THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights
จากผลประชามติรับร่างรัฐธรรมนูญ วันที่ 7 สิงหาคม 2559 ส่งผลให ้เงินลงทุนต่างชาติไหลเข ้าประเทศไทยเพิม ่ ขึน ้ เห็นได ้ จากดัชนีหุ ้นไทยปรับตัวสูงขึน ้ ขณะทีค ่ า่ เงินบาทปรับตัวแข็งขึน ้ จาก 34.95 บาทต่อดอลลาร์สหรัฐ อยู่ ทีร่ ะดับ 34.91 บาทต่อดอลลาร์สหรัฐ
August 15, 2016
มหาวิทยาลัยหอการค ้าคาดการณ์ GDP ปี 2559 จะโตขึน ้ จาก 3% เป็ น 3.3% เนื่องจากผลลงประชามติรา่ ง ่ มั่นของผู ้บริโภคและนั กลงทุนมี รัฐธรรมนูญและมาตรการกระตุ ้นเศรษฐกิจของภาครัฐ นอกจากนี้ยงั ระบุถงึ ความเชือ แนวโน ้มจะขยับตัวเพิม ่ ขึน ้
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
34.9584 45.7342 39.2426 34.7379 5.3024
USD GBP EUR JPY CNY
2.90 0.70 2.80
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
GDP Forecast 2016
1.50%
-3.3% -14.1% 0.0% 15.4% -4.3%
Next Meeting:
3.10 3.50 3.30
BOT NESDB FPO
14-Sep-2559
Change(Wk) 33.95 665.47 69.99 2.92 346.22 340.71 122.55
1,552.64 16,919.92 18,613.52 2,185.79 10,713.43 22,766.91 6,916.02 OIL (USD/Barrel)
BRENT WTI
Last Update : 11-Aug-2016
2.68 2.69
46.97 44.49 PRECIOUS METALS (USD)
GOLD SILVER
As of August 15, 2016
Source : BOT
EQUITIES Index
Name
Source : NESDB
Major World Currencies Currency
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)
0.10 -0.35 0.76 0.06 0.00 - 1.00
INT'L RESERVE THAI (b.USD)
GDP Growth
-1.20 -0.11
1,343.20 19.703 th
Source : Bloomberg
As of Aug 11 , 2016
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt
Mutual Funds 2%
5,977,353.33 THB Mil. Oustanding Debt
3,441,865.43 3,350,309.62 91,555.81
58% 56% 2%
-49,183.61 -49,710.45 526.84
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
521,614.04
8%
-2,788.53
11,947.45
1%
-337.22
5,977,353.33
100%
-72,218.49
Others Total
Non- profit organization 1%
Financial Institution 3%
10
Contractual Funds 27%
NR 13%
7
120% 101%
5
3
Insurance Company 28%
2
75%
Asian Fin. Crisis
20%
12%
Corp Bond 24%
824,166 THB 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
MW Duration
Nominal Cost of Debt Source : PDMO as of May 2016
Spread over T-1 Date
Tenor (Year)
Symbol
15 5 20 50 10 30 5 20 15 10 30 20 50 5
LB296A LB206A LB366A LB666A LB25DA LB446A LB226A LB366A LB316A LB26DA LB466A LB366A LB666A LB226A
Auction Amount (THB Mil.)
Total Allocated CB+NCB (THB Mil.)
Allocated CB (THB Mil.)
greenshoe
NCB (THB Mil.)
BCR
AAY (%)
1.78 3.32 1.50 2.24 1.15 1.87 2.47 1.02 1.17 1.78
2.2793 1.7095 2.6067 3.0227 1.8708 2.6417 1.7272 2.4842 2.4768 2.0910
Spread (bps)
BOT Bond 29%
8-Jun-16 15-Jun-16 15-Jun-16 22-Jun-16 29-Jun-16 6-Jul-16 13-Jul-16 20-Jul-16 27-Jul-16 10-Aug-16 24-Aug-16 31-Aug-16 14-Sep-16 21-Sep-16
10,000 24,000 10,000 10,000 20,000 10,000 30,000 10,000 16,000 15,000
10,000 20,000 10,000 10,000 20,000 10,000 30,000 10,000 16,000 15,000
9,800 20,000 9,250 8,000 15,580 9,900 29,900 10,000 15,550 14,700
4,000.00 -
200 750 2,000 420 100 100 450 300
-5.82 -1.18 2.90 -17.71 -3.17 -6.12 1.85 6.98 4.66 -1.51
3,042,832THB 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
BOT vs GOVT Bond
11%
≤1
Max. (bps)
Source : ThaiBMA
Maturity Profile
79%
Min. (bps)
Baht Bond 1%
24%
40%
ATR
GOVT Bond Auction Schedule Q3/FY2016
99% 60%
3.89
4
Source : BOT as of May 2016
100% 80%
6.50
6
ATM
Domestic Bond Market Classified by Issuer
128%
9.22
8
Bot 6%
Bond Market Cap. Size 10,515,242 THB Mil. % Share of GDP
9.70
9
Depository Corporation 14%
Source : PDMO as of May 2016
140%
ATM, ATR, Duration, Nominal Cost of Debt Government Debt Portfolio
Year / %
Household 5%
(THB Mil.)
