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) มีมติเอกฉั นท์ 9-0 ให ้คงอัตราดอกเบีย ้ นโยบายทีร่ ะดับ 0.5% และประกาศปรับลดตัวเลขประมาณการ ขยายตัวทางเศรษฐกิจในปี นล ี้ ดลงจากร ้อยละ 2.2 เป็ นร ้อยละ 2.0 แสดงให ้เห็นถึงสภาพเศรษฐกิจทีย ่ งั ไม่ฟื้นตัวเต็มที่
May 16, 2559
ประธาน FED สาขาบอสตัน ้ สนั บสนุนการขึน ้ อัตราดอกเบีย ้ นโยบายเนือ ่ งจากตัวเลขการจ ้างงานและอัตราเงินเฟ้ อทีป ่ รับตัวสูงขึน ้ ถึงแม ้ว่าตัวเลขการจ ้างงานตะไม่สงู ตามคาด
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) 3.49 250.37 -29.92 20.05 20.24 -272.86 25.70
1,397.63 16,466.40 17,710.71 2,066.66 9,890.19 19,883.95 6,151.40 OIL (USD/Barrel)
BRENT WTI
Last Update : 25-Mar-2016
5.34 4.28
48.97 47.72 PRECIOUS METALS (USD)
GOLD SILVER
As of 16-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
7.60 0.07
1,274.20 17.154 th
Source : Bloomberg
As of May 16 , 2559
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt Debt to GDP =
44.03%
% Mutual Funds 2%
6,013,649.86 THB Mil.
GOVT - Domestic - Foreign
57% 56% 2%
24,632.21 21,064.64 3,567.57
983,170.11
16%
-8,300.00
SOE -G - NG
1,039,910.82 416,534.54 623,376.28
17% 7% 10%
-4,571.53 -3,751.85 -819.68
525,523.70
8%
-2,999.26
16,531.37
1%
-898.73
100%
7,862.69
SFIs Others
6,013,649.86
Total
Financial Institution 3%
Bot 6%
10 9
128%
7
6
Duration
6.47
Insurance Company 28%
3.85
Nominal Cost of Debt
4 3 2
ATR
MW Duration
Source : BOT as of March 2016
Nominal Cost of Debt Source : PDMO as of March 2016
GOVT Bond Auction Schedule Q2/FY2016 Domestic Bond Market Classified by Issuer
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%
9.01 ATR
5
Bond Market Cap. 140%
ATM
ATM
Source : PDMO as of March 2016
% Share of GDP
9.50
8 Contractual Funds 27%
Depository Corporation 13% NR 14%
ATM, ATR, Duration, Nominal Cost of Debt Government Debt Portfolio
Year / %
Household 5%
(THB Mil.)
3,448,513.86 3,359,075.50 89,438.36
FIDF
Non- profit organization 1%
Chg. from Dec-14
%
(THB Mil.)
Other 1%
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
Oustanding Debt
GOVT Debt Portfolio
Classified by Type of Investors
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%
2,537,254 THB Mil 787,995 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%
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
2,937,159THB Mil.
Source : ThaiBMA
Maturity Profile BOT vs GOVT Bond
9%
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%
25%
1<yr≤3
3<yr≤5
5<yr≤10
33%
10<yr≤50
Top 5 Most Active GOVT Bond No.
Symbol
Outstanding Value (THB Mil.)
4,013,283 THB Mil.
Source : ThaiBMA as of May 13th, 2016
1 2 3 4 5
301,994 153,118 306,104 218,683 177,854
LB196A LB206A LB21DA LB176A LB25DA
% of
Total Trading Value (THB Mil.)
428,186 417,123 394,967 278,272 249,271
Total Trading value
T/O (เท่า)
16.78% 16.34% 15.47% 10.90% 9.77%
1.42 2.72 1.29 1.27 1.40
Source : ThaiBMA (As of May 13th ,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 2.27% 20-yr 1.83% 10-yr 1.58% 5-yr 1.45% 3-yr th
Source : ThaiBMA (As of May 13 ,2016 )
BOND Foreign Yield
SWAP Interest Rate Swap IRS
3.00%
THAI
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.78
0.91
1.17
1.35
1.59
EU
%
-0.13
-0.15
0.01
0.21
0.54
JAPAN
%
-0.07
-0.13
-0.09
0.00
0.13
THAILAND
%
1.51
1.53
1.83
2.01
2.20
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
%
1.490/1.430 1.475/1.375 1.375/1.245 1.350/1.240
1.395/1.245
EUR/CBS
Mid
-0.30
-0.35
-0.45
-0.47
-0.45
JPY/CBS
Mid
-0.59
-0.69
-0.90
-0.95
-0.92
10-yr (bps)
-0.50% US
-1.00%
UK
EURO
JAPAN
Thailand
3M
6M
2yr
5yr
10yr
30yr
US
0.27%
0.37%
0.75%
1.21%
1.71%
2.55%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
2-yr (bps)
5-yr (bps)
7-yr (bps)
UK
0.46%
0.49%
0.37%
0.80%
1.38%
2.56%
US
22.42
22.03
23.05
26.52
33.83
44.83
EURO
-0.54%
-0.53%
-0.50%
-0.38%
0.13%
0.84%
UK
11.11
11.98
18.28
37.00
54.32
72.00
JAPAN
-0.13%
-0.19%
-0.25%
-0.23%
-0.11%
0.36%
JAPAN
6.84
11.20
17.18
39.65
57.55
74.21
THAILAND
1.36%
1.38%
1.43%
1.58%
1.83%
2.55%
THAILAND
23.49
24.92
46.15
131.07
167.58
th
188.21 th
Source : ThaiBMA , Bloomberg (As of May 13 , 2016)
Source : Reuters , Bloomberg (As of May 13 , 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 58,177 THB mil.
150,000 23,052 100,000
Thailand 20%
196,463 129,454
50,000
13.5% As of May'16
117,144
96,738
80,737 21,608
0 -22,494
30,216 -2,793 -1,598 -7,506
29,642
Korea
6,087 4,919
-53,807
-27,157 -50,000
210
7,991 -30,352 -6,575
-18,866 -71,124
9.96%
10%
Sep’15
Japan
-19,903
-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 -12,320 THB mil.
-150,000 Jan 2007
2008
2009
2010
2011
2012
2013
2014
Feb
Mar
2015
Apr
May
2016
Source : PDMO (As of May 13th, 2016)
Source : PDMO (As of May 13th, 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
(6,330) Hana
(5,668)
AFD
CITI
CBA
CABEI
Lao PDR (Gov,t)
Lao PDR (Gov,t)
2016
2017
WOORI
HANA
KEXIM WOORI
Lao PDR (Gov,t)
EDL-Gen Lao PDR (Gov,t)
2018
2019
8
Lao PDR (Gov,t)
(5,701)
2020
EDL-Gen
%
(8,000)
%
KEXIM CABEI
WOORI
0
11
(10,000)
2
(1,500)
Lao PDR (Gov,t)
KEXIM
2021
2022
4
(2,800)
(3,000)
%
%
KEXIM
4
%
KEXIM
EDL-Gen
2023
2024
Lao PDR (Gov,t)
2025
Source : ThaiBMA (As of May 13th, 2016)