THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights ธนาคารกลางอังกฤษ (BOE) ประกาศลดอัตราดอกเบีย ้ นโยบายเป็ นครัง้ แรกในรอบ 7 ปี จาก 0.50% สูร่ ะดับ 0.25% ในรอบ 322 ปี และจะ ้ คืนพันธบัตรอีก 6 หมืน เพิม ่ วงเงินซือ ่ ล ้านปอนด์ โดยมีวงเงิน QE รวมทัง้ หมด 4.35 แสนล ้านปอนด์ตอ ่ ปี
August 8, 2016
วันที่ 1 สิงหาคม 2559 เงินบาทไทยแข็งค่าทีส ่ ด ุ ในรอบ 1 ปี มาอยูท ่ รี่ ะดับ 34.72 ต่อดอลลาร์สหรัฐ โดยเพิม ่ ขึน ้ 3.3% จากกระแสเงินทุน ทีไ่ หลเข ้าประเทศไทยภายหลังเหตุการณ์ Brexit และเศรษฐกิจสหรัฐทีไ่ ม่เติบโตตามทีค ่ าด ธนาคารกลางสหรัฐ (FED) ประกาศ คงอัตราดอกเบีย ้ ภายหลังการประชุมวันที่ 26-27 กรกฎาคม 2559 ส่งผลให ้เงินทุนไหลเข ้าภูมภ ิ าค เอเชียโดยเฉพาะตลาดเกิดใหม่และประเทศญีป ่ น ุ่ ส่งผลให ้ค่าเงินเยนแข็งค่าขึน ้ จึงเป็ นการกดดันธนาคารกลางญีป ่ น ุ่ (BOJ) ดาเนิน มาตรการทางการเงินเพิม ่ ขึน ้ Inflation Rate
MACRO DATA
Inflation Rate Core Inflation Nominal Inflation Forecast
Policy Rate
YoY(%) MoM(%)
0.10 -0.35 0.76 0.06 0.00 - 1.00
2013 2014 2015
Avg. Selling Rate (THB)
Thai Policy Interest Rate
YTD
35.0431 46.2770 39.193 34.8631 5.3159
Name
2016
Next Meeting:
3.10 3.0-3.5 3.30
BOT NESDB FPO
14-Sep-2559
180.20
EQUITIES Index
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
GDP Forecast
1.50%
-3.1% -13.0% -0.2% 15.8% -4.0%
As of August 8, 2016
Source : BOT
2.90 0.70 2.80
Source : NESDB
Major World Currencies
USD GBP EUR JPY CNY
Source : BOT As of Aug 2016
YoY(%)
Source : MOC As of July 2016
Currency
INT'L RESERVE THAI (b.USD)
GDP Growth 0.50% 0.25% 0.00% -0.10%
American Interest Rate (Fed) British Interest Rate (BoE) European Interest Rate (ECB) Japanese Interest Rate (BoJ)
Change(Wk) -5.38 -381.32 111.29 9.27 29.71 534.83 69.04
1,518.69 16,254.45 18,543.53 2,182.87 10,367.21 22,426.20 6,793.47 OIL (USD/Barrel)
BRENT WTI
Last Update : 5-Aug-2016
2.14 1.81
44.29 41.8 PRECIOUS METALS (USD)
GOLD SILVER Source : Bloomberg
-16.40 -0.67
1,344.40 19.817
As of Aug 5th , 2016
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt 5,977,353.33 THB Mil. Oustanding Debt
Mutual Funds 2%
(THB Mil.)
3,441,865.43 3,350,309.62 91,555.81
58% 56% 2%
-49,183.61 -49,710.45 526.84
FIDF
973,154.59
16%
-10,015.52
SOE -G - NG
1,028,771.82 418,540.85 610,230.97
17% 7% 10%
-9,893.61 673.51 -10,567.12
SFIs
521,614.04
8%
-2,788.53
11,947.45
1%
-337.22
100%
-72,218.49
GOVT - Domestic - Foreign
Others
5,977,353.33
Total
Other 1%
Non- profit organization 1%
Chg. from Dec-15
%
(THB Mil.)
