THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights
เมือ ่ วันที่ 27 พ.ค. ทีผ ่ า่ นมา กระทรวงการคลังจีนประสบความสาเร็จในการออกพันธบัตรสกุลเงินหยวน รุน ่ อายุ 3 ปี อัตราดอกเบีย ้ 3.28%มูลค่า 3 พันล ้านหยวน (ประมาณ 15,000 ล ้านบาท) ซึง่ เป็ นครัง้ แรกทีม ่ ก ี ารออกพันธบัตรสกุลเงินหยวนครัง้ แรกนอกประเทศจีน โดยรัฐบาลจีนได ้ดาเนินการร่วมกับธนาคาร BOC และ และธนาคาร HSBC
May 30, 2559
่ ลาดอย่างต่อเนือ ในสัปดาห์ทผ ี่ า่ นมา ธนาคารกลางจีน (PBOC) ประกาศอัดฉีดเม็ดเงินเข ้าสูต ่ ง วงเงินรวมกว่า 1.7 แสนล ้านหยวน ้ พันธบัตรโดยมีสญ ั ญา (ประมาณ 850,000 ล ้านบาท) เพือ ่ บรรเทาสภาพคล่องในตลาดทีต ่ งึ ตัว โดยดาเนินการผ่านทางข ้อตกลงซือ ้ หลักทรัพย์จากธนาคารพาณิชย์ด ้วยข ้อตกลงทีจ่ ะขาย ขายคืน (reverse repo) อายุ 7 วัน ซึง่ เป็ นกระบวนการทีธ่ นาคารกลางเข ้าซือ คืนในอนาคต 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
35.9398 52.6959 40.0941 32.6159 5.5124
USD GBP EUR JPY CNY
2.90 0.70 2.80
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
GDP Forecast 2016
1.50%
-0.6% -1.0% 2.1% 8.4% -0.5%
Next Meeting:
3.10 2.8-3.8 3.30
BOT NESDB FPO
22-Jun-2559
Change(Wk) 12.17 358.18 392.89 50.06 490.42 777.19 212.30
1,412.67 17,029.46 17,828.29 2,090.10 10,286.31 20,629.39 6,265.65 OIL (USD/Barrel)
BRENT WTI
Last Update : 30-May-2016
1.04 0.92
49.76 49.33 PRECIOUS METALS (USD)
GOLD SILVER
As of 30-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
-49.90 -0.82
1,216.70 16.269 th
Source : Bloomberg
As of May 30 , 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%
2,559,498 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 10,383,029.47 THB Mil. 140%
ATM
ATM
Source : PDMO as of March 2016
% Share of GDP
BOT Bond 29% 2,977,628THB 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.)
14,000 10,000 10,700 10,000 23,779 10,000 20,000 10,000 16,000 10,000 10,000
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
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 38 % 15%
21%
17%
25%
1<yr≤3
3<yr≤5
5<yr≤10
34%
Top 5 Most Active GOVT Bond No.
Symbol
TTM.
Outstanding Value (THB Mil.)
3,985,368 THB Mil.
10<yr≤50
Source : ThaiBMA as of May 27th, 2016
1 2 3 4 5
LB196A LB206A LB21DA LB176A LB25DA
301,994 153,118 306,104 218,683 177,854
3.05 4.08 5.56 1.05 9.55
% of
Total Trading Value (THB Mil.)
