THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights
รายงานการประชุมเฟด(FED) ประจาเดือนธันวาคม 2559 ระบุว่า กรรมการเฟดส่วนใหญ่มองว่า เศรษฐกิจสหรัฐจะขยายตัว เนื่องจากนโยบายกระตุ้นทางการคลังของนายโดนัลด์ ทรัมป์ ว่าที่ประธานาธิบดีคนใหม่ของสหรัฐ โดยสถานการณ์ดังกล่าวอาจ ส่งผลให้เงินเฟ้อปรับตัวสูงขึ้น ซึ่งอาจผลักดันให้เฟดปรับขึ้นดอกเบี้ยในอัตราที่รวดเร็วขึ้น วันที่ 4 มกราคม 2560 ธนาคารกลางญี่ปุ่น (BOJ) เปิดเผย ฐานเงินของญี่ปุ่นในปี 2559 ทาสถิติสูงสุดติดต่อกันเป็นปีที่ 10 โดย ณ สิ้นเดือนธันวาคม 2559 ฐานเงินปรับตัวสูงขึ้น 22.8% จากปี 2558 สู่ระดับ 437.43 ล้านล้านเยน (3.75 ล้านล้านดอลลาร์)
Inflation Rate Inflation Rate
YoY(%) MoM(%)
0.74 0.1 1.13 0.13 0.00 - 1.00
Core Inflation Headlind Inflation Forecast
MACRO DATA
Policy Rate
2014 2015 Q3/2016
0.25% 0.00% 0.00%
European Interest Rate (ECB) Japanese Interest Rate (BoJ)
Source : MOC As of Dec 2016
Avg. Selling Rate (THB)
Name
As of Jan 6 , 2017
2017
Next Meeting:
BOT NESDB FPO
8-Feb-2017
3.2 3.0 - 3.4 3.4
171.85
EQUITIES Index
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
GDP Forecast
1.50%
-0.5% 0.7% 1.1% 1.2% 0.6%
th
Source : BOT
Thai Policy Interest Rate
YTD
35.8859 44.6841 38.1535 31.1552 5.2636
USD GBP EUR JPY CNY
0.70 2.80 3.30
Source : NESDB
Major World Currencies Currency
Source : BOT As of Dec 2016
YoY(%)
0.5% - 0.75%
British Interest Rate (BoE)
.
INT'L RESERVE THAI (b.USD)
GDP Growth
American Interest Rate (Fed)
January 9, 2017
Change(Wk) 28.54 339.96 201.20 38.15 0.68 502.45 67.22
1,571.48 19,454.33 19,963.80 2,276.98 11,599.01 22,503.01 7,210.05 OIL (USD/Barrel)
BRENT WTI
Last Update : Dec 2016
0.28 0.27
57.10 53.99 PRECIOUS METALS (USD)
GOLD SILVER
th
Source : Bloomberg
21.70 0.530
1,173.40 16.519
As of Jan 6 , 2017
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt Debt to GDP =
42.71%
OtherNon- profit Mutual Funds 1% organization 2% 1% Household 3%
5,985,175.01 THB Mil. Oustanding Debt
Chg. from Dec-15
%
(THB Mil.)
(THB Mil.)
3,543,221.21 3,445,552.09 97,669.120
59% 57% 2%
102,279.19 100,264.80 2,014.39
FIDF
948,638.840
16%
-13,995.96
SOE -G - NG
984,958.41 423,034.100 561,924.310
16% 7% 9%
-31,868.24 1,537.17 -33,405.41
GOVT - Domestic - Foreign
487,049.870
SFIs
Total
8%
Financial Institution 4%
21,306.680
1%
-3,165.49
100%
25,520.91
120%
105% 100%
24% Asian Fin. Crisis
7%
766,218 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
21-Dec-16
50
LB666A
15,000 14,000 36,000 12,000 16,000 13,000 15,000 20,000 14,000
3,450 14,000 30,000 4,260 16,000 4,615 7,970 20,000 7,610
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 6,410
550 1,100 200 360 140 300 1,130 200 1,200
0.80 1.03 1.67 0.79 1.18 0.81 0.67 1.59 0.63
5,264 3,950 -
2.61 3.26 1.92 2.70 2.57 3.33 3.22 2.22 3.66
4.86 -4.26 1.59 7.72 7.22 12.39 10.33 3.01 6.92
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 3.08 9.58
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 26%
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
10,857,010 THB Mil.