FIDF
SFIs
Other 1%
Chg. from Dec-15
%
(THB Mil.)
GOVT - Domestic - Foreign
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.
3,984,345 THB Mil.
10<yr≤50
Source : ThaiBMA as of Aug 11th, 2016
1 2 3 4 5
LB206A LB196A LB21DA LB176A LB25DA
3.87 2.83 5.34 0.84 9.33
Outstanding Value (THB Mil.)
177,118 301,994 306,104 218,683 193,854
Total Trading Value (THB Mil.)
609,745 590,603 572,478 447,542 408,203
% of
Total Trading value
T/O (เท่า)
16.70% 16.17% 15.68% 12.26% 11.18%
3.44 1.96 1.87 2.05 2.11
Source : ThaiBMA (As of Aug 11th ,2016 )
GOVT Yield Curve Movement 5% 4% 3%
2%
MPC 1%
1.5%
3.15% 50-yr 2.50% 20-yr 2.08% 10-yr 1.72% 5-yr 1.36% 3-yr
Source : ThaiBMA (As of Aug 11th ,2016 )
Foreign Yield
SWAP
3.00%
Interest Rate Swap IRS
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.90
0.96
1.12
1.24
1.39
EU
%
-0.20
-0.21
-0.14
0.01
0.29
JAPAN
%
0.00
-0.02
-0.01
0.02
0.09
THAILAND
%
1.54
1.56
1.78
1.92
2.06
1-yr
2-yr
5-yr
7-yr
10-yr
-0.50%
THB/USD
%
1.520/1.450
1.505/1.405
1.420/1.300
-1.00%
EUR/CBS
Mid
-0.44
-0.44
-0.48
-0.50
-0.50
JPY/CBS
Mid
-0.74
-0.77
-0.82
-0.83
-0.78
2-yr (bps)
5-yr (bps)
7-yr (bps)
10-yr (bps)
THAI
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
1.365/1.245 1.320/1.220
3M
6M
2yr
5yr
10yr
30yr
US
0.28%
0.43%
0.71%
1.10%
1.52%
2.24%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
UK
0.26%
0.29%
0.14%
0.17%
0.52%
1.24%
US
11.54
13.05
16.53
25.01
30.51
35.49
EURO
-0.79%
-0.60%
-0.62%
-0.55%
-0.11%
0.41%
UK
7.59
7.72
12.29
31.52
49.23
68.67
JAPAN
-0.21%
-0.24%
-0.19%
-0.18%
-0.10%
0.36%
JAPAN
4.27
4.28
10.25
30.42
44.84
58.78
THAILAND
1.36%
1.45%
1.53%
1.72%
2.08%
2.68%
THAILAND
16.29
18.00
33.03
89.69
120.40
139.56
th
th
Source : ThaiBMA , Reuters (As of Aug 11 , 2016)
Source : Reuters (As of Aug 11 , 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 131,327 THB Mil.
93,249
200,000
Malaysia 36.82% Mar 15
30%
BOT Bond 105,010 THB mil.
84,003
150,000
GOVT Bond 26,317 THB mil.
23,052
100,000
Thailand 20%
196,463
129,454
50,000
14.6 % 117,144 96,738
30,216
0 -22,494
80,737 21,608 4,919
29,642 -1,598 -7,506
-2,793
-53,807
-27,157
-50,000
43,308
6,087 -18,866
210
9,218
7,991
As of Aug16
28,501
Japan
13,968
4,533
-30,352 -5,806
10.26%
4,834
-39,564
Sep’ 15
10%
-71,124
Korea
-100,506
9.7% Sep’15
-37,994
-100,000
Source : PDMO (As of Aug 11th, 2016)
67,499 HB Mil.
Classified by issuers based on TTM
CLMV
Non-Gov’t
40
8%
%
Non-Gov’t
(6,500 THB Mil )
26,590 THB Mil.
.
10
IFIs ,
% International (6,500 THB Mi ) Lao PDR Credit Rating 25(Government) % & CGIF
Government
THB Mil. 30000
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)
WOORI
HANA
Lao PDR (Gov,t)
EDL-Gen
2018
2019
WOORI
ADB
2016
2017
Lao PDR (Gov,t)
%
9
(8,000) %
(5,701) KEXIM CABEI
WOORI CABEI Lao PDR (Gov,t)
0
KEXIM
Hana (6,330)
(5,668) CITI
%
Lao PDR (Gov,t)
2020
Dec-16
Jun-16
Source : PDMO (As of Aug 11th, 2016)
BAHT BOND
THE OUTSTANDING BAHT BOND
Sep-16
Mar-16
Jun-15
Sep-15 Dec-15
Mar-15
Dec-14
Jun-14
Sep-14
Mar-14
Dec-13
Jun-13
Sep-13
Mar-13
Sep-12
Dec-12
Mar-12 Jun-12
Dec-11
Jun-11
Sep-11
Mar-11
2016
Dec-10
2015
Jun-10
2014
Sep-10
2013
August
Mar-10
2012
July
Dec-09
2011
June
Jun-09
2010
May
Sep-09
2009
Apr
Dec-08 Mar-09
2008
Mar
Jun-08
2007
Feb
Mar-08
Jan
Sep-08
0%
-150,000
EDL-Gen
2
4 %
(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 11th, 2016)