THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights
ธนาคารกลางสหรัฐ (FED) เผยรายงานการประชุมเดือนเมษายนทีผ ่ า่ นมา หากแนวโน ้มทางเศรษฐกิจของสหรัฐมีการขยายตัวทีด ่ ข ี น ึ้ คาดว่าจะมีการปรับอัตราดอกเบีย ้ นโยบายในการประชุมครัง้ ถัดไปในเดือนมิถน ุ ายนนี้ รวมทัง้ เจ ้าหน ้าทีข ่ อง FED ยังสนั บสนุนให ้ขึน ้ อัตราดอกเบีย ้ นโยบาย 2 - 3 ครัง้ ในปี นี้ เนือ ่ งจากตัวเลขเศรษฐกิจทีส ่ าคัญของสหรัฐมีแน ้วโน ้มปรับตัวดีขน ึ้
May 23, 2559
จีนปรับลดการถือครองพันธบัตรรัฐบาลของสหรัฐในเดือนมีนาคมลง 7.7 พันล ้านดอลลาร์สหรัฐ มาอยูท ่ ี่ 1.25 ล ้านล ้านดอลลาร์สหรัฐ ซึง่ มีการปรับลดอย่างต่อเนือ ่ ง โดยในเดือนกุมภาพันธ์มก ี ารปรับลดการถือครองพันธบัตรรัฐบาลสหรัฐลง 1.44 หมืน ่ ล ้านดอลลาร์ใน เดือน ก.พ. ทีผ ่ า่ นมา
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
35.8667 52.4866 40.4375 32.8195 5.5228
USD GBP EUR JPY CNY
2.90 0.70 2.80
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
GDP Forecast 2016
1.50%
-0.8% -1.4% 3.0% 9.0% -0.3%
Next Meeting:
3.10 2.8-3.8 3.30
BOT NESDB FPO
22-Jun-2559
Change(Wk) 2.87 204.88 -275.31 -26.62 -94.30 -31.75 -98.05
1,400.50 16,671.28 17,435.40 2,040.04 9,795.89 19,852.20 6,053.35 OIL (USD/Barrel)
BRENT WTI
Last Update : 25-Mar-2016
5.09 4.97
48.72 48.41 PRECIOUS METALS (USD)
GOLD SILVER
As of 23-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
-13.70 -0.56
1,252.90 16.532 th
Source : Bloomberg
As of May 23 , 2559
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt %
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
120%
99%
74%
Bank Loan /GDP
Equity/GDP
Feb-16
Dec-15
2014
Oct-15
2012
2010
2008
2006
789,095 THB Mil. 2004
2000
1998
1994
1992
1996
12%
2002
Asian Fin. Crisis
20%
0%
Corp Bond 24%
2,544,173 THB Mil
24%
40%
Bond Market / GDP
Duration
3.85
Nominal Cost of Debt
4 3
Insurance Company 28%
2 ATR
MW Duration
Nominal Cost of Debt Source : PDMO as of March 2016
Spread over T-1 Date
Tenor (Year)
Symbol
6-Jan-16 13-Jan-16 20-Jan-16 27-Jan-16 10-Feb-16 17-Feb-16 5-Apr-16 5-Apr-16 20-Apr-16 27-Apr-16 18-May-16 8-Jun-16 15-Jun-16 22-Jun-16 29-Jun-16
5 30 10 50 15 10 5 30 10 15 50 15 5 50 10
LB25DA LB666A LB366A LB296A LB206A LB446A LB206A LB446A LB25DA LB296A LB666A LB296A LB206A LB666A LB25DA
Auction Amount (THB Mil.)
Baht Bond 1%
99%
60%
6
6.47
GOVT Bond Auction Schedule Q3/FY2016
100% 80%
7
Source : BOT as of March 2016
Domestic Bond Market Classified by Issuer
128%
9.01 ATR
5
Bond Market Cap. Size 10,384,850 THB Mil. 140%
ATM
ATM
Source : PDMO as of March 2016
% Share of GDP
BOT Bond 28% 2,988,414THB Mil.
14,000 10,000 10,700 10,000 24,000 10,000 24,000 10,000 16,000 10,000 10,000 10,000 20,000 10,000 16,000
Total Allocated CB+NCB (THB Mil.)
Allocated CB (THB Mil.)
greenshoe
NCB (THB Mil.)
