17
3 2558 4 (!กก!#$%$&’ : 15 * 2558) **,-!&!$ 3 2558 .*’*$*$ , .*’ก0,!& 1 2 2 3 ก$1’$21 ก$1’$21 3!# (Yield) * (Price) 3!# (Yield) / * (Price) 4 *!ก2 *!ก2

3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

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Page 1: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

���������������� ���������� 3 �� 2558��� �� ��� ����� 4

( !ก������ก!#$� �%$&'�� : 15 ��*� 2558)

*��� *,-! ���&!$�������� ���������� 3 �� 2558

�.*'�*$*��$ , �.*'�ก��0,�!&��1

2

2

3 ก���� $1 �� '�$2�1ก���� $1 �� '�$2�1

3!#�� (Yield) ��*� (Price) ������ ��3!#�� (Yield) / ��*� (Price) ������ ��4

�������� ����* !ก2 �������� ����* !ก2

Page 2: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

3

& ��&!$�������� ����� & ��&!$�������� ����� (( �,-!<1=��>�=�ก�!�*$*��$ �,-!<1=��>�=�ก�!�*$*��$) ) 1#�&?� !�'�$'! ,-!$ 1#�&?� !�'�$'! ,-!$

4

> �1� ����� 3 �� 2558 �!�*$*��$&!$�������� �����!�.'��- 9.88 �� �� #�� <1-�&?� 6.35% �,-! ���#กD#�1� ����-���

Page 3: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

�.*'�ก��0,�!&����D#D� <1-�&?� �.*'�ก��0,�!&����D#D� <1-�&?�

5

� �.*'�ก��0,�!&�������� ��� ���!$ E�-��D � 82,286 �� #�� <1-�&?� 7% ���#กD#�1� ����-���� ก�'� 77% �G ก��0,�!&�������� ����*�DH (<D I#D��DH#� ��<D I#D� I��.)

��� �� Dก$�� ��-��� �� Dก$�� ��-%,!*�!$%,!*�!$<D I#D��DH#�<D I#D��DH#�

Government Bond Holder

6

• Dก$�� �%�#D ��#�#���J�*DK� ��<D I#D��DH#�• Dก$�� '�$2�1%,!*�!$<D I#D��DH#��$

Page 4: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

��� �� Dก$�� ��-��� �� Dก$�� ��-0,�!&��0,�!&��� <D I#D��DH#�� <D I#D��DH#�

Government Bond Trading

7

• Dก$�� �%�#D �� Dก$�� ��. ��#�#���J�*DK� ��<D I#D��DH#�• &>���- Dก$�� ����'!���'��#�#��� ก��0,�!&��<D I#D��DH#�

��� �� Dก$�� ��-��� �� Dก$�� ��-%,!*�!$%,!*�!$������ ����* !ก2 ������������� ����* !ก2 �������

Corporate Bond Holder

8

� Dก$�� ����'!�%,!*�!$������ �� !ก2 ก�'�*�?-$� Dก$�� ��. $�� � ������ �� !ก2 �!���ก

Page 5: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

��� �� Dก$�� ��-��� �� Dก$�� ��-0,�!&��0,�!&�������� ����* !ก2 ������������� ����* !ก2 �������

Corporate Bond Trading

9

� Dก$�� �%�#D �G 3.�0,�!&���Dก� ������ �� !ก2 � �!$$��*,! Dก$�� ����'!�

Page 6: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

Outstanding &!$������ ����* !ก2 (�#'$�� TTM)(��������� ������ ก�� ThaiBMA)

ST

LT

11

�.*'�*$*��$&!$������ ����* !ก2 > �1� �,! กD ��� 2558 �'�กD# 2.45 �� �� #�� <1-�&?� 244,721.56 �� #�� (10.86%) =�ก�1� �� 2557

�.*'�ก��0,�!&�������� ����* !ก2 �����D� � �� 2006 V ก.�. 2015

221,805

227,889

12

������ก���� ��������������ก��������������� ���������������� 6,081 �#��$�% &�ก����'(%��)�#* ��+�',� 2.74%

Page 7: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

�.*'�ก��0,�!&�������� ����* !ก2 �������� �� 1999 V ก.�. 2015

13

������ก���� ������������������*����� ���������������� 11,852 �#��$�% &�ก����'(%��)�#* ��+�',� 3.2%

TH

B m

ln

�.*'�ก��!!ก������ �������D� 9 �,! ��ก �� 2558(&?� �� #�� )

729,803 820,493

770,962

651,710

951,860 894,444

400,000

500,000

600,000

700,000

800,000

900,000

14

TH

B

������ก����ก������������������ 9 �+��)�ก'( 2015 �+��&�ก��*��*���+��*ก�� ��'(ก�����#� &5��*� 255,467.30 �#��$�% (�+�� 28.56%)

491,263

729,803

402,167 487,480

651,710 638,976

-

100,000

200,000

300,000

9M-2006 9M-2007 9M-2008 9M-2009 9M-2010 9M-2011 9M-2012 9M-2013 9M-2014 9M-2015

Page 8: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

420,922

311,312

200,000

250,000

300,000

350,000

400,000

450,000

TH

B m

ln.

