THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights ในช่วงก่อนวันหยุดยาว อัตราผลตอบแทนของพันธบัตรรัฐบาล มีการปรับตัวสูงขึน a ในหลายๆรุน ่ อายุโดยเฉพาะในรุน ่ 20 ปี มีการเพิม h ขึน a ถึง 21 bps. เป็ นผลมาจากตลาดหุ ้นไทยและต่างชาติทม ีh ท ี ศ ิ ทางทีด h ข ี น ึa
April 12, 2559
วันอาทิตย์ทผ ีh า่ นมาผลจากการประชุม OPEC ทีย h ังไม่ได ้ข ้อสรุป รวมทังa ปริมาณนํa ามันทีล h ้นตลาดส่งผลให ้ราคานํa ามันปรับตัวลดลงอย่าง ต่อเนือ h ง ผลกระทบจากแผ่นดินไหวในหลายพืน a ทีใh นญีป h นส่ ุ่ งผลให ้ Bond Yield ของญีป h นลดลงทั ุ่ นทีและดัชนี Nikkei ร่วงลงมาร ้อยละ 3.2
Inflation Rate
MACRO DATA
Inflation Rate Core Inflation Nominal Inflation Forecast
Policy Rate 0.50% 0.50% 0.00% -0.10%
American Interest Rate (Fed) British Interest Rate (BoE) European Interest Rate (ECB) Japanese Interest Rate (BoJ)
YoY(%) MoM(%)
0.75 0.01 -0.46 0.21 0.10 - 1.00
Avg. Selling Rate (THB)
2016
Next Meeting:
3.10 2.8-3.8 3.80
BOT NESDB FPO
11-May-2559
1,385.42 16,848.03 17,541.96 2,082.78 10,093.65 21,316.47 6,365.10
SET NIKKEI DJI S&P500 DAX HS FTSE100
GDP Forecast
1.50%
-2.6% -5.5% 2.7% 8.8% -1.0%
As of 12-Apr-2559
Source : BOT
Thai Policy Interest Rate
YTD
35.2004 50.2948 40.33 32.7453 5.4829
USD GBP EUR JPY CNY
EQUITIES
2.90 0.70 2.80
Source : NESDB
Major World Currencies
175.07
Source : BOT As of Feb 2016
YoY(%)
2013 2014 2015
Source : MOC As of Mar 2016
Currency
INT'L RESERVE THAI (b.USD)
GDP Growth
OIL (USD/Barrel)
43.10 40.36
BRENT WTI
Last Update : 25-Mar-2016
PRECIOUS METALS (USD)
1,234.60 16.31
GOLD SILVER Source : Bloomberg
12-Apr-2559
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt 44.13%
%
6,005,787.17 THB Mil. Oustanding Debt
(THB Mil.)
(THB Mil.)
57% 56% 2%
28,103.38 26,743.00 1,360.38
991,470.11
17%
-238.29
SOE -G - NG
1,044,482.35 420,286.39 624,195.96
17% 7% 10%
-134.68 510.67 -645.35
528,522.96
Others Total
8%
Financial Institution 3%
17,430.10
1%
4.31
100%
25,126.50
9
8.93
8
ATR
7
Contractual Funds 27%
6
6.22
Duration
3.84
Nominal Cost of Debt
4 3
Insurance Company 27%
2
ATM
ATR
MW Duration
Source : BOT as of Feb 2016
Nominal Cost of Debt Source : PDMO as of Feb 2016
GOVT Bond Auction Schedule Q2/FY2016
Bond Market Cap. Domestic Bond Market Classified by Issuer
140%
9.44
ATM
5
NR 14%
Source : PDMO as of Feb 2016
% Share of GDP
10
Depository Corporation 14%
-2,608.22
6,005,787.17
Bot 6%
ATM, ATR, Duration, Nominal Cost of Debt Government Debt Portfolio
Year / %
Non- profit organization 1%
Household 5%
FIDF
SFIs
Other 1%
Chg. from Dec-14
%
3,423,881.65 3,338,010.86 85,870.79
GOVT - Domestic - Foreign
Mutual Funds 2%
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 =
GOVT Debt Portfolio
Classified by Type of Investors
128%
Spread over T-1 Date
Tenor (Year)
Symbol
10 50 20 15 5 30 10 50 15 10 5 30
LB25DA LB666A LB366A LB296A LB206A LB446A LB25DA LB666A LB296A LB366A LB206A LB446A
Auction Amount (THB Mil.)
