29 Vanissa Building, 21 st Floor, Soi Chidlom, Ploenchit Rd., Bangkok 10330 http://www.thaibma.or.th Tel : +66(0) 2252-3336 Fax : +66(0) 2252-2763 Outright trading value decreased. Government bonds with 2 to 10-year tenor were popularly traded. Top ten active dealers changed. Yield curve was more flat. Credit spread declined at some tenors. Government bond index decreased. Both D2D and D2C transactions volume decreased. Research & Development ext.211, 216, The information and opinions in this report are those of The Thai Bond Market Association research activity. ThaiBMA does not make any representation or warranty, express or imply, as to the fairness, accuracy, or completeness. While all reasonable care has no representation as to its accuracy or completeness and it should not be relied upon as such, ThaiBMA accepts no liability whatsoever for any loss arising from use of this report or its contents. This report is being supplied solely for informational purposes and may not be reproduced, distributed or published by recipient for any purpose.
Bond Trading Activities Monthly Trading Movement ThaiBMA Trading Value by Type of Bond Top 5 Most Active Traded Bonds Thai BMA Monthly Summary -1-
Market Participants Composition of Market Participation by Trading Value Composition of Dealer to Client Transactions Composition of Dealer to Client Transactions Top Ten Active Dealers Remark : 1) "NDL" are local financial institutions that do not have Dealer Licenses (Securities or debt securities trading license) 2) "Others" includes Social Security Funds, Government Pension Fund, Bank of Thailand, co-operative and etc. THB mil Thai BMA Monthly Summary -2-
Yield Curve and Spread Movement Thai BMA Government Bond Yield Curve & Interpolation Government Bond Yield & Trading Value Average Yield ThaiBMA Average Government Bond Yield (%) Thai BMA Government Bond Index Bond Indices and Return Thai BMA Monthly Summary -3-
Thai BMA Investment Grade Corporate Bond Index Corporate Debt Securities Yield Movement Spread over Government Bond Yield Corporate Yield over Government Yield Curve Remark : Issue ratings by TRIS and FITCH and Non rating (NR) are shown in the bracket. Yield on Corporate Bonds with rating of AAA Spread on Corporate Bonds with rating of AAA Thai BMA Monthly Summary -4-
Feature of Investment Grade Corporate Bond Thai BMA Monthly Summary -5-
Thai BMA Monthly Summary -6-
Remark : In case of no trading transactions during the month, yields quoted by active dealers will be used for calculation of duration and convexity when there is no executed yield/ price. Investment Grade Top 5 Winners (Yields) Investment Grade Top 5 Winners (Spread) Remark : In case of no trading transactions during the month, yield quoted by active dealers will be used to calculate duration, convexity, yield change and spread. Thai BMA Monthly Summary -7-
Yield and Spread Movement Remark : Interpolated yields are calculated from the latest quoted yields by at least 3 active dealers and only corporate bonds with no embedded options are included. Corporate Bonds Trading Value by sectors Corporate Bonds Trading Value by rating Thai BMA Monthly Summary -8-
Outstanding of ThaiBMA Registered Bonds Outstanding Value by Type-of-Issuers Outstanding Value by Time-to-Maturity Outstanding by time to maturity THB bln Corporate Bond Outstanding Value by sector Corporate Bond Outstanding Value by rating B- rated 9% Nonrated 8% Corporate Bond Outstanding Value by coupon type Float rate 1% A- rated 83% Fixed rate 99% Thai BMA Monthly Summary - 9 -
New Registered Bonds New Registered Bonds (during Dec-10 to May- 11) New Bond Auction in Jun-11 /p /p is preliminary information received at the end of Calendar for Auction and Redemption in Jun11 /p Note : LR refers to the last registered date. Thai BMA Monthly Summary - 10 -