% Share of GDP 140%
11.0 Contractual Funds 27%
NR 14%
Source : PDMO as of Oct 2016
Bond Market Cap. Size
ATM, ATR, Norminal Cost of Debt Goverment Debt Portfolio
Year/ % Bot 6%
Depository Corporation 14%
-27,728.59
5,985,175.01
Others
GOVT Debt Portfolio
Classified by Type of Investors
Bank Loan /GDP
Equity/GDP
Bond Market / GDP
BOT Bond 29%
3,115,131 THB Mil.
Source : ThaiBMA
Maturity Profile 9%
BOT vs GOVT Bond
Govt Bond 37%
77%
≤1
18% 35%
23%
19%
19%
1<yr≤3
3<yr≤5
5<yr≤10
Top 5 Most Active GOVT Bond No.
Symbol
TTM.
4,087,105 THB Mil.
10<yr≤50
Source : ThaiBMA as of Jan 6th, 2017
1 2 3 4 5
LB226A LB196A LB21DA LB206A LB176A
5.44 2.42 4.94 3.46 0.43
Outstanding Value (THB Mil.)
Total Trading Value (THB Mil.)
115,536 301,994 306,104 188,118 162,001
167,693 139,010 123,503 116,944 112,660
of Total Trading value
T/O (เท่า)
17.68% 14.66% 13.02% 12.33% 11.88%
1.45 0.46 0.40 0.62 0.70
%
Source : ThaiBMA (As of Jan 6th ,2017 )
GOVT Yield Curve Movement MPC
3 yr
5 yr
10 yr
20 yr
50 yr
5% 4% 3% 2%
MPC 1%
1.5%
3.67% 50-yr 3.31% 20-yr 2.74% 10-yr 2.13% 5-yr 1.84% 3-yr Source : ThaiBMA (As of Jan 6
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
%
1.21
1.47
1.94
2.11
2.29
EU
%
-0.20
-0.16
0.13
0.38
0.73
JAPAN
%
0.04
0.04
4.52
4.66
4.83
THAILAND
%
1.59
1.70
2.24
2.43
2.67
1-yr
2-yr
5-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%
THB/USD
%
1.585/1.530 1.7000/1.610 1.965/1.875
2.000/1.910 2.045/1.945
EUR/CBS
Mid
-0.48
-0.46
-0.44
-0.44
-0.42
JPY/CBS
Mid
-0.76
-0.81
-0.85
-0.84
-0.80
5-yr (bps)
3M
6M
2yr
5yr
10yr
30yr
US
0.52%
0.61%
1.22%
1.92%
2.42%
3.00%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
2-yr (bps)
7-yr (bps)
10-yr (bps)
UK
0.21%
0.27%
0.21%
0.61%
1.38%
2.02%
US
16.54
16.54
17.52
24.00
30.77
37.57
EURO
-0.68%
-0.84%
-0.73%
-0.47%
0.31%
1.07%
UK
6.53
6.64
10.30
27.96
44.97
62.26
JAPAN
-0.31%
-0.28%
-0.21%
-0.12%
0.06%
0.74%
JAPAN
3.78
4.30
8.53
27.18
40.57
52.21
THAILAND
1.49%
1.51%
1.69%
2.13%
2.74%
3.46%
THAILAND
16.03
16.71
29.35
77.11
106.95
127.76
th
Source : Reuters (As of Jan9th, 2017)
Source : ThaiBMA , Reuters (As of Jan 6 , 2017)
Non-Residence Trading NR Holding Weekly
Peers Comparison
Non-Resident Holding (THB Million)
% Share of Thai Bond Market Cap.
571,299
5.262%
BOT Bond
63,075
0.581%
SOE Bond
64
0.001%
Corp Bond
698
0.006%
635,136
5.850%
Issuer GOVT Bond
Percentage share of Non-resident Holding in Local Government Bond
Indonesia 40%
39.16% Sep’ 16
Malaysia 35.75% Sep' 16
30%
TOTAL
350,000
2017
300,000
84,003 23,052
100,000
As of Jan 17
Japan
117,144
10.31%
196,463
129,454
50,000
14.0 %
Net Buy 861 THB Mil.
200,000 150,000
Thailand
20%
93,249
250,000
10%
96,738
45,963 29,642
0
-53,807
-50,000
-100,506
Sep 16
Korea
1,219
15,548
9.65%
-358
-71,124
Jun’15
-37,994
-100,000 -150,000
Source : PDMO (As of Jan 6th, 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
Dec-17
Jun-17
Source : PDMO (As of Jan 6th , 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
Sep-11
Mar-11
2017
Dec-10
2016
Jun-10
2015
Sep-10
2014
Mar-10
2013
Dec-09
2012
Q4
Jun-09
2011
Q3
Mar-09
2010
Q2
Sep-09
0% Q1
(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 Jan 9th, 2017)