THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights
ติดตามผลการประชุมของ BOJ และ FED ทีจ่ ะมีขน ึ้ ในสัปดาห์นี้ โดยคาดว่า BOJ จะดาเนินโยบายแบบผ่อนคลายการเงินมากขึน ้ และ FEd จะยังคงอัตราดอกเบีย ้ ต่อไป เนือ ่ งจาก เศรษฐกิจยังไม่ฟื้นตัวอย่างทีค ่ าด
April 25, 2559
Malasia Development berhad (1MDB) ประกาศผิดนั ดชาระดอกเบีย ้ พันธบัตรเนือ ่ งจาก บริษัทกองทุนเพือ ่ ความมั่งคัง่ ของอาบูดาบี (IPIC) เป็ นนายประกันให ้ 1MDB ทัง้ นี้ 1MDB เป็ นบริษัทลงทุนเชิงกลยุทธ์ ทีม ่ ก ี ระทรวงการคลังมาเลเซียเป็ นเจ ้าของยืนยันว่า IPIC ต ้องเป็ นผู ้ชาระหนีภ ้ ายใต ้ข ้อตกลง Debt Swap ส่งผลงให ้สกุลเงินริงกิตของมาเลเซียร่วงลง 0.7% และคาดว่าส่งผลต่อความ
น่าเชือ่ ถือในตราสารหนีข ้ องมาเลเซีย
Inflation Rate
MACRO DATA
Inflation Rate Core Inflation Nominal Inflation Forecast
Policy Rate
YoY(%)
MoM(%)
2013 2014 2015
Source : MOC As of Mar 2016
Avg. Selling Rate (THB)
Currency
Thai Policy Interest Rate YTD
35.2212 50.6975 39.9668 32.3764 5.4733
USD GBP EUR JPY CNY
Source : BOT As of Apr 2016
2.90 0.70 2.80
GDP Forecast 2016
1.50%
-2.6% -4.7% 1.8% 7.6% -1.2%
Next Meeting:
3.10 2.8-3.8 3.80
BOT NESDB FPO
11-May-2559
OIL (USD/Barrel)
45.11 43.73
BRENT WTI
Last Update : 25-Mar-2016
PRECIOUS METALS (USD)
1,230.00 16.90
GOLD SILVER
As of 25-Apr-2559
Source : BOT
1,423.90 17,572.49 17,541.96 2,091.48 10,435.73 21,316.47 6,381.44
SET NIKKEI DJI S&P500 DAX HS FTSE100
Source : NESDB
Major World Currencies
176.70
EQUITIES
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)
0.75 0.01 -0.46 0.21 0.10 - 1.00
INT'L RESERVE THAI (b.USD)
GDP Growth
Source : Bloomberg
25-Apr-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
Duration
3.84
Nominal Cost of Debt
4 3
Insurance Company 27%
2
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 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 =
128%
Spread over T-1 Date
Tenor (Year)
Symbol
10 50 20 15 5 30 10 50 15 10 5 30 10
LB25DA LB666A LB366A LB296A LB206A LB446A LB25DA LB666A LB296A LB366A LB206A LB446A LB25DA
Auction Amount (THB Mil.)
Baht Bond 1%
120%
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
2.6207 3.7590 2.9867 2.6938 1.6393 3.1589 2.0340 3.2490 2.0213 1.3694 2.1708 1.6891
Spread (bps)
Min. (bps)
Max. (bps)
100% 100%
99% 80%
75 %
60% 24%
40%
20% 12%
2,526,210 THB Mil
Asian Fin. Crisis
783,178THB 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%
Corp Bond 24%
Bank Loan /GDP
Equity/GDP
Bond Market / GDP
BOT Bond 27% 2,823,170 THB 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
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
14,000 8,325 10,700 10,000 18,900 9,500 13,000 8,000 9,600 20,000 8,518 16,000
14,000 10,000 10,700 10,000 23,779 10,000 13,000 10,000 10,000 20,000 10,000 16,000
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
BOT vs GOVT Bond
10%
GoVT Bond 39 %
≤1
-1.83 -10.38 -4.47 +7 -1.89 -16.69 -2.74 -22.33 -2.81 0.00 -0.30 -5.63 +0.536
Source : ThaiBMA
Maturity Profile
73%
-6.63 -14.08 -11.47 +2 -2.79 -21.19 -2.74 -30.73 -6.41 0.00 -0.10 -25.63 -0.764
16%
27%
17%
24%
1<yr≤3
3<yr≤5
5<yr≤10
33%
Top 5 Most Active GOVT Bond No.
Symbol
Outstanding Value (THB Mil.)
4,038,399 THB Mil.