Financial Institution 3%
120% 101%
Contractual Funds 27%
7
60%
Asian Fin. Crisis
20% 12%
3 2
Bank Loan /GDP
Bond Market / GDP
MW Duration
Nominal Cost of Debt Source : PDMO as of May 2016
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 6-Jul-16
20 50 10 30
LB366A LB666A LB25DA LB446A
13-Jul-16 20-Jul-16 27-Jul-16 10-Aug-16 24-Aug-16
5 20 15 10 30
LB226A LB366A LB316A LB26DA LB466A
10,000 24,000 10,000 10,000 20,000 10,000 30,000 10,000 16,000
10,000 20,000 10,000 10,000 20,000 10,000 30,000 10,000 16,000
31-Aug-16 14-Sep-16 21-Sep-16
20 50 5
LB366A LB666A LB226A
greenshoe
Allocated CB (THB Mil.)
NCB (THB Mil.)
BCR
200 750 2,000 420 100 100 450
1.78 3.32 1.50 2.24 1.15 1.87 2.47 1.02 1.17
AAY (%)
Spread (bps)
Corp Bond 24%
BOT Bond 29%
9,800 20,000 9,250 8,000 15,580 9,900 29,900 10,000 15,550
4,000.00 -
2.2793 1.7095 2.6067 3.0227 1.8708 2.6417 1.7272 2.4842 2.4768
-5.82 -1.18 2.9 -17.71 -3.17 -6.12 1.85 6.98 4.66
3,009,832 THB Mil.
≤1
Max. (bps)
-8.75 -2.75 -1.33 -0.83 -3.77 7.23 -20.2 -16.18 -8.25 -0.25 -12.29 -2.29 1.31 2.63 3.36 9.06 0.68 6.981
Source : ThaiBMA
Maturity Profile BOT vs GOVT Bond
11%
79%
Min. (bps)
Baht Bond 1%
823, 866 THB Mil.
Equity/GDP
ATR
GOVT Bond Auction Schedule Q3/FY2016
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%
3.89
4 Insurance Company 28%
ATM
24%
40%
6.50
6
Source : BOT as of May 2016
99% 75%
9.22
5
NR 13%
100% 80%
9.70
8
Bot 6%
Depository Corporation 14%
Domestic Bond Market Classified by Issuer
128%
10 9
Bond Market Cap. Size 10,455,686 THB Mil. % Share of GDP
ATM, ATR, Duration, Nominal Cost of Debt Government Debt Portfolio
Year / %
Household 5%
Source : PDMO as of May 2016
140%
GOVT Debt Portfolio
Classified by Type of Investors
43.34%
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
Debt to GDP =
Govt Bond 38% 18%
21%
11%
1<yr≤3
3<yr≤5
25% 5<yr≤10
35%
Top 5 Most Active GOVT Bond No.
Symbol
TTM.
1 2 3 4 5
LB206A LB196A LB21DA LB176A LB25DA
3.88 2.85 5.36 0.85 9.35
10<yr≤50
Source : ThaiBMA as of Aug 5th, 2016
Total Trading Value (THB Mil.)
Outstanding Value (THB Mil.)
3,981,395 THB Mil.
177,118 301,994 306,104 218,683 193,854
588,824 586,362 570,292 430,456 397,274
of Total Trading value
T/O (เท่า)
16.13% 16.06% 15.62% 11.79% 10.88%
3.32 1.94 1.86 1.97 2.05
%
Source : ThaiBMA (As of Aug 5th ,2016 )
GOVT Yield Curve Movement MPC
5%
3 yr
5 yr
10 yr
20 yr
4%
3% 2%
MPC 1%
1.5%
50 yr
3.15% 50-yr 2.48% 20-yr 2.05% 10-yr 1.69% 5-yr 1.55% 3-yr
Source : ThaiBMA (As of Aug 5th ,2016 )
Foreign Yield
SWAP
3.00%
Interest Rate Swap IRS
THAI
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.92
1.00
1.19
1.32
1.48
EU
%
-0.19
-0.21
-0.11
0.05
0.33
JAPAN
%
-0.01
-0.04
-0.02
0.03
0.11
THAILAND
%
1.53
1.55
1.77
