THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights
้ พันธบัตรโดยมี แบงค์ชาติจน ี อัดฉีดเพิม ่ เติม 1 แสนล ้านหยวน หรือ 1.55 หมืน ่ ล ้านดอลลาร์เข ้าสูร่ ะบบธนาคาร ผ่านทางข ้อตกลงซือ ้ คืน (reverse repo) อายุ 7 วัน โดยมีอัตราผลตอบแทน 2.25% เพือ สัญญาซือ ่ ผ่อนคลายภาวะตึงตัวทางการเงิน ซึง่ ได ้ดาเนินการ ต่อเนือ ่ งตัง้ แต่ต ้นปี
May 10, 2559
คณะกรรมการนโยบายการเงิน (กนง.) มีมติเอกฉั นท์ให ้คงอัตราดอกเบีย ้ นโยบายไว ้ที่ 1.50% ต่อปี โดยเห็นว่าเศรษฐกิจไทยโดยรวม ยังคงมีแนวโน ้มขยายตัวได ้ในอัตราทีใ่ กล ้เคียงกับทีป ่ ระเมินไว ้ในการประชุมครัง้ ก่อน แต่ก็ยงั มีความเสีย่ งจากปั จจัยภายในประเทศ อย่างไรก็ด ี ภาวะการเงินในปั จจุบันผ่อนคลายเพิม ่ ขึน ้ จากอัตราผลตอบแทนทีอ ่ ยูใ่ นระดับทีต ่ า่ และอัตราดอกเบีย ้ เงินให ้กูยม ื ของ ธนาคารพาณิชย์ทล ี่ ดลงจึงเห็นควรคงอัตราดอกเบีย ้ นโยบายไว ้ Inflation Rate
MACRO DATA
Inflation Rate Core Inflation Nominal Inflation Forecast
Policy Rate
YoY(%)
MoM(%)
2013 2014 2015
Source : MOC As of May 2016
Avg. Selling Rate (THB)
Currency
Thai Policy Interest Rate YTD
35.2850 51.0711 40.4126 33.0552 5.466
USD GBP EUR JPY CNY
2.90 0.70 2.80
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
GDP Forecast 2016
1.50%
-2.4% -4.0% 2.9% 9.8% -1.3%
Next Meeting:
3.10 2.8-3.8 3.30
BOT NESDB FPO
22-Jun-2559
Change(Wk) -10.47 -450.02 -90.13 -8.16 -169.02 -1,159.66 -116.19
1,394.14 16,216.03 17,740.63 2,057.14 9,869.95 20,156.81 6,125.70 OIL (USD/Barrel)
BRENT WTI
Last Update : 25-Mar-2016
-1.48 -0.29
43.63 43.44 PRECIOUS METALS (USD)
GOLD SILVER
As of 10-May-2559
Source : BOT
EQUITIES Index
Name
Source : NESDB
Major World Currencies
176.70
Source : Bloomberg As of Apr 2016
YoY(%)
0.50% 0.50% 0.00% -0.10%
American Interest Rate (Fed) British Interest Rate (BoE) European Interest Rate (ECB) Japanese Interest Rate (BoJ)
0.78 0.01 0.07 0.55 0.00 - 1.00
INT'L RESERVE THAI (b.USD)
GDP Growth
36.60 0.19
1,266.60 17.089 th
Source : Bloomberg
As of May 10 , 2559
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt %
Mutual Funds 2%
6,005,787.17 THB Mil. Oustanding Debt
17%
1,044,482.35 420,286.39 624,195.96
SOE -G - NG
Total
Financial Institution 3%
Bot 6%
9
8%
NR 14%
-2,608.22
17,430.10
1%
4.31
100%
25,126.50
7
Contractual Funds 27%
6
128%
3.84
Nominal Cost of Debt
4 3
Insurance Company 27%
2
ATR
MW Duration
Nominal Cost of Debt Source : PDMO as of Feb 2016
GOVT Bond Auction Schedule Q2/FY2016 Spread over T-1 Date
Tenor (Year)
Symbol
10 50 20 15 5 30 10 50 15 10 5 30 10 15
LB25DA LB666A LB366A LB296A LB206A LB446A LB25DA LB666A LB296A LB366A LB206A LB446A LB25DA LB296A
Auction Amount (THB Mil.)