449,473 438,168 434,319 299,642 272,896
Total Trading value
T/O (เท่า)
16.47% 16.06% 15.91% 10.98% 10.00%
1.49 2.86 1.42 1.37 1.53
Source : ThaiBMA (As of May 27th ,2016 )
GOVT Yield Curve Movement 5%
MPC
3 yr
5 yr
10 yr
20 yr
50 yr
4% 3% 2% 1%
1.5%
3.15% 50-yr 2.48% 20-yr 2.11% 10-yr 1.83% 5-yr 1.67% 3-yr
Source : ThaiBMA (As of May 27th ,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
1.31
1.48
1.69
EU
%
-0.13
-0.13
0.03
0.22
0.57
JAPAN
%
-0.05
-0.11
-0.08
0.00
0.12
THAILAND
%
1.52
1.56
1.93
2.12
2.33
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
%
1.500/1.450 1.510/1.410 1.450/1.390 1.510/1.360
1.525/1.385
EUR/CBS
Mid
-0.32
-0.35
-0.41
-0.43
-0.42
JPY/CBS
Mid
-0.60
-0.70
-0.91
-0.96
-0.93
10-yr (bps)
-0.50% US
-1.00%
UK
EURO
JAPAN
Thailand
3M
6M
2yr
5yr
10yr
30yr
US
0.32%
0.47%
0.88%
1.36%
1.84%
2.64%
Credit Default Swap CDS
6M (bps)
1-yr (bps)
2-yr (bps)
5-yr (bps)
7-yr (bps)
UK
0.47%
0.53%
0.46%
0.92%
1.44%
2.45%
US
22.06
21.40
23.54
24.06
34.76
45.81
EURO
-0.55%
-0.57%
-0.52%
-0.38%
0.14%
0.86%
UK
10.14
10.97
16.85
33.90
51.66
70.28
JAPAN
-0.27%
-0.32%
-0.23%
-0.22%
-0.11%
0.32%
JAPAN
6.59
9.15
14.00
47.45
52.07
67.12
THAILAND
1.44%
1.46%
1.60%
1.83%
2.11%
2.70%
THAILAND
22.04
23.46
43.93
124.98
159.33
th
179.83 th
Source : ThaiBMA , Bloomberg (As of May 27 , 2016)
Source : Reuters , Bloomberg (As of May 27 , 2016)
Non-Residence Trading NR Holding Weekly
Peers Comparison
THB.Mil.
Percentage share of Non-resident Holding in Local Government Bond 350,000
2016
Indonesia
40%
38.48%
300,000
Mar’ 15
250,000
Net Buy 48,156 THB Mil.
93,249
Malaysia 34.11% Mar 15
30%
200,000 84,003
BOT Bond
150,000
59,824 THB mil.
23,052
100,000 129,454
50,000
0 -22,494
30,216 -2,793
Thailand
20%
196,463
13.6% 117,144
96,738 21,608 4,919
29,642 -1,598 -7,506 -53,807
-27,157
-50,000
As of May'16
80,737 6,087 -18,866
210
7,991 -30,352
Korea
10%
-5,923 -18,256
9.96% Sep’15
-71,124
Japan
-100,506
-100,000
9.77%
GOVT Bond -11,668 THB mil.
-37,994
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
2015
Mar
Apr
May
2016
Source : PDMO (As of May 27th, 2016)
Source : PDMO (As of May 27th, 2016)
BAHT BOND
71,299 HB Mil.
THE OUTSTANDING BAHT BOND Classified by issuers based on TTM
CLMV
Non-Gov’t
37
8%
%
THB Mil.
Non-Gov’t
(6,500 THB Mil )
26,590 THB Mil.
.
9
%
Government
30000
25Government %
l.
28
(21,590 THB Mil.)
32
%
%
ADB
(23,066)
AFD
MHBK
IFIs , International Credit Rating & CGIF
(6,500 THB Mi )
67
(20,090 THB Mil.)
%
IFIs , International Credit Rating & CGIF
20000
63% 14
KEXIM
%
10000
7
%
(5,234) ADB AFD
0
11
(10,000)
CBA Lao PDR (Gov,t) 2016
9
8
%
%
(6,329.80) Hana
(5,668) CITI
WOORI
HANA
KEXIM
WOORI
Lao PDR (Gov,t) 2017
Lao PDR (Gov,t)
EDL-Gen Lao PDR (Gov,t)
2018
2019
Lao PDR (Gov,t)
(5,701.20)
2020
2
%
EDL-Gen
%
(8,000)
%
KEXIM CABEI
WOORI CABEI
8
(1,500)
Lao PDR (Gov,t)
KEXIM
2021
2022
4
4
(2,800)
(3,000)
KEXIM
EDL-Gen
%
2023
KEXIM
%
2024
Lao PDR (Gov,t)
2025 th
Source : ThaiBMA (As of May 30 , 2016)