3,779.00 436 -
1,675 1,100 500 1,482 1,800
14,000 8,325 10,700 10,000 18,900 9,500 20,000 8,518 16,000 10,000 8,200
14,000 10,000 10,700 10,000 23,779 10,000 20,000 10,000 16,000 10,000 10,000
BCR
AAY (%)
1.42 3.59 1.51 1.43 5.10 2.62 2.79 1.40 2.12 1.68 2.04
2.6207 3.7590 2.9867 2.6938 1.6393 3.1589 1.3694 2.1708 1.6891 2.0594 3.0312
Spread (bps)
Max. (bps)
-6.63 -1.83 -14.08 -10.38 -11.47 -4.47 +2 +7 -2.79 -1.89 -21.19 -16.69 -0.10 -0.30 -25.63 -5.63 -0.76 +0.53 +1.52 +6.62 -23.1 -13.10
Source : ThaiBMA
BOT vs GOVT Bond
9%
≤1
Min. (bps)
-2.56 -11.18 -7.8 +4.38 -2.36 -18.8 -0.07 -20 +1.3 +5.1 -19.88
Maturity Profile
79%
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
44.03%
Debt to GDP =
GoVT Bond 39 % 17%
21%
15%
1<yr≤3
3<yr≤5
25% 5<yr≤10
34%
Top 5 Most Active GOVT Bond No.
Symbol
TTM.
3,990,369 THB Mil.
10<yr≤50
Source : ThaiBMA as of May 19th, 2016
1 2 3 4 5
LB196A LB206A LB21DA LB176A LB25DA
Outstanding Value (THB Mil.)
Total Trading Value (THB Mil.)
301,994 153,118 306,104 218,683 177,854
3.05 4.06 5.57 1.06 9.56
439,333 428,226 414,643 288,516 259,577
% of
Total Trading value
T/O (เท่า)
16.64% 16.22% 15.71% 10.93% 9.83%
1.45 2.80 1.35 1.32 1.46
Source : ThaiBMA (As of May 19th ,2016 )
GOVT Yield Curve Movement MPC
3 yr
5 yr
10 yr
20 yr
50 yr
5% 4% 3% 2% 1%
1.5%
3.14% 50-yr 2.46% 20-yr 2.12% 10-yr 1.83% 5-yr 1.66% 3-yr
Source : ThaiBMA (As of May 19th ,2016 )
BOND Foreign Yield
SWAP Interest Rate Swap IRS
3.00%
THAI
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.87
1.01
1.33
1.50
1.72
EU
%
-0.12
-0.14
0.05
0.27
0.59
JAPAN
%
-0.04
-0.10
-0.06
0.03
0.15
THAILAND
%
1.50
1.55
1.94
2.06
2.25
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
%
1.495/1.435 1.490/1.400 1.485/1.315 1.500/1.340
1.545/1.395
EUR/CBS
Mid
-0.30
-0.34
-0.42
-0.45
-0.43
JPY/CBS
Mid
-0.58
-0.68
-0.89
-0.94
-0.92
10-yr (bps)
-0.50% US
-1.00%
UK
EURO
JAPAN
Thailand
3M
6M
2yr
5yr
10yr
30yr
US
0.32%
0.45%
0.89%
1.37%
1.85%
2.64%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
2-yr (bps)
5-yr (bps)
7-yr (bps)
UK
0.46%
0.51%
0.45%
0.89%
1.45%
2.32%
US
22.97
22.62
23.45
24.06
33.91
45.10
EURO
-0.55%
-0.56%
-0.50%
-0.35%
0.17%
0.89%
UK
11.05
11.94
18.30
37.16
54.20
71.94
JAPAN
-0.26%
-0.37%
-0.23%
-0.21%
-0.10%
0.34%
JAPAN
6.61
10.97
16.85
47.45
56.40
72.54
THAILAND
1.40%
1.43%
1.59%
1.83%
2.12%
2.65%
THAILAND
23.16
24.63
45.94
127.33
166.23
th
186.78 th
Source : ThaiBMA , Bloomberg (As of May 19 , 2016)
Source : Reuters , Bloomberg (As of May 19 , 2016)
Non-Residence Trading NR Holding Weekly
Peers Comparison
THB.Mil.
Percentage share of Non-resident Holding in Local Government Bond
350,000
2016 250,000
Indonesia
40%
300,000
38.40% Dec’ 15
Net Buy 48,156 THB Mil.
93,249
Malaysia 31.70% Dec’ 15
30%
200,000 84,003
BOT Bond 59,824 THB mil.
150,000 23,052
100,000
196,463 129,454
50,000
0 -22,494
30,216 -2,793
Thailand
20%
13.6%
117,144
96,738
80,737 21,608 4,919
29,642 -1,598 -7,506 -53,807
-27,157
-50,000
6,087 -18,866
210
As of May'16 7,991
-5,923
Korea
10%
-30,352 -18,256
9.96% Sep’15
-71,124
-100,506
Japan 9.77%
GOVT Bond -11,668 THB mil.
-37,994
-100,000
Sep’ 15
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
0% -150,000 Jan 2007
2008
2009
2010
2011
2012
2013
2014
Feb
Mar
2015
Apr
May
2016
Source : PDMO (As of May 19th, 2016)
Source : PDMO (As of May 19th, 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 : ThaiBMA (As of May 19 , 2016)