In June 2011, the number of new government debt securities will be valued of THB 498.48 bln. The Government Bonds have been totally worth THB 48.5 bln, Bank of Thailand bonds worth totally THB 447 bln, State Owned Enterprise Bonds worth totally THB 2.98 bln, while the Treasury Bills have not been announced auction in this month. The amount of Long-term corporate bonds issued in this month is expected to reach THB 4,650 million, consisting of; Kiatnakin Bank Plc. (KK) issues 7-year debentures with the issue size of THB 650 million. This debentures have been determined the coupon rate 4.62% per annum. Asian Property Development Plc. (AP) issues 4-year debentures with the issue size of 500 million. These debentures are paid with fixed coupon rate at 4.65% per annum which paid by quarterly. Italian-Thai Development Plc. (ITD) issue 5-year debentures with issue size of 3,500 million. The coupon rate is 6.72% per annum which paid by quarterly. And these debentures will be distributed to public offering. Meanwhile the commercial papers are planned to be issued by many banks and companies but none of them has announced the exact issued date and amount yet. Thus, the amount of debentures registered with ThaiBMA in June 2011 possibly decreases by THB 270.29 bln. By expecting, the registered values of T- bills, Government Bonds, BOT bonds and SOE bonds will decrease by THB 5 bln, THB 40 bln, THB 220.95 bln, and THB 2.38 bln, respectively. The amount of long-term corporate bonds and foreign bonds are also expected to decrease by THB 4.77 bln. and 7.07 bln. respectively. In contrast, the amount of commercial papers is expected to increase by THB 9.87 bln. Thai BMA Monthly Summary - 11 -
Thai Bond Market in Economic overview Inflationary pressure was still a major risk factor for Thai economy. Headline inflation in May was 4.19% y-o-y, increasing by 0.15% from April and recording the highest rate since September 2008. In addition, political campaign about promising of robust minimum wage increase would cause entrepreneurs to face higher production cost of which could emphasize the risk of higher inflationary pressure. Moreover, another factor to push higher inflationary pressure was the concerning about sovereign debt crisis in eurozone as the probability of Greece default has surged. The weak economies would make a greater challenge for ECB to increase its policy rate by another 0.25% to 1.50% in July. Though oil price in the global market declined this month, it still had a chance to swing in high volatility. Market consensus agreed that the average clued oil price would above USD100/barrel. As a result energy cost would increase continuously and finally, it would mark up people s cost of living Thai Bond Market Highlight More demanding in long term bonds was observed in Thai bond market this month. Bahtdenominated bond yield curve was more flat than last month. Investors sold mostly on short term bond and bough more on long term bonds. Yields of short term government bond with 1-month to 5-year tenor remarkably increased 11 to 16 bps in line with inflationary pressure and policy rate hike expectation. Yields of bond with 6- to 12-year maturity increased 1 to 8 bps, affecting from investors selling. Meanwhile, yields of bonds with 13 to 50-year tenor dropped 2-14 bps due to higher demand. The 20-year tenor bond (LB316A) was the most demanding bond in secondary market, following by 18-year tenor bond (LB296A) recording by declining in yields up to 9 and 5 bps respectively. In contrast, S-T bonds with 6-month and 1-year (LB11NA and LB12NA) were the bonds that got most increasing in yield. Their yields increase up to 15 to 19 bps in the secondary market. Total Return index ended at 203.34 points, increasing 13 bps from last month. L-T bond with 30-year tenor (LB416A) was the most demanding in primary market. Its Bid- Coverage-Ratio was 3.81 times of its actual supply amount at THB 5.0 bil, remarkably higher from 1.75 times of the same supply amount in February. Meanwhile, the BCR of bond with 10-year tenor (LB21DA) was 3.46 times of its supply amount at THB 10.0 bil, less demand than 3.97 times of its supply amount at THB 7.0 bil in last auction. Trading value of corporate debentures sharply increased up to 51.72% from last month. Market traded corporate bond with various tenors from short term bond with 0.3 to long term bond with 10-year maturity. Top three most active bonds were LH119A(A), PTTC222A(-) and MPSC185A(A+) which captured up to 23.66% of total corporate bond trading in secondary market. The MOF planed to sell inflation Linked Bond (ILB) worth about THB 40.0 bil with 10-year tenor in July. The ILB could be a mechanism for policy maker to monitor inflation level and it could help a variety of product creation in bond market. Thai BMA Monthly Summary - 12 -