Baht Bond 1%
120%
Duration
Source : BOT as of Feb 2016
Domestic Bond Market Classified by Issuer
140%
6.22
5
Bond Market Cap. % Share of GDP
8.93
ATR
ATM
Source : PDMO as of Feb 2016
9.44
ATM
8
Depository Corporation 14%
-134.68 510.67 -645.35
6,005,787.17
Others
10
-238.29
17% 7% 10%
528,522.96
SFIs
28,103.38 26,743.00 1,360.38
ATM, ATR, Duration, Nominal Cost of Debt Government Debt Portfolio
Year / %
Non- profit organization 1%
Household 5%
(THB Mil.)
57% 56% 2%
991,470.11
FIDF
Other 1%
Chg. from Dec-14
%
(THB Mil.)
3,423,881.65 3,338,010.86 85,870.79
GOVT - Domestic - Foreign
GOVT Debt Portfolio
Classified by Type of Investors
44.13%
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
Debt to GDP =
Total Allocated CB+NCB (THB Mil.)
Allocated CB (THB Mil.)
greenshoe
NCB (THB Mil.)
BCR
AAY (%)
1.42 3.59 1.51 1.43 5.10 2.62 2.87 3.21 2.53 2.79 1.40 2.12 1.68
2.6207 3.7590 2.9867 2.6938 1.6393 3.1589 2.0340 3.2490 2.0213 1.3694 2.1708 1.6891 2.0594
Spread (bps)
Min. (bps)
Max. (bps)
100% 100%
99% 80%
75 %
60% 24%
40%
20% 12%
2,530,334 THB Mil 777,995 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 Oct-15 Nov-15 Dec-15
0%
Asian Fin. Crisis
Corp Bond 24%
Bank Loan /GDP
Equity/GDP
Bond Market / GDP
BOT Bond 28% 2,922,159THB Mil.
6-Jan-16 13-Jan-16 20-Jan-16 27-Jan-16 10-Feb-16 17-Feb-16 2-Mar-16 9-Mar-16 16-Mar-16 30-Mar-16 5-Apr-16 5-Apr-16 20-Apr-16 27-Apr-16
14,000 10,000 10,700 10,000 24,000 10,000 13,000 10,000 10,000 10,000 24,000 10,000 16,000 10,000
14,000 10,000 10,700 10,000 23,779 10,000 13,000 10,000 10,000 20,000 10,000 16,000 10,000
14,000 8,325 10,700 10,000 18,900 9,500 13,000 8,000 9,600 20,000 8,518 16,000 10,000
3,779 436 -
1,675 1,100 500 2,000 400 1,482 -
-2.56 -11.18 -7.80 +4.38 -2.36 -18.80 -2.74 -25.13 -3.683 0 -0.07 -20 +1.3 +5.1
Source : ThaiBMA
Maturity Profile BOT vs GOVT Bond
10%
79%
≤1
-6.63 -1.83 -14.08 -10.38 -11.47 -4.47 +2.00 7.00 -2.79 -1.89 -21.19 -16.69 -2.74 -2.74 -30.73 -22.33 -6.41 -2.81 0.00 0.00 -0.10 -0.30 -25.63 -5.63 -0.76 +0.53 +1.52 +6.62
GoVT Bond 39 % 16%
21%
17%
24%
1<yr≤3
3<yr≤5
5<yr≤10
33%
Top 5 Most Active GOVT Bond No.
Symbol
Outstanding Value (THB Mil.)
4,029,461 THB Mil.
10<yr≤50
Source : ThaiBMA as of May 4th, 2016
1 2 3 4 5
Total Trading Value (THB Mil.)