9 เดือนแรก ป 2014 9 เดือนแรก ป 2015

�.*'�ก��!!ก������ ����* !ก2 �����D� 5 !D �D#��ก��ก��ก�'�I��ก1=

15

311,312

74,303 28,885 28,240

-

50,000

100,000

150,000

BANK FIN PROP FOOD ENERG

219,317

141,874

85,660 45,920 44,626

BANK FIN PROP FOOD ENERG

� ����I��ก1=��- � !&�������� ����* !ก2 �����D� �.$��� 5 !D �D# ����ก' ����I��ก1=I �*�� $1 �� ���Dก��D<�W <DX �!�D$���1���D<�W !������ *�,-!$�,-� ������<D$$� ����I��>.���* � ����I��ก1=!������ *�,-!$�,-� (FOOD) ������<D$$� ����I��>.���* (ENERG) <1-�&?� � !D���.$��-��� (58%)� ก�� � !&���'� ��K'ก��=�กD�!�.'� ก�'�3.�$�� �%�#D ����,!3.�$�� �����K' (II/HNW)

253260

122 119

293309

150

200

250

300

350

จํานวน Newcomer ท่ีออก ST

Non-registered

Registered

497

258

400

662

300

400

500

600

700

จํานวนบริษัทท่ีออก ST

จํานวนบริษัทท่ีออก NR

จํานวนบริษัทท่ีออก REG

=J� � #�1cD���-!!ก������ �� !ก2 �����D� 9 �,! ��ก �� 2558

16

4712

6 7 6 6 5 17 40 49

2343

19 9

56

116

64

1027055

25 16

62 69

119

0

50

100

47 56 50 48 52 57 56 77 11616569 66 55 60 74

117 131181

284

116 122 105 108 126174 187

0

100

200

Registration Type 9M-2014 9M-2015 การเปล่ียนแปลง

Registered No. of Issuer 116 165 +49

No. of Newcomer 40 49 +9

Non-registered No. of Issuer 284 497 +213

No. of Newcomer 253 260 +7

Page 9: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

!��� E�-�&!$������ �������D� ��* !ก2 (�#'$�� TTM)

17

!��� E�-�&!$������ �������D� ��* !ก2 ��� �� �����&?� D#=�ก����-���

�.*'�ก��!!ก������ �� !ก2 ������� 9 �,! ��ก�� 2558

TH

B m

ln.

313,853

386,094

308,298

437,811 428,231

1,890

7,435

12,389

17,768

27,661

8,997

150,000

200,000

250,000

300,000

350,000

400,000

450,000

500,000 Non-registered

Registered

120,983

166,497

214,499

178,990

398,483

326,066

465,472437,228

178,094

313,853

18

164,607 120,983

178,094

313,853

207,064 178,990

308,298

-

50,000

100,000

150,000 120,983

������ก����ก����������������* 9 �+��)�ก '( 2558 �+��&�ก��*��*���+��*ก�� ��'(ก�����#� &5��*� 28,245 �#��$�% ��+�',�ก���+�� 6%

Page 10: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

�.*'�ก��!!ก������ ����* !ก2 ������� 5 !D �D#��ก��ก��ก�'�I��ก1=

TH

B m

ln. 87,450

76,618

58,593 57,555

87,450

77,238 74,806 66,538

46,009 60,000

80,000

100,000

120,000

มูลคาการออก 9 เดือนแรก ป 2014

Registered

Non-registered

78,412 74,355

52,255 48,518

37,950

มูลคาการออก 9 เดือนแรก ป 2015

Registered

Non-registered

19

58,593 57,555

44,445

- 620

16,213 8,983

1,564 -

20,000

40,000

COMM ENERG PROP BANK FIN

77,985 69,000

52,255 48,118 37,950

427 5,355

- 400 -

37,950

PROP BANK CONMAT FOOD ICT

��*+89�ก�&%������ ��������������ก��������* ����9+ 5 ���+�$)�ก :�'( 2015 �'�����)'��;'&�ก'( 2014

