THAI BOND MARKET WEEKLY REPORT Public Debt Management Office, Ministry of Finance, Kindom of Thailand Contact : Bond Market Development Bureau (02-271-7999)
HighLights
วันที่ 23 สิงหาคม 2559 พันธบัตรรัฐบาลปรับตัวลงตามราคาน้้ามัน ก่อนมีการประชุมประจ้าปีของธนาคารกลางสหรัฐ (FED) ในวันที่ 25-26 สิงหาคม 2559 นักลงทุนจับตามองการประชุมครั้งนี้ โดยมีนางเจเน็ต เยลเลน ประธานธนาคารกลางสหรัฐ แสดงมุมมองเกี่ยวกับเศรษฐกิจสหรัฐ ในหัวข้อ “เครื่องมือด้านนโยบายการเงินของเฟด” ซึ่งอาจส่งสัญญานเกี่ยวกับการปรับ ขึ้นอัตราดอกเบี้ย
Inflation Rate
MACRO DATA
Inflation Rate Core Inflation Nominal Inflation Forecast
Policy Rate
YoY(%)
MoM(%)
2013 2014 2015
Avg. Selling Rate (THB)
Thai Policy Interest Rate YTD
34.9467 46.8413 39.1482 33.9489 5.2664
USD GBP EUR JPY CNY
2.90 0.70 2.80
SET NIKKEI DJIA S&P500 DAX HSI FTSE100
GDP Forecast 2016
1.50%
-3.3% -12.0% -0.3% 12.8% -4.9%
Next Meeting:
3.10 3.50 3.30
BOT NESDB FPO
14-Sep-2559
Change(Wk) -56.89 676.92 43.55 7.45 156.23 740.01 55.06
1,492.52 17,037.63 18,491.96 2,179.92 10,672.22 23,649.55 6,879.42 OIL (USD/Barrel)
BRENT WTI
Last Update : 11-Aug-2016
-2.00 -2.72
47.63 44.44 PRECIOUS METALS (USD)
GOLD SILVER
As of September 5, 2016
Source : BOT
EQUITIES Index
Name
Source : NESDB
Major World Currencies
180.20
Source : BOT As of Aug 2016
YoY(%)
0.50% 0.25% 0.00% -0.10%
Source : MOC As of July 2016
Currency
INT'L RESERVE THAI (b.USD)
GDP Growth
American Interest Rate (Fed) British Interest Rate (BoE) European Interest Rate (ECB) Japanese Interest Rate (BoJ)
0.10 -0.35 0.76 0.06 0.00 - 1.00
September 5, 2016
-7.60 0.58
1,326.70 19.366 As of Sep 5th , 2016
Source : Bloomberg
PUBLIC DEBT DATA GOVT Debt Securities
Public Debt Debt to GDP =
42.83%
Other Non- profit Mutual Funds 1% organization 2% 1% Household 3%
5,924,055.53 THB Mil. Chg. from Dec-15
%
(THB Mil.)
(THB Mil.)
3,403,355.89 3,310,838.57 92,517.32
57% 56% 2%
-38,509.54 -39,471.05 961.51
FIDF
969,932.25
16%
-3,222.34
SOE -G - NG
1,021,940.40 421,963.18 599,977.22
17% 7% 10%
-6,831.42 3,422.33 -10,253.75
GOVT - Domestic - Foreign
SFIs
517,517.92
8%
-4,096.12
11,309.07
1%
-638.38
100%
-53,297.80
Others
5,924,055.53
Total
Financial Institution 4%
10
7
120%
101%
NR 14%
6 5
Insurance Company 28%
3 2
ATM
75%
20% 12%
Corp Bond 24%
822,866 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 Mar-16 Apr-16 May-16 Jun-16
0%
Asian Fin. Crisis
Bank Loan /GDP
Equity/GDP
Bond Market / GDP
MW Duration
Nominal Cost of Debt Source : PDMO as of May 2016
Spread over T-1 Date
Tenor (Year)
Symbol
15 5 20 50 10 30 5 20 15 10 30 20 50 5
LB296A LB206A LB366A LB666A LB25DA LB446A LB226A LB366A LB316A LB26DA LB466A LB366A LB666A LB226A
Auction Amount (THB Mil.)