301,994 153,118 306,104 218,683 177,854
LB196A LB206A LB21DA LB176A LB25DA
417,618 414,211 387,725 263,000 244,226
% of
Total Trading value
T/O (เท่า)
16.78% 16.64% 15.58% 10.56% 9.81%
1.38 2.71 1.27 1.20 1.37
Source : ThaiBMA (As of May 4th ,2016 )
GOVT Yield Curve Movement 5%
MPC
3 yr
5 yr
10 yr
20 yr
50 yr
4% 3%
2% 1%
1.5%
3.19% 50-yr 2.28% 20-yr 1.83% 10-yr 1.59% 5-yr 1.45% 3-yr
Source : ThaiBMA (As of May 4th ,2016 )
BOND Foreign Yield
SWAP Interest Rate Swap IRS
3.00%
THAI
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.79
0.92
1.26
1.48
1.71
EU
%
-0.13
-0.13
0.09
0.31
0.67
JAPAN
%
-0.03
-0.09
-0.07
0.01
0.12
THAILAND
%
1.53
1.56
1.91
2.09
2.28
1-yr
2-yr
5-yr
7-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
10-yr
THB/USD
%
1.515/1.455 1.495/1.415 1.485/1.335 1.555/1.345
1.475/1.325
EUR/CBS
Mid
-0.31
-0.35
-0.45
-0.47
-0.45
JPY/CBS
Mid
-0.54
-0.64
-0.84
-0.88
-0.84
10-yr (bps)
-0.50% US
-1.00%
UK
EURO
JAPAN
Thailand
3M
6M
2yr
5yr
10yr
30yr
US
0.26%
0.36%
0.75%
1.23%
1.74%
2.59%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
2-yr (bps)
5-yr (bps)
7-yr (bps)
UK
0.47%
0.49%
0.38%
0.82%
1.40%
2.28%
US
22.42
22.03
23.05
26.52
33.83
44.83
EURO
-0.58%
-0.51%
-0.51%
-0.37%
0.15%
0.87%
UK
11.11
11.98
18.28
37.00
54.32
72.00
JAPAN
-0.25%
-0.21%
-0.26%
-0.24%
-0.12%
0.32%
JAPAN
6.84
11.20
17.18
39.65
57.55
74.21
THAILAND
1.36%
1.38%
1.41%
1.59%
1.83%
2.56%
THAILAND
23.49
24.92
46.15
131.07
167.58
th
188.21 th
Source : ThaiBMA , Bloomberg (As of May 4 , 2016)
Source : Reuters , Bloomberg (As of May 4 , 2016)
Non-Residence Trading NR Holding Weekly
Peers Comparison
THB.Mil.
Percentage share of Non-resident Holding in Local Government Bond
350,000
2016
300,000
250,000
Indonesia
40%
38.40% Dec’ 15
Malaysia
93,249
31.70% Dec’ 15
30%
200,000 84,003
BOT Bond 70,310 THB mil.
150,000
23,052 100,000
Thailand 20%
196,463 129,454
50,000
96,738
80,737 21,608
0 -22,494
13.6% As of May'16
117,144
30,216 -1,598 -2,793 -7,506
29,642
-53,807
-27,157 -50,000
Korea
1,599
6,087
4,919
210
7,991 -30,352
-18,866 -71,124
9.96%
10%
Sep’15
-7,770
Japan
-100,506
9.77% -37,994
0% 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
-100,000
Sep’ 15
GOVT Bond -4,145 THB mil.
-150,000 Jan 2007
2008
2009
2010
2011
2012
2013
2014
2015
Feb
Mar
Apr
May
2016
Source : PDMO (As of May 4th, 2016)
Source : PDMO (As of May 4th, 2016)
BAHT BOND
72,799 HB Mil.
THE OUTSTANDING BAHT BOND Classified by issuers based on TTM
CLMV
Non-Gov’t
39
8%
%
THB Mil.
Non-Gov’t
(6,500 THB Mil )
28,090 THB Mil.
.
9
%
Government
30000
25Government %
IFIs , International Credit Rating & CGIF
(6,500 THB Mi ) l.
30
IFIs , International Credit Rating & CGIF
(21,590 THB Mil.)
32
%
%
ADB
(23,066)
AFD
MHBK
67
(21,590 THB Mil.)
%
20000
61% 14
KEXIM
9
%
%
10000
(9,584)
8
8
%
%
ADB AFD
(6,330) Hana
(5,668) CITI
WOORI
HANA
KEXIM
WOORI
CBA
CABEI
Lao PDR (Gov,t)
Lao PDR (Gov,t)
2016
2017
Lao PDR (Gov,t)
EDL-Gen Lao PDR (Gov,t)
2018
2019
%
8
Lao PDR (Gov,t)
2020
(8,000)
%
(5,701) KEXIM CABEI
WOORI
0
11
(10,000)
EDL-Gen
2
(1,500)
Lao PDR (Gov,t)
KEXIM
2021
2022
4
(2,800)
(3,000)
%
%
KEXIM
4
KEXIM 2023
% Lao PDR (Gov,t)
EDL-Gen 2024
2025 th
Source : PDMO (As of Apr 29 , 2016)