Total Allocated CB+NCB (THB Mil.)
14,000 10,000 10,700 10,000 24,000 10,000 13,000 10,000 10,000 10,000 24,000 10,000
14,000 10,000 10,700 10,000 23,779 10,000 13,000 10,000 10,000 20,000 10,000
Baht Bond 1%
120%
Allocated CB (THB Mil.)
greenshoe
NCB (THB Mil.)
BCR
AAY (%)
Spread (bps)
1,675 1,100 500 2,000 400 1,482
1.42 3.59 1.51 1.43 5.10 2.62 2.87 3.21 2.53 2.79 1.40
2.6207 3.7590 2.9867 2.6938 1.6393 3.1589 2.0340 3.2490 2.0213 1.3694 2.1708
Min. (bps)
Max. (bps)
100% 100%
99% 80%
75%
60%
2,526,210 THB Mil
24%
40%
Corp Bond 24%
Asian Fin. Crisis
20%
783,178THB Mil.
12% 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%
Bank Loan /GDP
Equity/GDP
Bond Market / GDP
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
14,000 8,325 10,700 10,000 18,900 9,500 13,000 8,000 9,600 20,000 8,518
3,779 436 -
-2.56 -11.18 -7.80 +4.38 -2.36 -18.80 -2.74 -25.13 -3.683 0 0.7 20
-6.63 -1.83 -14.08 -10.38 -11.47 -4.47 +2 +7 -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
BOT Bond 27%
2,821,720 THB Mil.
Source : ThaiBMA
Maturity Profile BOT vs GOVT Bond
10%
GoVT Bond 39 % 80% 16%
≤1
20%
17%
24%
1<yr≤3
3<yr≤5
5<yr≤10
33%
Top 5 Most Active GOVT Bond No.
Symbol
Outstanding Value (THB Mil.)
4,040,163 THB Mil.
10<yr≤50
Source : ThaiBMA as of Apr 12th, 2016
1 2 3 4 5
Total Trading Value (THB Mil.)
301,994 153,118 306,104 218,683 161,854
LB196A LB206A LB21DA LB176A LB25DA
% of
Total Trading value
T/O (เท่า)
17.30% 1.31 17.12% 2.56 15.99% 1.20 9.78% 1.02 9.17% 1.30 th Source : ThaiBMA (As of Apr 12 ,2016 )
396,300 392,058 366,125 224,051 209,927
GOVT Yield Curve Movement MPC
5%
3 yr
5 yr
10 yr
20 yr
50 yr
3.09% 50-yr 2.26% 20-yr
4%
3%
2%
MPC 1%
1.5%
1.72% 10-yr 1.50% 5-yr 1.36% 3-yr
BOND Forign Yield
SWAP Interest Rate Swap IRS
3.00%
THAI
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.77
0.91
0.30
1.51
1.73
EU
%
-0.11
-0.13
0.05
0.37
0.58
JAPAN
%
-0.03
-0.10
-0.07
0.01
0.13
THAILAND
%
1.57
1.57
1.76
1.92
2.06
2.50%
US 2.00%
UK 1.50% 1.00%
EURO
th
Source : Reuters (As of Apr 12 , 2016)
0.50%
Cross Currency Swap CCS
JAPAN 0.00% 3m
6m
2-yr
5-yr
10-yr
30-yr
1-yr
THB/USD
%
EUR/CBS
Mid
-0.30
JPY/CBS
Mid
-0.54
-0.50% US
-1.00%
UK
EURO
JAPAN
2-yr
5-yr
7-yr
10-yr
1.575/1.505 1.525/1.375 1.190/1.040 1.175/0.945 1.050/0.880
-0.35
-0.45
-0.52
-0.51
-0.69
-0.96
-1.00