10<yr≤50
Source : ThaiBMA as of Apr 22th, 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
407,764 404,775 375,932 246,121 230,450
% of
Total Trading value
T/O (เท่า)
17.03% 16.91% 15.70% 10.28% 9.63%
1.35 2.64 1.23 1.13 1.30
Source : ThaiBMA (As of Apr 22th,2016 )
GOVT Yield Curve Movement MPC
5%
3 yr
5 yr
10 yr
20 yr
50 yr
3.16% 50-yr 2.29% 20-yr
4%
3%
2%
MPC 1%
1.5%
1.81% 10-yr 1.53% 5-yr 1.41% 3-yr
BOND Forign Yield
SWAP Interest Rate Swap IRS
3.00%
THAI
1-yr
2-yr
5-yr
7-yr
10-yr
US
%
0.81
0.93
1.28
1.48
1.72
EU
%
-0.12
-0.12
0.06
0.29
0.61
JAPAN
%
-0.05
-0.12
-0.07
0.02
0.14
THAILAND
%
1.57
1.60
1.92
2.11
2.32
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
%
1.560/1.510 1.550/1.480 1.490/1.340 1.530/1.380
1.485/1.335
EUR/CBS
Mid
-0.30
-0.35
-0.42
-0.44
-0.48
JPY/CBS
Mid
-0.55
-0.66
-0.88
-0.92
-0.87
10-yr (bps)
-0.50% US
-1.00%
UK
EURO
JAPAN
Thailand
3M
6M
2yr
5yr
10yr
30yr
US
0.24%
0.40%
0.75%
1.38%
1.63%
2.50%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
2-yr (bps)
5-yr (bps)
7-yr (bps)
UK
0.29%
0.42%
0.54%
1.01%
1.65%
2.46%
US
21.08
21.60
22.20
24.07
32.65
43.08
EURO
-0.59%
-0.53%
-0.49%
-0.29%
0.30%
1.02%
UK
15.30
16.69
22.55
40.70
56.13
71.32
JAPAN
-0.34%
-0.30%
-0.24%
-0.21%
-0.06%
0.37%
JAPAN
7.40
11.68
17.69
47.45
57.17
76.69
THAILAND
1.35%
1.36%
1.40%
1.53%
1.81%
2.54%
THAILAND
28.80
30.48
50.16
125.99
161.69
th
181.45 th
Source : ThaiBMA , Bloomberg (As of Apr 22 , 2016)
Source : Reuters , Bloomberg (As of Apr 22 , 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%
2016
300,000
38.40% Dec’ 15
Malaysia
250,000
93,249
31.70% Dec’ 15
30%
200,000 84,003
150,000
GOVT Bond 7,026THB mil.
23,052 100,000
196,463 129,454
50,000
0 -22,494
30,216 -2,793
Thailand 20%
13.6% As of Apr'16
117,144
96,738
80,737 21,608
29,642
-1,598 -7,506 -53,807
-50,000
Korea
210
4,919
-27,157
7,026
6,087
9.96%
10%
-26,334
Sep’15
Japan
-18,866
-71,124
BOT Bond -26,334 THB mil.
-100,506
9.77% Sep’ 15
-37,994
-100,000
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
2015
Mar
Apr
2016
Source : PDMO (As of Apr 22th, 2016)
Source : PDMO (As of Apr 22th, 2016)
BAHT BOND
75,649 HB Mil.
THE OUTSTANDING BAHT BOND Classified by issuers based on TTM
CLMV
Non-Gov’t
37
8%
%
Non-Gov’t
(6,500 THB Mil )
28,090 THB Mil.
.
8
%
Government
THB Mil.
25Government %
30000
IFIs , International Credit Rating & CGIF
(6,500 THB Mi ) l.
29
IFIs , International Credit Rating & CGIF
(21,590 THB Mil.)
30
%
%
67
(23,066)
ADB AFD
(21,590 THB Mil.)
MHBK
%
20000
63% 13
KEXIM
17
%
%
10000
(9,584) ADB AFD CBA
0
8
7
%
%
KEXIM
(6,330) Hana
(5,668) CITI
NOBLE
11
(10,000)
WOORI
Lao PDR (Gov,t)
Lao PDR (Gov,t)
2016
2017
Lao PDR (Gov,t)
EDL-Gen Lao PDR (Gov,t)
2018
2019
(8,000)
%
(5,701) KEXIM CABEI
WOORI WOORI
CABEI
%
8
2
4
(2,800)
(3,000)
KEXIM
EDL-Gen
%
%
Lao PDR (Gov,t)
EDL-Gen Lao PDR (Gov,t)
KEXIM
2020
2021
2022
(1,500)
KEXIM
3
2023
%
2024
Lao PDR (Gov,t)
2025 th
Source : PDMO (As of March 30 , 2016)