.07
1%
-638.38
5,924,055.53
100%
-53,297.80
Others Total
Financial Institution 4%
10
7
120% 106%
5
Insurance Company 28%
NR 14%
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.)
Total Allocated CB+NCB (THB Mil.)
Allocated CB (THB Mil.)
greenshoe
NCB (THB Mil.)
BCR
AAY (%)
Spread (bps)
Min. (bps)
Max. (bps)
Baht Bond 1% 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
Corp Bond 25%
822,291 THB Mil.
15,000 14,000 36,000 12,000 16,000 13,000 15,000 24,000 14,000
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
GOVT Bond Auction Schedule Q1/FY2017
24%
40%
ATR
Source : BOT as of July 2016
99% 60%
3.89
4
100% 80%
6.50
6
Depository Corporation 14%
Domestic Bond Market Classified by Issuer
128%
9.22
8
Contractual Funds 27%
Bond Market Cap. Size 10,612,221 THB Mil. 140%
9.70
9
Bot 6%
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
Bank Loan /GDP
Equity/GDP
Bond Market / GDP
BOT Bond 28% 2,961,302 THB Mil.
Source : ThaiBMA
Maturity Profile BOT vs GOVT Bond
10%
78%
≤1
Top 5 Most Active GOVT Bond
Govt Bond 38% 18%
22%
12%
1<yr≤3
3<yr≤5
24% 5<yr≤10
36%
No.
Symbol
TTM.
4,078,547 THB Mil. 1 2 3 4 5
10<yr≤50
Source : ThaiBMA as of Oct 3rd, 2016
LB206A LB21DA LB196A LB176A LB25DA
3.73 5.21 2.69 0.70 9.20
Outstanding Value (THB Mil.)
188,118 306,104 301,994 162,001 193,854
Total Trading Value (THB Mil.)
656,475 641,243 634,867 531,469 456,324
% of
Total Trading value
T/O (เท่า)
15.63% 15.27% 15.12% 12.65% 10.87%
3.49 2.09 2.10 3.28 2.35
Source : ThaiBMA (As of Sep 30th ,2016 )
GOVT Yield Curve Movement 5% 4% 3% 2%
MPC
1.5%
1% MPC
3 yr
5 yr
10 yr
20 yr
50 yr
Source : ThaiBMA (As of Sep 30th ,2016 )
3.26% 50-yr 2.57% 20-yr 2.11% 10-yr 1.79% 5-yr 1.62% 3-yr
MPC
3 yr
5 yr
10 yr
20 yr
50 yr
SWAP
Foreign Yield
Interest Rate Swap IRS
3.00%
THAI 2.50%
US 2.00%
UK 1.50%
1.00%
EURO
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.96
1.03
1.18
1.32
1.47
EU
%
-0.18
-0.21
-0.14
0.02
0.30
JAPAN
%
-0.02
-0.08
-0.08
-0.03
0.07
THAILAND
%
1.58
1.62
1.89
2.03
2.23
1-yr
2-yr
5-yr
7-yr
10-yr
THB/USD
%
1.565/1.520
1.580/1.500
1.610/1.530
EUR/CBS
Mid
-0.43
-0.42
-0.46
-0.47
-0.48
JPY/CBS
Mid
-0.72
-0.73
-0.79
-0.79
-0.75
2-yr (bps)
5-yr (bps)
0.50%
Cross Currency Swap CCS
JAPAN
0.00% 3m
6m
2-yr
5-yr
10-yr
30-yr
-0.50%
-1.00%
1.600/1.500 1.510/1.410
3M
6M
2yr
5yr
10yr
30yr
US
0.28%
0.45%
0.77%
1.15%
1.61%
2.33%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
7-yr (bps)
10-yr (bps)
UK
0.22%
0.31%
0.11%
0.23%
0.75%
1.49%
US
15.99
16.00
17.62
25.50
32.01
38.27
EURO
-0.76%
-0.66%
-0.68%
-0.57%
-0.12%
0.45%
UK
7.19
7.31
11.52
31.08
47.79
65.02
JAPAN
-0.32%
-0.30%
-0.27%
-0.23%
-0.07%
0.46%
JAPAN
4.02
5.04
11.16
32.37
45.87
58.13
THAILAND
1.45%
1.49%
1.56%
1.79%
2.11%
2.81%
THAILAND
16.38
17.54
31.84
85.77
117.35
137.64
th
rd
Source : ThaiBMA , Reuters (As of Sep 30 , 2016)
Source : Reuters (As of Oct 3 , 2016)
Non-Residence Trading NR Holding Weekly
Peers Comparison
THB.Mil.
Percentage share of Non-resident Holding in Local Government Bond
350,000
Indonesia 40%
2016
300,000
250,000
Jun’ 15
Malaysia
Net Buy 159,555 THB Mil.
93,249
200,000
34.52 % Jun' 15
30%
BOT Bond 84,003
121,120 THB mil.
150,000
GOVT Bond 38,435 THB mil.
23,052
100,000
196,463 129,454
50,000
-22,494
-2,793
Thailand 20%
117,144
96,738
30,216
0
39.1%
21,608 4,919
29,642 -1,598 -7,506
-53,807
-27,157
-50,000
14.5 %
43,308
80,737
21,494
6,087 -18,866
210
9,218 -5,806
7,991
28,501 4,533
-30,352
15,699
As of Sep' 16 8,584 1,252
Japan
-39,564
10.26%
-71,124
Mar’ 15
10%
-100,506
Korea 9.65%
-37,994
-100,000
Jun’15
-150,000 Jan 2008
2009
2010
2011
2012
2013
2014
Feb
2015
Mar
Apr
May
June
July
Aug
Sep
0%
2016
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
2007
Source : PDMO (As of Oct 3rd, 2016)
Source : PDMO (As of Oct 3rd, 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.
.
(6,500 THB Mi ) Lao PDR 25(Government) %
30000
l.
30
34
%
67
(20,090 THB Mil.)
(23,066)
ADB
IFIs , International Credit Rating & CGIF (39,909 THB Mil.)
%
AFD
MHBK
%
20000
60% 15
KEXIM
%
12
(10,000)
10000
9
9
%
1
%
(434) 0 2016
KEXIM
Hana (6,330)
(5,668) CITI
%
WOORI
HANA
Lao PDR (Gov,t)
EDL-Gen
2018
2019
WOORI
Lao PDR (Gov,t)
2017
Lao PDR (Gov,t)
9
%
(5,701) KEXIM CABEI
WOORI CABEI
%
(8,000)
Lao PDR (Gov,t)
2020
EDL-Gen
2
%
(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 3rd, 2016)