NEWS New Bond Issuance May 30,2011 May 20,2011 May 19,2011 May 13,2011 May 10,2011 May 06,2011 TRIS Rating affirms the company and issue ratings of AYCAL. TRIS Rating affirms the company and issue ratings of Ayudhya Capital Auto Lease PLC (AYCAL) at "A+", and also assigns the rating to AYCAL's proposed issue of up to Bt3,000 million in senior debentures at "A+". The debentures of AYCAL that have been confirm consist of AYCAL12OA, AYCAL132A, AYCAL13OA and AYCAL145A. (Source: TRIS Rating) TRIS Rating affirms the company and issue ratings of GLOW. TRIS Rating affirms the company and issue ratings of Glow Energy PLC (GLOW) at "A". The debentures that have been affirmed consist of GLOW12DA, GLOW156A, GLOW173A, GLOW175A, GLOW17OA, GLOW186A, GLOW194A and GLOW19OA. The ratings reflect the company's proven track record in the power generating industry in Thailand, reliable cash flow from longterm Power Purchase Agreements (PPA) with the Electricity Generating Authority of Thailand (EGAT), and long-term contracts with a diverse group of industrial customers. (Source: TRIS Rating) TRIS Rating upgrades the company and issue ratings of CPF. TRIS Rating upgrades the company and issue ratings of Charoen Pokphand Foods PLC (CPF) to "AA-" from "A+". The debentures that have been upgraded consist of CPF117A, CPF118A, CPF12OA, CPF138A, CPF13NA, CPF14NA, CPF14NB, CPF15NA and CPF17NA. The upgrades reflect the company's successful strategic shift towards branded food products, its overseas expansion efforts and its strengthened operating performance, as proven by growth in sales and net profit during the past three years. (Source: TRIS Rating) TRIS Rating assigns the company and issue rating of TISCO Bank PLC. TRIS Rating assigns the company rating of TISCO Bank PLC (TISCOB), a 99.98% owned subsidiary of TISCO Financial Group PLC (TISCO), at A and also assigns the ratings of TISCOB s senior debentures (TSCO125A) at "A" and subordinated debentures (TISCO192A, TISCO195A, TISCO205A and TISCO20DA) at "A". (Source: TRIS Rating) TRIS Rating affirms the company and current issue ratings of TICON. TRIS Rating affirms the company and current issue ratings of TICON Industrial Connection PLC (TICON) at "A". The debentures of TICON that have been affirmed consist of TICON115A, TICON118A and TICON128A. At the same time, TRIS Rating assigns a rating of "A" to TICON's proposed issue of up to Bt1,000 million in senior debentures. The new issue rating replaces the "A" rating previously assigned by TRIS Rating on 30 March 2011 for the issue of up to Bt500 million in senior debentures due within 2018 as TICON has decided to increase the issue size by Bt500 million. (Source: TRIS Rating) TRIS downgrades the company and current issue ratings of ITD. TRIS Rating downgrades the company and current issue ratings of Italian-Thai Development PLC (ITD) (ITD139A, - 13 - Thai BMA Monthly Summary
May 04,2011 ITD146A and ITD159A) to "BBB" from "BBB+". At the same time, TRIS Rating assigns the rating of "BBB" to ITD's proposed issue of up to Bt3,500 million in senior debentures. (Source: TRIS Rating) TRIS Rating affirms the company and issue rating of ADVANC. TRIS Rating affirms the company rating of Advanced Info Service PLC (ADVANC) and the ratings of ADVANC's senior debentures at "AA". The debentures of ADVANC that have been affirmed consist of AIS119A, AIS127A, AIS134A, AIS139A and AIS141A. The ratings are based on ADVANC's leading market position in the Thai cellular market, its extensive subscriber base, and strong brand equity. (Source: TRIS Rating) Interest Rate Announcement May 30,2011 STN of DBSVT will be registered on May 31, 2011 The Structure Note (STN) issued by DBS Vickers Securities (Thailand) Co.,Ltd will be registered with ThaiBMA on