=J� � #�1cD���-!!ก������ ��������� 9 �,! ��ก �� 2015

109- 4 -

6

9 13

18

35 34 43

53 44

64 75

86

127

50

70

90

110

130

จํานวนบริษัทท่ีออก LT

Non-registered

Registered

306

8

10

11

18

25

40

15

20

25

30

35

40

45

จํานวน Newcomer ท่ีออก LT

Non-registered

Registered

20

2835 34 43 49 44

58 66 731

- -- 4 -29

35 34

-10

10

30

50

7 71

5 8 5 512

17

30

1 -

--

3 - 3

6 8 7

15

11

58

0

5

10

15

Registration Type 9M-2014 9M-2015 การเปล่ียนแปลง

RegisteredNo. of Issuer 73 109 +36No. of Newcomer 17 30 +13

Non-registeredNo. of Issuer 13 18 +5No. of Newcomer 8 10 +2

Page 11: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

!��� E�-�&!$������ �����������* !ก2 (�#'$�� TTM)

21

!��� E�-�&!$������ �����������* !ก2 �$=�ก����-���

�.*'�ก��!!ก������ ����������#'$�� Rating( E<����-&?� �� #�� กD# ThaiBMA)

Jan-Jun2015 7.0 5.9 66.8 13.2 7.1

�.*'�ก��!!ก������ ����������'� ��K'!�.'� Rating A (�'�D��'� �$ 1.6%�� 8.9%) ���$��� �g %?$ Demand �D$*$!�.'��-��� ก.�� ก�'� Rating A

Page 12: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

=J� � #�1cD���-!!ก������ ����������#'$�� Rating( E<����-&?� �� #�� กD# ThaiBMA)

Jan-Jun 2015 4.9 7.4 33.3 32.1 22.2

��=J� � #�1cD���-!!ก������ ����� �� Non-Rated <1-�&?� (9.3%) �'� ��K' �G #�1cD�& ��ก�$��- �1-� &�����2��������� �� �G 2'!$��$ก�������� !�'�$��กg���D$���.*'�ก��!!ก� �'���' ��'�.$��ก Dก

24

Page 13: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

$1 $�� '�$2�1� �������� ������$ (Outflow)

��� - 104,421 �� #��

���ก!#������

9 �,! ��ก �� 2558

25

- Outflow � ������ �������D� - 68,885 �� #�� (=�กก��&�����I1 11,526 �� #��

��ก�����!���&!$������ ����-%,!*�!$ 57,359 �� #��)

- Outflow � ������ ��������� - 35,535 �� #��

���ก!#������

ก��%,!*�!$������ ��&!$ Dก$�� '�$2�1ก��%,!*�!$������ ��&!$ Dก$�� '�$2�1� ���: ��� ���

PeriodShort-Term (TTM <= 1Y)

Long-Term (TTM > 1Y) Total

Net FlowNet Trade Expired ST-Net Flow Net Trade

2014 132,413 -224,871 -92,458 69,154 -23,304

Q1/ 2015 9,508 -16,749 -7,242 -64 -7,178

Q2/ 2015 -11,812 -25,958 -37,770 -14,572 -52,342

26

26

9 �,! ��ก ก��%,!*�!$&!$ Dก$�� '�$2�1� ������ ���$ 104,421 �� #�� ���ก�'�*�?-$ �G ก���$� ������ �������D� ��-*�#กJ�� �!��� 57,359 �� #��

Q2/ 2015 -11,812 -25,958 -37,770 -14,572 -52,342

Q3/ 2015 -9,222 -14,652 -23,874 -21,027 -44,901

First 9 months -11,526 -57,359 -68,885 -35,535 -104,421

1-12 Oct 2015 41,183 0 41,183 11,000 52,182

Year-to-Date 29,657 -57,359 -27,702 -24,535 -52,239

12 �D ��ก&!$ �,! ก��%,!*�!$&!$ Dก$�� '�$2�1� ������ �� <1-�&?� 52,182 �� #�� ����'� ��K' �G ก�� <1-�&?� � ������ �������D� =J� � 41,183 �� #��

Page 14: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

Dก$�� '�$2�1%,!*�!$<D I#D��DH#��� I�� Dก$�� '�$2�1%,!*�!$<D I#D��DH#��� I��..�$ gก �!��$ gก �!�

