iBond user manual latest updated March 2012

iBond user manual latest updated March 2012

User Manual
Last Updated: March 2012
Contact iBond:
Bond Pricing & Product Development Department, The Thai Bond Market Association (ThaiBMA)
Tel. 0-2252-3336 ext. 217, 218, 210 email address: [email protected]
Visit our website at www.ibond.thaibma.or.th
iBond
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ThaiBMA
iBond Bond Info
Registered Bond
Auction & Result
Auction Schedule & Result
Auction Calendar
Bond Search
Issuer Information
Inflation Linked-Bond
Bond Update
FRN Rate Search
Yield Curve
Government Bond Yield Curve
Zero Coupon Yield Curve
Alternative Zero Coupon Yield Curve
Par Bond Yield Curve
Implied 6 month Forwards
Corporate Bond Yield Curve
Corporate Spread
Average Spread
Credit Spread Curve
US Treasury
SOE Spread Matrix
Calculation
Calculation
ILB Calculation
Bond Price/ Indices
Bond Price
End of day trading
Intraday trading
Quotation
Firm Quotation
Mark to Market
Plain Vanilla MTM Pages
Structured Note MTM Pages
Download Historical MTM
Plain Vanilla
Structured Note
MTM Yield Movement
MTM Price Feedback
RP Reference Yield
RP Refernce Yield
RP Reference Yield (T+2)
RP Reference Yield (T+3)
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ThaiBMA
Indices
Bond Index
Composite Bond Index
T-Bill Index
Zero Rate Return Index
SOE Zero Rate Return Index
Corporate Zero Rate Return Index
Commercial Paper Index
Short-term Government Bond Index
Analysis
Graphic Analysis
Rich/ Cheap Analysis
Duration and Convexity
Bond Duration and Convexity
Portfolio Duration and Convexity
Report
Daily Report
ThaiBMA Daily Report
Daily Market Summary
Weekly Report
Foreign Trading
Private Repo
Thai Bond Update
ThaiBMA Corner
Monthly Report
ThaiBMA Monthly Summary
Thai Bond Summary
Registered Bond
Month-end Closing Price
Annual Summary
Fact & Figures
Primary Market
Secondary Market
Composite Page
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ThaiBMA
iBond iBond กก!"#$%&'() www.ibond.thaibma.or.th 23
3ก$453 53ก$ (6"637% 8793(6'!:;$4!
7กก(%:
• ::(!4ก:ก7<!: ThaiBMA !@83% 3(ก!:
3(3%#975 ก;$( ;'!:
• 7$87%)ก$4 9# Government Bond Yield Curve, Zero-Coupon Bond Yield Curve, Par
Bond Yield Curve, Implied 6-M Forwards, Corporate Spread, SOE Spread Matrix
• U;ก2%V! (83X3/ 4ก) 4ก:ก7<!: ThaiBMA [;
\3$( (Bond Calculation Program)
• 7$$ก$79(%7%$(! 9# Bond Index, T-Bill Index ;
Zero Rate Return Index
• '!: 87ก3<ก#:4X ;5
-
`(62%3 (End-of-Day Trading)
'!:%#$%3 (Intraday Trading)
87ก3<ก#:4X (Mark-to-Market Page)
'!6ก"! (Quotation and Firm Quotation)
$$ก2X4ก'! (RP Reference Yield)
- 5'!:f :3$ (Overall Trading Statistics)
- '!:;5$!;#:ก (Individual Trading Statistics)
• :$(! (ก;ก (PDF File)) ก(%:
-
`(62%3 (3'!/:, 7ก'!:62%3)
4g%(:3() (5(:3(),!,#%#4()
4g%(:( (5:(, %%9ก)
4::(!7<!:ก3f4ก:ก
• Composite Page 75กก;8h872%:%(%กก9$;ก#"3 iBond U(:"9
5ก;@83%%$ก$$ 87:ก23ก9$3!$#
iBond
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ThaiBMA
Bond Info
http://www.ibond.thaibma.or.th/bond_info/registered_bond.aspx
: 7%%!7<!:ก3 ThaiBMA ก(%:
:#:3!$( 7 (3$!
