Market Convention for Market Convention for

Inflation Linked Bond (ILB)Inflation Linked Bond (ILB)

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Inflation Linked Bond (ILB)Inflation Linked Bond (ILB)

ดร.ธนานันต ศิวโมกษธรรม, CFA, FRM

ผูอํานวยการฝายบริการราคาตราสารหนี้และพัฒนาผลิตภัณฑ

สมาคมตลาดตราสารหนี้ไทย (ThaiBMA)

� ���������� ������� ������� 10 ��

� �������������� ��ก�� 1,000 ��

� #�������$ก��%&����' 1 ���� ($�#��� �ก 6 �$*�

�������� �������� ILBILB�������� �������� ILBILB

� #�������$ก��%&����' 1 ���� ($�#��� �ก 6 �$*�

� ��� %+ก���,���*��� %+ 27 �/01��� 2554 4�',��� 5���� Reference CPI ? ��� %+ก���,��� ��ก�� 110

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• ($���*+���������� ������� �������ก@���$AB�B�5���� %+ 27 �/01��� 2564

• C�B*#'A$����� ������ก��,���D$�D��� ������E�#@������ � ��

C�B*#'A$����� ������ก��,���D$�D��� ������E�#@������ � 1,345.45 ��

• FG+�B���ก��� %+�@���?A$��ก���������������� C��� ��#'A$���#@������ ��*�� ��ก��������������� %+ 1,000 ��

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Reference CPIReference CPIReference CPIReference CPI

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� Unadjusted Gross Price 5�������'R�������������� (Par Value)

� ก�'4,�� � %+�@����@���?#'��E�ก�'4,�� � %+5D,@�����ก���@���?����� ����&�FG+��##'A��� ��ก��#@������ � %+A$���#� �4�'#'���5�

Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB

����� ����&�FG+��##'A��� ��ก��#@������ � %+A$���#� �4�'#'���5����R� Real Cash Flow

� ����� $�$ %+5D#'���5����R� Real Yield to Maturity

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Price

Last payment

(Par+Coupon)

Coupon Bond Pricing

ก��� �!�"�������#��$!%&

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CouponCouponCoupon

tt1 t2 t3 t4t0

Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB

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Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB

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Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB

���������� ������� ������� 10 �� �������������� ��ก�� 1,000 �� #�������$ก��%&����' 1 ���� ($�#��� �ก 6 �$*� ��� %+ก���,���*��� %+ 27 �/01��� 2554

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Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB

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Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB

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CalculationCalculationCalculationCalculation

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Breakeven InflationBreakeven InflationBreakeven InflationBreakeven Inflation

Breakeven Inflation (BEI)

= Gov. Fixed Rate Yield – ILB Yield

Gov

. Fix

ed R

ate

Bon

d

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Inflation Risk Premium

Inflation Expectation

Real Yield

Breakeven Inflation

ILB Yield

Gov

. Fix

ed R

ate

Bon

d

Real Yield ILB QuotationReal Yield ILB QuotationReal Yield ILB QuotationReal Yield ILB Quotation

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Real Yield ILB QuotationReal Yield ILB QuotationReal Yield ILB QuotationReal Yield ILB Quotation

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'(�)*+,%-�(�������!

'(�)*+,%-�(�������! )%.��!%&

1. Purpose

2. Subpurpose

3. Trade Date/ Time

6. Counter Party

7. Bond Symbol

8. Yield/ Price (%)3. Trade Date/ Time

4. Settlement Date

5. Buy/Sell

8. Yield/ Price (%)

9. Volume (Unit)

10. Fin Rate/ Term

Daily ReportDaily ReportDaily ReportDaily Report

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RP Reference & Mark to marketRP Reference & Mark to marketRP Reference & Mark to marketRP Reference & Mark to market

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�� +� Column Index Ratio

RP Reference & Mark to marketRP Reference & Mark to marketRP Reference & Mark to marketRP Reference & Mark to market

Unadjusted Clean Price (%) x Index Ratio

Adjusted Gross Price (%)

+

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Unadjusted AI (%) x Index Ratio

+