May 31, 2011, consisting of DBSVT11706A is Structure Note, worth of THB 5.81 mln. The issue date is on May 31, 2011 and the maturity date is on July 6, 2011.DBSVT11706B is Structure Note, worth of THB 3.50 mln.the issue date is on May 31, 2011 and the maturity date is on July 6, 2011. DBSVT is mandated as registrar. May 30,2011 BE of TK to be registered on May 30, 2011 The Bill of Exchange (BE) issued by Thitikorn Plc. to be registered with ThaiBMA on May 30, 2011; consisting of; TK11630A is 31-day BE, worth of THB 110 mln. The issue date is on May 30, 2011 and the maturity date is on June 30, 2011. May 30,2011 PN of BBTM to be registered on May 30, 2011 The Promissory Note (PN) issued by Bangkok BBTM Limited to be registered with ThaiBMA on May 30, 2011 consisting of BBTM115301 is promissory Note, worth of THB 232 mln. The issue date is on May 30, 2011. May 30,2011 BE of TISCOG to be registered on May 30, 2011 The Bill of Exchange (BE) issued by TISCO Financial Group Plc. to be registered with ThaiBMA on May 30, 2011, consisting of TISCOG11825B is 90-day BE, worth of THB 559.90 mln. The issue date is on May 27, 2011 and the maturity date is on August 25, 2011. May 27,2011 S-T debentures of DBBK to be registered on May 27,2011 The short-term debentures issued by Deutsche Bank AG to be registered with ThaiBMA on May 27, 2011, consisting of DBBK11627A is 31-day short-term debentures, worth of THB 1,500 mln. The issue date is on May 27, 2011 and the maturity date is on June 27, 2011. DBBK11624B is 28-day short-term debentures, worth of THB 225 mln. The issue date is on May 27, 2011 and the maturity date is on June 24, 2011. DBBK is mandated as registrar. May 27,2011 BE of KTC will be registered on May 30, 2011. The Bill of Exchange (BE) issued by Krungthai Card Plc. will be registered with ThaiBMA on May 30, 2011,consisting of KTC11630C is 31-day BE, worth of THB 50 mln. The issue date is on May 30, 2011 and the maturity date is on June 30, 2011. May 27,2011 BE of TISCOG to be registered on May 27, 2011 The Bill of Exchange (BE) issued by TISCO Financial Group Plc. to be registered with ThaiBMA on May 27, 2011, consisting of Thai BMA Monthly Summary - 14 -
TISCOG11826A is 92-day BE, worth of THB 112.04 mln. The issue date is on May 26, 2011 and the maturity date is on August 26, 2011. May 27,2011 BE of QH will be registered on May 30, 2011 The Bill of Exchange (BE) issued by Quality House Plc. will be registered with ThaiBMA on May 30, 2011; consisting of QH11630E is 31-day BE, worth of THB 250 mln. The issue date is on May 30, 2011 and the maturity date is on June 30, 2011. QH11630D is 31-day BE, worth of THB 220 mln. The issue date is on May 30, 2011 and the maturity date is on June 30, 2011. May 27,2011 PN of BBTM to be registered on May 27, 2011 The Promissory Note (PN) issued by Bangkok BBTM Limited to be registered with ThaiBMA on May 27, 2011 consisting of BBTM115271 is promissory Note, worth of THB 246 mln. The issue date is on May 27, 2011. May 27,2011 BBTM informs to exercise put option on May 27, 2011 BBTM informs that the following promissory notes were exercised the put option on May 27, 2011; BBTM115121 with the value of THB 260 mln. BBTM115131 with the value of THB 187 mln. BBTM115181 with the value of THB 15 mln. BBTM115191 with the value of THB 206 mln. BBTM115231 with the value of THB 2 mln. May 27,2011 BE of ASK to be registered on May 27, 2011. The Bill of Exchange (BE) issued by Asia Sermkit Leasing Plc. to be registered with ThaiBMA on May 27, 2011 ; consisting of ASK11826C is 91-day BE, worth of THB 10 mln. The issue date is on May 27, 2011and the maturity date is on August 26, 2011 May 27,2011 BE of KTC will be registered on May 27 and 30, 2011. The Bill of Exchange (BE) issued by Krungthai Card Plc. will be registered with ThaiBMA on May 27, 2011,consisting of KTC11825B is 90-day BE, worth of THB 95 mln. The issue date is on May 27, 2011 and the maturity date is on August 25, 2011. KTC11N24A is 181-day BE, worth of THB 41 mln. The issue date is on May 27, 2011 and the maturity date is on November 24, 2011. The Bill of Exchange (BE) issued by Krungthai