1. Registered Bond: !ก( %: # $ $$! <! :
(Registered Bond Outstanding) !<!:#:( (New Registered Bond) ;
::($!;#:ก (Bond Feature) ก6ก!:3$!(4# ;
5 Download m) Excel (
2. Auction & Result: #%!ก(%:$;"ก!g3[ '<7$
;($";$$ (Auction Schedule & Result) ;;\ก (Auction Calendar)
3. Bond Search: !923!(::ก ก6ก!:3$$7ก
(:#$5% "38X)7(6กก%V) ;5 Download m) Excel (
4. Issuer Information: 7%%!7<!:ก3 ThaiBMA :h3
#%!;($:97!7;# h3ก 2%#;#h3g!7 !
62%#(
5. Inflation-Linked Bond 7%%37% ก$ กt 3$3 ;%#$u
ก7:%ก3 Inflation-Link Bond %5<$ Real Yield ;79ก2%V(%:
6. Bond Update: #%!ก(%:$ก`(4(: (XI Schedule) !7(:4 (Redemption Schedule) ก(2$3#%$ก$ (Financial Covenant) ;ก
ก2(3(ก!::3% (Coupon Reset Schedule)
7. FRN Rate Search: #%!%%!7ก6#:(ก!:;:3% %3!$
3(ก!:$$723x (;ก# 3(ก!:$yก;$97 ; THBFIX !ก:
::(;#6(3$!
iBond
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ThaiBMA
#$
: Bond Information > Outstanding
: !ก(%: 3 #%
1. Outstanding of ThaiBMA Registered Bond ;($#$$$!;#$g$
! 7;($ก(%:62%4#$!;#g (Number of Issue) ;#$$
$!;#g (Amount: THB) 23!gก95ก(#$$7;#$
g"ก753ก$;#9#53ก$ U(:{กก7 Click for more detail #%!6
38(4ก%3 %3 3 3!$ V % 01.00 . 12.00 ; 17.00 .
2. New Registered Bond ;($!<!:# ;#$g$! U(:
6;($7:( ;m}$ก)9375ก9#%$%(
3. Select Bond # %! m}$ก)9377 9ก ! 5(4# U(:9
3x3กhV)! (Bond Symbol) ก
!ก:
1
2
3
iBond
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ThaiBMA
#$
: Bond Information > Outstanding of ThaiBMA Registered Bonds >..Bond Type..
: 7{กก Bond Type ;#g 6 Outstanding of ThaiBMA
Registered Bond 6;($! '<7$$!7<!:ก3 ThaiBMA :4#
;$$ ;5 Download m) Excel ( U(:::((3$!
• ThaiBMA Symbol: 3x3กhV)$!73!$3กกV~)7 ThaiBMA ก2(
• Local Issue Rating: 3(3%#975763(3(3U(:5363(3(3%#975:
723ก$ ก... 3$ ก(%: 2 h3 o TRIS: h3 !$ 62ก3( TRIS Rating Co., Ltd.
o Fitch (Thailand): h3 m`9)!$ (:) Fitch Rating (Thailand) Ltd.
• International Issue Rating: 3(3%#975763(3(3U(:5363(3(3%#975ก
723ก$ ก... ก3$ ก(%: 4 h3 o Moody's: Moody's Investors Service
o S&P: Standard& Poor€s
o Fitch Ratings: (Fitch Rating Ltd.)
o R&I: Rating and Investment Information, Inc.
• Coupon Type: 9($ก6#:3(ก!: ก(%: Zero, Fixed, Float ; Fixed/Float
• Coupon Rate (%): 3(ก!:
• Maturity Date: %3ก2(5#5
• TTM: :4$
• Outstanding Value (THB.mln): #$$ ()
!ก:
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ThaiBMA
#$
: Bond Information > Outstanding of ThaiBMA Registered Bonds > 2 Corporate Bonds
:
7{กก 2 Corporate Bond (Click for more details) 6
Outstanding of ThaiBMA Registered Bond 6;($! '<7$4#$$$
!gก97<!:ก3 ThaiBMA ;#$g"ก753ก$ ;7#9#53ก$
U(:7;($ก(%:62%4#$!;#g (Number of Issue) ;#$$$
!;#g (Amount: THB) ;7{กกg$!6;($ก3
Bond Information > Outstanding of ThaiBMA Registered Bonds >.....Bond Type„..
!ก:
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ThaiBMA
#$
: Bond Information > Registered Bond > New registered….Bond Type….
: 7{กก Bond Type ;#g 6 New Registered Bond 6;($! '<7$$!7<!:#ก3 ThaiBMA (}6643 ;($
:4#;$$ ;5ก9#%$%7<!:; Download m) Excel ( U(:7
;($;ก#$ก3g$ 547;($g$((3$!