-0.94
Thailand
3M
6M
2yr
5yr
10yr
30yr
US
0.22%
0.36%
0.51%
1.19%
1.73%
2.54%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
2-yr (bps)
5-yr (bps)
7-yr (bps)
UK
0.46%
0.49%
0.43%
0.81%
1.41%
2.28%
US
22.07
21.67
22.39
23.60
30.97
41.78
EURO
-0.60%
-0.50%
-0.50%
-0.38%
0.12%
0.80%
UK
11.98
13.62
20.35
35.35
49.41
67.42
JAPAN
-0.14%
-0.22%
-0.26%
-0.24%
-0.13%
0.39%
JAPAN
8.47
13.20
20.29
45.00
65.09
85.57
THAILAND
1.35%
1.36%
1.36%
1.50%
1.72%
2.49%
THAILAND
33.51
36.72
77.65
126.68
157.96
181.94
Source : Reuters (As of Apr 12th, 2016)
Source : ThaiBMA , Bloomberg (As of Apr 12th, 2016)
10-yr (bps)
Source : Reuters , Bloomberg (As of Apr 15th, 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%
300,000
2016
38.40% 38.40% Dec’ 15
250,000
Malaysia
93,249
200,000
84,003
31.70% 31.70%
30%
GOVT Bond -4,524 THB mil.
Dec’ 15
150,000
23,052 100,000
129,454 117,144
50,000
BOT Bond 101,738 THB mil.
196,463
30,216
-50,000
-22,494
-2,793
4,919
-7,506
-53,807 -100,506
As of Apr'16 Apr'16
6,087
29,642
-27,157
13.7%
9,212
96,738
-1,598 0
Thailand 20%
80,737
21,608
210
Korea
-6,694
-18,866
10%
9.96%
-71,124
Sep’15 Japan
-37,994
-100,000
9.77% Sep’ 15
-150,000
a -ขายสุทธิของนักลงทุนต่างชาติในตราสารหนีa BOT การซือ
Source : PDMO (As of Apr 12th, 2016)
BAHT BOND
75,649 HB Mil.
THE OUTSTANDING BAHT BOND Classified by issuers based on TTM
CLMV
37
Non-Gov’t
8%
%
Non-Gov’t
(6,500 THB Mil.)
28,090 THB Mil.
8
%
Government
THB Mil. 30000
25Government %
IFIs , International Credit Rating & CGIF
(6,500 THB Mil.)
29
(21,590 THB Mil.)
30
IFIs , International Credit Rating & CGIF
%
%
(23,066)
AFD
67%
(21,590 THB Mil.)
MHBK
20000
63% 13
KEXIM
17
%
%
10000
AFD CBA
0
8
7
%
%
KEXIM
(6,330) Hana
(5,668) CITI
NOBLE
11
(10,000)
(9,584) ADB
WOORI WOORI
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 CABEI
Dec-16
Jun-16
a -ขายสุทธิของนักลงทุนต่างชาติในตราสารหนีa GOVT การซือ
Source : PDMO (As of Apr 12th, 2016)
ADB
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
Dec-10
Jun-10
Sep-10
Mar-10
Dec-09
Jun-09
Sep-09
Mar-09
2016
Dec-08
Apr
Jun-08
2007 2008 2009 2010 2011 2012 2013 2014 2015
Mar
Mar-08
Feb
Sep-08
0%
Jan
3
4
(2,800)
(3,000)
KEXIM
EDL-Gen
2023
2024
%
2
%
EDL-Gen
(1,500)
Lao PDR (Gov,t)
KEXIM
2021
2022
KEXIM
% Lao PDR (Gov,t)
2025
Source : PDMO (As of March 30th, 2016)