Card Plc. will be registered with ThaiBMA on May 30, 2011,consisting of KTC11629A is 30-day BE, worth of THB 10 mln. The issue date is on May 30, 2011 and the maturity date is on June 29, 2011. May 27,2011 BE of AYCAL to be registered on May 27, 2011BE of AYCAL to be registered on May 27, 2011 The Bill of Exchange (BE) issued by Ayudhya Capital Auto Lease Plc. to be registered with ThaiBMA on May 27, 2011; consisting of AYCAL11627B is 31-day BE, worth of THB 30 mln. The issue date is May 27, 2011 and the maturity date is on June 27, 2011. AYCAL11906A is 102-day BE, worth of THB 375 mln. The issue date is on May 27, 2011 and the maturity date is on September 6, 2011. AYCAL11826A is 91-day BE, worth of THB 230 mln. The issue date is on May 27, 2011 and the maturity date is on August 26, 2011.The Bill of Exchange (BE) issued by Ayudhya Capital Auto Lease Plc. to be registered with ThaiBMA on May 27, 2011; consisting of AYCAL11627B is 31-day BE, worth of THB 30 mln. The issue - 15 - Thai BMA Monthly Summary
date is May 27, 2011and the maturity date is on June 27, 2011. AYCAL11906A is 102-day BE, worth of THB 375 mln. The issue date is on May 27, 2011 and the maturity date is on September 6, 2011. AYCAL11826A is 91-day BE, worth of THB 230 mln. The issue date is on May 27, 2011 and the maturity date is on August 26, 2011. May 27,2011 KDB145A is registered with ThaiBMA on May 27, 2011 KDB145A issued by The Korea Development Bank is registered with ThaiBMA on May 27, 2011, details are as follows; KDB145A is 3-year debentures with the issue size of THB 3,000 million. KDB145A has been determined the coupon rate 3.88% per annum. Interest is payable by semi-annually (27/5 27/11). The issue date is May 27, 2011 and the maturity date is May 27, 2014. Bangkok Bank Plc. (BBL) and Credit Agricole Corporate and Investment Bank, Bangkok Branch (CACIB) are assigned as the lead underwriter. TMB Bank Plc. (TMB) is assigned as the Bondholders' representative and Thailand Securities Depository Company Limited (TSD) is mandated as registrar. KDB145A has been assigned the issue rating at "A1" by Moody's IUnvestors Service on April 14, 2010. May 26,2011 S-T debentures of TMB to be registered on May 27, 2011. The short-term debentures issued by TMB Bank Public Company Limited to be registered with ThaiBMA on May 27, 2011; consisting of; TMB11907A is 103-day short-term debenture, worth of THB 380 mln. The issue date is on May 27, 2011 and the maturity date is on Septemebr 7, 2011 TMB11826A is 91-day shortterm debenture, worth of THB 600 mln. The issue date is on May 27, 2011 and the maturity date is on August 26, 2011. TMB11627C is 31-day short-term debenture, worth of THB 2,100 mln. The issue date is on May 27, 2011 and the maturity date is on June 27, 2011 TMB is mandated as registrar. May 26,2011 BE of ESSO will be registered on May 27, 2011 The Bill of Exchange (BE) issued by Esso (Thailand) Plc. will be registered with ThaiBMA on May 27, 2011 consisting of ESSO11627A is 31-day BE, worth of THB 1,500 mln. The issue date is on May 27, 2011 and the maturity date is on June 27, 2011. ESSO11627B is 31-day BE, worth of THB 1,000 mln. The issue date is on May 27, 2011 and the maturity date is on June 27, 2011. ESSO11627C is 31-day BE, worth of THB 1,100 mln. The issue date is on May 27, 2011 and the maturity date is on June 27, 2011. ESSO11627D is 31-day BE, worth of THB 210 mln. The issue date is on May 27, 2011 and the maturity date is on June 27, 2011. May 26,2011 BE of TK will be registered on May 27, 2011 The Bill of Exchange (BE) issued by Thitikorn Plc. will be registered with ThaiBMA on May 27, 2011; consisting of; TK11627A is 31-day BE, worth of THB 70 mln. The issue date is on May 27, 2011 and the maturity date is on June 27, 2011. Thai BMA Monthly Summary - 16 -
May 26,2011 BE of NOBLE to be registered on May 26, 2011. The Bill of Exchange (BE) issued by Noble Development Plc. to be registered with ThaiBMA on May 26, 2011; consisting of NOBLE12220A is 270-day BE, worth of THB 80 mln. The issue date is on May 26, 2011 and the maturity date is on February 20, 2012. Thai BMA Monthly Summary - 17 -