Treasury
Bill
ThaiBMA Symbol
Issue Name
Issue Size
Type
Par (THB)
Term
Coupon Type
Coupon Rate (%)
Issue
Maturity
Payment Date
Registered Date
Prospectus
Issue Rating
Total Outstanding Value
Lead U/W
Currency
x
x
x
x
x
x
x
x
x
x
Government State Owned
Bonds
Enterprise
Bonds
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
State
Agency
Bonds
x
x
x
x
x
x
x
x
x
x
x
x
x
Long-Term Commercial
Corporate
Papers
Bonds
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Foreign
Bonds
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Foreign Currency
Denominated
Bonds
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
• ThaiBMA Symbol: 3x3กhV)$!73!$3กกV~)7 ThaiBMA ก2(
• Issue Name: 97!7gh3$ก…h
• Issue Size: #$!7ก
• Type: g$!(#$ u (;ก# ก!2ก3 ก92$ Xก5#5
•
•
•
•
•
•
•
•
•
iBond
ก#ก2( ;ก2%V!
Par (THB): 7%##%: #%x## 1,000 Term: :4$!
Coupon Type: gก6#:(ก!:(;ก# Fixed, Float, Fixed/Float ; Zero Coupon
Coupon Rate (%): 3(ก!:
Issue: %3ก!
Maturity: %3ก2(5#5!
Payment Date: %36#:(ก!: 9# 20/01, 20/7 :%%#6#:(ก!:%37 20 (ก
;%37 20 (กกt $4ก‡
Registered Date: %3<!:!
Prospectus: Link 23:ก(3$9!9%4$!
9/136
ThaiBMA
• Issue Rating: 3(3%#975$!763(3(3U(:5363(3(3%#975
;ก 723ก$ ก... 4x '<7$3!$( 6 :(3$!
o TRIS: h3 !$ 62ก3( TRIS Rating Co., Ltd.
o Fitch (Thailand): h3 m`9)!$ (:) Fitch Rating (Thailand) Ltd.
o Moody's: Moody's Investors Service
o S&P: Standard& Poor€s
o Fitch Ratings: Fitch Rating
o R&I: Rating and Investment Information, Inc.
• Total Outstanding Value: #$$$!
• Lead U/W: :97"63(กก62#:4ก
• Currency: 3;ก7:
!ก:
Treasury bills
Government Bonds
State Owned Enterprise & State Agency Bonds
iBond
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ThaiBMA
Corporate Bonds, Commercial Paper, and Foreign Bonds
Foreign Currency Denomenated Bond
iBond
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ThaiBMA
#$
: Bond Information > Feature
: ก#6 Bond Feature 3! 5(:9#$$ (3$!
1. Bond Select 6 Bond Information > Outstanding
2. Bond Information > Outstanding of ThaiBMA Registered Bonds >.....Bond Type„..
3. Bond Information > Bond Search
ก:ก( Bond Feature 3! 7:ก(6 Bond Information > Feature ;ก
83!$7 Link 67 u ::((3$!
1. Feature: ;($3ก$!4#3! u 9#%3ก;%3ก2(5#5$!
3(3%#975 ;#กก 2. Issuer Profile: ;($$"ก!%3!$!7ก;<!:ก3 ThaiBMA
3. Rating: 3(3%#975$!
4. Cash flow: $ก6#:(ก!:;$
5. Participants: ::($"7#%ก7:%$!4#(3$ก#% 9# :: ";"54ก
;"63(กก63(62#:
6. Pricing Data: '!:!
7. Bond News: #%!
8. Auction & Result: ก;"ก!
9. Outstanding Value: #$$$!
10. Financial Covenant: ก(2$3#%$ก$
11. Embedded Option: Xก5#5!ก#ก2( 9# Call Option X$"5!
Put Option X$"ก!
iBond
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ThaiBMA
!ก: Bond Feature
23::($6 Bond Information > Feature (3$!
• Name (Thai) : 97!gh:
• Issuer : 97"ก!
• ISIN Code : 3ก23$$ก'!:(2ก$X4ก#$ u
• Bond Type : g$! (;ก# gก6#:(ก!: gก92$ ;
ก!2ก3
• Issue Rating : 3(3%#975$! ;#$5363(3(3%#975
;ก 723ก$ ก... 4x ::(7:ก#%;%3%7"#
• Initial Par : ###%: V %3ก!
• Current Par : ###%: V %}663
• Issue Size : #$!7ก
• Outstanding Size : #$$$! V %}6643
• Issue Date : %3ก!