Total Allocated CB+NCB (THB Mil.)
Allocated CB (THB Mil.)
greenshoe
NCB (THB Mil.)
4,000.00 -
200 750 2,000 420 100 100 450 300 370
BCR
AAY (%)
Spread (bps)
1.78 3.32 1.50 2.24 1.15 1.87 2.47 1.02 1.17 1.78 0.74
2.2793 1.7095 2.6067 3.0227 1.8708 2.6417 1.7272 2.4842 2.4768 2.0910 2.8089
BOT Bond 29%
8-Jun-16 15-Jun-16 15-Jun-16 22-Jun-16 29-Jun-16 6-Jul-16 13-Jul-16 20-Jul-16 27-Jul-16 10-Aug-16 24-Aug-16 31-Aug-16 14-Sep-16 21-Sep-16
10,000 24,000 10,000 10,000 20,000 10,000 30,000 10,000 16,000 15,000 11,000
9,800 20,000 9,250 8,000 15,580 9,900 29,900 10,000 15,550 14,700 7,860
10,000 20,000 10,000 10,000 20,000 10,000 30,000 10,000 16,000 15,000 8,230
-5.82 -1.18 2.90 -17.71 -3.17 -6.12 1.85 6.98 4.66 -1.51 11.20
2,993,171 THB Mil.
-8.75 -2.75 -1.33 -0.83 -3.77 7.23 -20.18 -16.18 -8.25 -0.25 -12.29 -2.29 1.31 2.63 3.36 9.06 0.68 6.981 -3.21 -0.71 3.81 27.31
BOT vs GOVT Bond
11%
≤1
Max. (bps)
Source : ThaiBMA
Maturity Profile
79%
Min. (bps)
Baht Bond 1%
24%
40%
ATR
GOVT Bond Auction Schedule Q3/FY2016
99% 60%
3.89
Source : BOT as of June 2016
100% 80%
6.50
4
Domestic Bond Market Classified by Issuer
128%
9.22
8
Contractual Funds 27%
Bond Market Cap. Size 10,537,626 THB Mil. 140%
9.70
9
Bot 6%
Depository Corporation 14%
Source : PDMO as of June 2016
% Share of GDP
ATM, ATR, Duration, Nominal Cost of Debt Government Debt Portfolio
Year / %
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 Apr-16 May-16
Oustanding Debt
GOVT Debt Portfolio
Classified by Type of Investors
Govt Bond 38% 18%
21%
11%
1<yr≤3
3<yr≤5
25% 5<yr≤10
35%
Top 5 Most Active GOVT Bond No.
Symbol
TTM.
Outstanding Value (THB Mil.)
1 2 3 4 5
LB206A LB196A LB21DA LB176A LB25DA
3.81 2.77 5.28 0.81 9.27
177,118 301,994 306,104 218,683 193,854
4,025,147 THB Mil.
10<yr≤50
Source : ThaiBMA as of Sep 5th, 2016
Total Trading Value (THB Mil.)
626,965 602,080 591,676 504,239 425,020
% of
Total Trading value
T/O (เท่า)
16.10% 15.46% 15.19% 12.95% 10.91%
3.54 1.99 1.93 2.31 2.19
Source : ThaiBMA (As of Sep 5th ,2016 )
GOVT Yield Curve Movement MPC
5%
3 yr
5 yr
10 yr
20 yr
4% 3% 2%
MPC 1%
1.5%
50 yr
3.25% 50-yr 2.71% 20-yr 2.27% 10-yr 1.84% 5-yr 1.65% 3-yr
Source : ThaiBMA (As of Sep 5th ,2016 )