GOVT LT

BOT ST

BOT LT

GOV ST

27

�,! ��*� Dก$�� '�$2�1 <1-�ก��%,!*�!$<D I#D��DH#� �� I��. &?� gก �!�

Dก$�� '�$2�1%,!*�!$<D I#D� Dก$�� '�$2�1%,!*�!$<D I#D� I��I��.. <1-�&?� <1-�&?�

BOT ST

BOT LT

GOV ST

28

�,! ��*� Dก$�� '�$2�1 <1-�ก��%,!*�!$<D I#D�I��.�����D� 37,697 �� #��

Page 15: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

29

�� !D��3!#�� <D I#D��DH#� �� !D��3!#�� <D I#D��DH#�

30

Page 16: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

*���2D &!$ *���2D &!$ Yield Yield Curve Curve <1-�&?� <1-�&?�

m�cHก1=�ก������ ��� �m���DKK�>� �� ����-��&?� • mก.���*�?-$����ก&���D� 2.9%• $1 no! �1-�1�# �!�$• mก. ����D$��$D� mก. ! ��1ก� npq D�2D� = &?�

o GDP ไตรมาส 2 ขยายตัวสูงo ดัชนีความเช่ือมั่นผู�บริโภคเดือน ก.ย. อยู#ในระดับสูงสุดนับตั้งแต#ต�นป* 15

������D� '�=���$D����1m��$�#. ��#��� � &>���- Yield ���������*���3D 3� ��

*���2D &!$ �� !D��3!#�� <1-�&?� gก �!�

31

นับตั้งแต#ต�นป* 15o อัตราการว#างงานเดือน ก.ย. ต่ําลง

mก. EU npq D�'! ,-!$ o GDP ไตรมาส 2 ขยายตัวดีกว#าคาดo ความเช่ือมั่นผู�บริโภคยังคงเพ่ิมข้ึนo �%� ก��>Wก�� $1 &!$ก��0�� �%�����<��ก&?�

mก. =� �D$2�!D�o ก��&���D���$ m�cHก1=����� 1 �� 2 �� �o�����o ก��#�1��* �,! ก.�. &���D��.$&?� o ก��31��*!����ก��� �,! ก.�. 2�!D�$

� &>���- Yield ���������*���3D 3� ���!ก����D# <1-�&?� gก �!� =�ก� �� ���#. ��#�����DHs ���1m��$mก.���DHs ��ก�'���� �m�������-npq D� � &>���-��*���กD$�'!mก. =�

Bond Swap SpreadBond Swap Spread 3D 3� �����D��.$&?� 3D 3� �����D��.$&?�

5Y

2Y

0

10

20

30

40

Sp

rea

d (

bp

.)

Bond Swap Spread: Swap over Gov Bond Yield

32

10Y

(40)

(30)

(20)

(10)

0

05-Jan-15

09-Jan-15

15-Jan-15

21-Jan-15

27-Jan-15

02-Feb-15

06-Feb-15

12-Feb-15

18-Feb-15

24-Feb-15

02-M

ar-15

09-M

ar-15

13-M

ar-15

19-M

ar-15

25-M

ar-15

31-M

ar-15

07-Apr-15

16-Apr-15

22-Apr-15

28-Apr-15

07-M

ay-15

13-M

ay-15

19-M

ay-15

25-M

ay-15

29-M

ay-15

05-Jun-15

11-Jun-15

17-Jun-15

23-Jun-15

29-Jun-15

06-Jul-15

10-Jul-15

16-Jul-15

22-Jul-15

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Page 17: 3 2558 ˆˆ ˙ ˝ ˛ 4 · 2015. 12. 17. · BOT ST BOT LT GOV ST ... TH-US 2-Yr Gov’t bond yield as of 5 Oct 15 TH 2-Yr US 2-Yr TH-US 10-Yr Gov’t bond yield as of 5 Oct 15 TH

as of 5 Oct 15TH-US 2-Yr Gov’t bond yield

TH 2-Yr

US 2-Yr

TH-US 10-Yr Gov’t bond yield as of 5 Oct 15

TH 10-Yr

US 10-Yr

Yield Curve Yield Curve &!$<D I#D��DH#������*���2D <1-�&?� &!$<D I#D��DH#������*���2D <1-�&?�

Average Spread 0.96

Average Spread 1.64 1.46

Spread US

as of 5 Oct 15

34

*���2D &!$ yield curve (�'� '�$&!$ Yield 2 �� �� 10 ��) &!$<D I#D��DH#���������DHs �1-�&�D# &���ก�กD ��ก&?� !�'�$��� �g�D�$�'2'�$ �,! �.�. �D$=�กก����D#�!D���!ก #��� ��#��&!$ ก $. �,-!2'�$� ��

1.15

Average Spread 0.96

Spread TH