• Maturity Date : %3ก2(5#5!
• Issue Term : :4$!
• Coupon : 3(ก!:76#:
• Payment Frequency : $%(ก6#:(ก!:
• Calculation Method : %Xก2%V
• Put/ Call Option : Xก5#5!ก#ก2(
• Distribution : %Xก:!
• Registrar : ::
• Lead Underwriter(s) : "63(กก63(62#:
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ThaiBMA
•
•
•
•
•
•
•
Financial Advisor(s) : 7<กh$ก$
Debenture Holder Representatives : ";"54ก
Covenant : ก2(7"ก!$t3
Collateral : ::(3กก3$!
Amortized Schedule : $ก::92$
Prospectus : 3$9!9% 4$!
Remark : :4
@A : ก6ก!5 Click 87((3$#!
• XI : %3`(4(3x9876#:(ก!:
• XM : %3`(4(3x987:ก94"5!
• CD : ก"(3(ก6#:(ก!:
!ก: XI
!ก: EX
!ก: CD
iBond
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ThaiBMA
#$
: Bond Information > Issuer Detail
: !;($::($"ก! ;กก
!$"ก:3! u ::((3$!
• Issuer Name (Eng) : 97"ก!gh3$ก…h
• Company Rating : 3(3%#975$"ก! ;#$5363(3(3%#975
;ก 723ก$ ก... 4x ::(7:ก#%;%3%7"#
• Address : 7:#
• Tel : )U38)
• Fax : )U
• E-mail : )
• Website : %&')
• Business Sector : %(X4ก6
• Issues registered in ThaiBMA ::97!7<!:ก3 ThaiBMA
• Financial Statement : $ก$
• Company Profile : h3
• Major Shareholders : :97"543ก
!ก :
iBond
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ThaiBMA
#$
: Bond Information > Rating
: ก63(3(3%#975$! '<7$6;($:$2(3%3
3(3%#975#4( ;;#$5363(3(3%#975 ::((3$!
• Effective Date : %375363(3(3%#97563(3(3%#975ก3!
• Local Issue Rating : 3(3%#975763(3(3U(:5363(3(3%#975:
723ก$ ก... 3$ ก 2 h3 o TRIS : h3 !$ 62ก3( TRIS Rating Co., Ltd.
o Fitch (Thailand) : h3 m`9)!$ (:) Fitch Rating (Thailand) Ltd.
• International Issue Rating : 3(3%#975763(3(3U(:5363(3(3%#975
ก 723ก$ ก... ก3$ ก 4 h3 o Moody's : Moody's Investors Service,
o S&P : Standard& Poor€s
o Fitch Ratings : (Fitch Rating Ltd.)
o R&I : Rating and Investment Information, Inc.
• Remark : :4
!ก :
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ThaiBMA
#$
: Bond Information > Cash flow
: $ก6#:(ก!:;$ ::((3$!
• No. : $%(ก6#:(ก!:
• Payment : %392(ก!:
• XI Date : %3`(4(:
• Par : ###%:$!
• Coupon (%) : 3(ก!:
• Interest : (ก!:
• Principal : $
• Total Payment : $;(ก!:
!ก:
iBond
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ThaiBMA
#$
: Bond Information > Participant
: ::($"7#%ก7:%$!4#(3$ก#% ก(%:
• Sponsored Dealer : "27ก2!<!:ก3 ThaiBMA
• Lead Underwriter : "63(กก63(62#:
• Registrar : ::
• Debenture holders' representatives : ";"54ก
• Financial Advisor : 7<กh$ก$
!ก:
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ThaiBMA
#$
: Bond Information > Pricing Data
: ก'!:! '<7$6;($":$2(36ก%372ก'!:
::((3$!
• Date : %372ก'!:
• Executed : :ก'!:
o Price (%) : '!:
o Yields (%) : 3";72ก'!:
o Value (Baht) : #ก'!:
• Weighted Average Executed : :ก'!:@7:
o Price (%) : '!:@7:
o Yields (%) : 3";72ก'!:@7:
o Value (Baht) : #ก'!:@7:
• Spread (bp) : #%9(9:%7:$ '<7$2%V6ก3";72ก'!:ก3
Government Bond Yield Curve V TTM #ก3 กV7!7กU(:ก%$ก3$
;X;#$: Spread 6#ก3 0
• Remark : :4 ;($7$:#$u 9# SL :%5<$:ก'!:7##ก
; NL :%5<$:ก'!:73";7'!:;ก#$6ก(ก
!ก:
iBond
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ThaiBMA
#$
: Bond Information > Bond News
: #%7ก7:%$ก3!4#3! u 9# ก33(3%#975 ก
7:;$#$$$! ;กก2(3(ก!:23!76#:(ก!::3%
!ก:
iBond
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ThaiBMA
#$
: Bond Information > Auction & Result
: $;($ก2(ก;"ก! ::((3$!