1.91
2.05
1-yr
2-yr
5-yr
7-yr
10-yr
2.50%
US 2.00%
UK 1.50% 1.00%
EURO 0.50%
Cross Currency Swap CCS
JAPAN
0.00% 3m
6m
2-yr
5-yr
10-yr
30-yr
-0.50%
THB/USD
%
-1.00%
EUR/CBS
Mid
-0.44
-0.44
-0.46
-0.47
-0.47
JPY/CBS
Mid
-0.69
-0.73
-0.83
-0.86
-0.81
2-yr (bps)
3M
6M
2yr
5yr
10yr
1.505/1.430 1.485/1.365
1.415/1.235 1.380/1.160 1.355/1.205
30yr
US
0.27%
0.44%
0.72%
1.13%
1.58%
2.31%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
5-yr (bps)
7-yr (bps)
10-yr (bps)
UK
0.27%
0.28%
0.15%
0.22%
0.67%
1.49%
US
15.40
15.41
16.22
22.02
28.94
36.75
EURO
-0.71%
-0.60%
-0.61%
-0.52%
-0.07%
0.43%
UK
6.66
7.36
12.10
32.55
50.76
70.17
JAPAN
-0.21%
0.00%
-0.17%
-0.15%
-0.05%
-0.05%
JAPAN
5.50
5.51
11.54
32.08
46.73
60.89
THAILAND
1.35%
1.44%
1.53%
1.69%
2.05%
2.66%
THAILAND
20.32
22.00
37.43
95.57
126.22
145.33
th
th
Source : ThaiBMA , Reuters (As of Aug 5 , 2016)
Source : Reuters (As of Aug 5 , 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%
39.1%
2016
300,000
250,000
Mar’ 15
Net Buy 133,752 THB Mil.
93,249
200,000
Malaysia 36.82% Mar 15
30%
BOT Bond 106,139 THB mil.
84,003
150,000
GOVT Bond 27,613 THB mil.
23,052
100,000 129,454
50,000
117,144 96,738
30,216
0 -22,494
21,608 4,919
29,642
-53,807
-27,157
-50,000
6,087 -18,866
210
14.6 % As of Aug16
43,308
80,737
-1,598 -7,506
-2,793
Thailand
20%
196,463
7,991
9,218
-30,352
-5,806
28,501
Japan
15,097 4,533
6,130
-39,564
10.26% 10%
Sep’ 15
-71,124
Korea
-100,506
9.7% Sep’15 -37,994
-100,000
Source : PDMO (As of Aug 5th, 2016)
67,499 HB Mil.
Classified by issuers based on TTM
CLMV
Non-Gov’t
40
8%
%
10 .
Government
THB Mil.
Non-Gov’t
(6,500 THB Mil )
26,590 THB Mil.
Lao PDR 25(Government) %
30000
%
IFIs , International Credit Rating & CGIF
(6,500 THB Mi ) l.
30
IFIs , International Credit Rating & CGIF (40,909 THB Mil.)
(21,590 THB Mil.)
34
%
%
67
(20,090 THB Mil.)
(23,066)
ADB
%
AFD MHBK 20000
60% 15
KEXIM
%
12
(10,000)
10000
9
8
%
%
2
%
(1,434)
HANA
WOORI
CABEI Lao PDR (Gov,t)
2016
2017
Lao PDR (Gov,t)
EDL-Gen
2018
2019
Lao PDR (Gov,t)
9
(5,701) KEXIM CABEI
WOORI
ADB
0
WOORI
%
(8,000)
%
Hana (6,330)
(5,668) CITI
KEXIM
Lao PDR (Gov,t)
2020
Jun-16
Dec-16
Mar-16
Source : PDMO (As of Aug 5th, 2016)
BAHT BOND
THE OUTSTANDING BAHT BOND
Sep-16
Dec-15
Jun-15
Mar-15
Sep-15
Jun-14
Dec-14
Mar-14
Sep-14
Jun-13
Dec-13
Mar-13
Sep-13
Jun-12
Dec-12
Mar-12
Sep-12
Dec-11
August
Jun-11
July
Mar-11
June
Sep-11
May 2016
Jun-10
Apr
Dec-10
Mar
Mar-10
Feb
2015
Sep-10
2014
Jun-09
2013
Sep-09
2012
Dec-09
2011
Mar-09
2010
Jun-08
2009
Dec-08
2008
Mar-08
Jan 2007
Sep-08
0%
-150,000
2
4
%
%
EDL-Gen
(1,500)
Lao PDR (Gov,t)
KEXIM
2021
2022
4
KEXIM %
(2,800)
(3,000)
KEXIM
EDL-Gen
2023
2024
Lao PDR (Gov,t)
2025
Source : ThaiBMA (As of Aug 5th, 2016)