• ThaiBMA Symbol : 3x3กhV)$!73!$3กกV~)7 ThaiBMA ก2(
• Issue Name : 97!gh3$ก…h
• Term : :4$!
• Auction Amt. : #$!7
• Issue Date : %3ก!
• Maturity Date : %3ก2(5#5!
• Auction Date : %3!
• Auction Result : "ก#%$83X33[6;($ก 2 #%%Xก
(;ก# "ก; Competitive Bidding ; Non-competitive Bidding 23
!g7 u 6;($"ก8:$94((:% U(:3!$ 2 #% ก(%: Accepted
Amt ; Yield (%) 7;#$ High, Low ; Average ::((3$!
• Accepted Amt. : #7ก6$
• Yield (%) : 3";
High : 3";$4($ก
Low : 3";724($ก
Avg : 3";@7:$ก
• BCR : Bid Corporate Ratio 3#%ก'!ก3#ก '<7$6;($
%#!4#3! u (3%66ก3ก$4ก:8:$ ก# BCR กก%# 1
ก u ;($%# 3 ก$4 6! 7 ก;ก BCR :ก%# 1
:%%#!3!:#(
• Registered Date : %37<!:!
!ก:
iBond
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ThaiBMA
#$
: Bond Information > Outstanding Value
: $;($ก7:;$#$$$! '<7$6($87<!
(กV#$ 9# ก ก'!! ก9X5#5ก#ก2( ;ก::92$
::((3$!
• Date : %377:;$#$$
• Reason(s) : 4"7ก7:;$#$$
• Par (THB) : ###%:$!
• Change : ก7:;$
o Unit : 62%#%:77:;$
o THB.mln : # () 7ก7:;$
• Outstanding Value : #$$
o Unit: 62%#%:
o THB.mln: # ()
!ก:
iBond
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ThaiBMA
#$
: Bond Information > Financial Covenant
: $;($ก(2$3#%$ก$ '<7$6;($3#%$ก$7h3
$(2$($77ก2(%23!;#4# ::((3$!
• Financial Covenant : g3#%$ก$7$(2$
• Company : 37$(2$ 2%V6ก$ก$@8h3
• Consolidate : 37$(2$ 2%V6ก$ก$%
!ก:
iBond
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ThaiBMA
#$
: Bond Information > Embedded Option
: $;($::(ก9X5#5ก#ก2(;ก;$g8
43x ::((3$!
• Conversion : ก9X;$g843x ก(%: %379X;$g8
9#%$%ก9X ::(43x7;$g8 #$!7;$g8 ;#
$$$!
• Call /Put Option : Xก5#5!ก#ก2( ก(%:%379X;$g8 X
79 (Call / Put Option) 9X 62%;#ก7:;$ ;#$$$!
!ก:
iBond
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ThaiBMA
#$
: Bond Information > Auction and Result
: #%!ก(%:$;"ก!g3[ '<7$;($"
;$$ (Auction Schedule & Result) ;;\ก (Auction Calendar) ก
! g 3 [} 6 64 3 ;# $ ก 4 ก4# ( ; ก# 3 % $ 3$ (Treasury Bills) 83 X3 3 [
(Government Bonds) 83X33[%ก6 (State Owned Enterprise Bonds) ; 83X3#%:$g3[
(State Agency Bonds) '<7$ก4#!#%:$7"ก3ก(;ก# X;#$: ก;($"#%
$$;#$ก 4 g$ 23\ก;($3x3กhV)$
! ::((3$!
@D!EFก!E (Auction Schedule & Result) 7;($#%!;#$ก( 2
#% U(:#%;ก3!ก2(ก$! '<7$"ก!;##%:$6;6$
ก#%$ 23#%7 2 "ก! '<7$6ก3<ก7(3"ก6ก
X;#$:;23ก$!XV["63(ก;% U(:37%65("
ก(V 11.00 $%3!3! '<7$7;($ก$(}6643
ก6ก!:3$5ก(9#%$%7$ก(ก(%:
#%$ก2(กก(%:
• ThaiBMA Symbol : 3x3กhV)$!73!$3กกV~)7 ThaiBMA ก2(
• Issue Name : 97!gh3$ก…h
• Term : :4$! U(:!:3! (;ก# 3%$3$;83X3X
•
•
•
•
•
iBond
;#$: 7:4:ก%# 1 ‡ #%:%3 #%!::%#%:‡
Auction Amt. : #$7
Issue Date : %3ก!
Maturity Date : %3ก2(5#5!
Auction Date : %3!
Registered Date : %3<!:!
25/136
ThaiBMA
#%$"ก(%:
• Auction Result : ก(%: "ก#%$83X33[6;($ก
2 #%%Xก(;ก# "ก; Competitive Bidding ; Non-competitive
Bidding 23!g7 u 6;($"ก8:$94((:% U(:3!$ 2 #%
ก(%: Accepted Amt ; Yield(%) 7;#$ High, Low ; Average
::((3$!
• Accepted Amt. : #7ก6$
• Yield (%) : 3";
High : 3";$4($ก
Low : 3";724($ก
Avg : 3";@7:$ก
• BCR : Bid Coverage Ratio 3#%ก'!ก3#ก '<7$6;($%#
!4#3! u (3%66ก3ก$4ก8:$ ก# BCR กก%# 1 ก u
;($%#3ก$46!7ก;ก BCR :ก%# 1 :%%#
!3!:#(
!ก : Treasury Bills, State Owned Enterprise Bonds State Agency Bonds
!ก : Government Bonds
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ThaiBMA
!KLMLก!E (Auction Calendar) 872%:%(%ก3ก$45(ก2(ก
!g3[( ThaiBMA (4ก2(กU(:;($";\ '<7$3ก$45
(($#:%#6ก!g3[%3($ g7ก;%$$ก
#( ;($:( ;5ก(:3$(
!ก:
iBond
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ThaiBMA
#$
: Bond Information > Bond Search
: 87ก!7<!:ก3 ThaiBMA (:#$(%ก;%(&%
ThaiBMA 6<$(83Ž! (Bond Search) <! U(:(3$ก#%5!(
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"9ก4V3$!7$ก;%ก(4 Submit (#$$6 6;($"
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(:4;($#3! ก$ก!7(:4;%ก$7 Expiration Expired
Bond 234V3$7กก(%:
• Bond Type by Issuer : !'<7$;#$g"ก
• Debt Instrument Type : 9($!gก9 U(:6$ก Corporate Bond 9#$
Bond Type by Issuer 6<$65ก3%ก9#$!(
• Business Sector : %(X4ก6
• Issuer Name : 97"ก!
• Issue Date : %3ก! (ก9#%$%7$ก)
• Registered Date : %3<!:! (ก9#%$%7$ก)
• Maturity Date : %3ก2(5#5! (ก9#%$%7$ก)
• Auction Date : %3! (ก9#%$%7$ก)
• Coupon Type : 9($3(ก!:
• Issue Term : :4! (‡ / %3)
• Embedded Option : Xก5#5!ก#ก2( 9# Call Option X$"5
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• TTM : :4$$! (‡ / %3)
• Bond Type by Characteristic : g$!3กhV$
• Duration : Modified Duration (ก9#%$7$ก)
• Coupon Payment : :%ก6#:(ก!:
• Issue Size : #!7ก
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Distribution : 9#$$ก63(62#:
Secured/Unsecured Bond : 3กก3$!
Claim Type : Xก392!
Expiration : !7(:4;%:3$#(:4
Local Rating : 5363(3(3%#975ก(%: TRIS ;
FITCH (Thailand) 7ก5363(3(3;%ก Rating 7$ก
• International Rating : 5363(3(3%#975กก(%: Moody€s,
S&P, Fitch Rating ; R &I 7ก5363(3(3;%ก Rating 7$ก
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!ก: Bond Search Page
!ก: Output Page
!ก: Download Excel Output Page
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ThaiBMA
#$
: Bond Information > Issuer Information
: #%!$<!87%(%กก!:"ก
! U(:5(ก"997"ก!%(X4ก6$"ก!
U(:กV797"ก2ก:976ก Issuer Name U(:ก:97"ก7$ก 23กV
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• Issuer Name (Eng) : 97"ก!gh3$ก…h
• Company Rating : 3(3%#975$"ก! ;#$5363(3(3%#975
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•
•
•
•
•
;ก 723ก$ ก... 4x ::(7:ก#%;%3%7"#
Address : 7:# / Tel : )U38) / Fax : )U / E-mail : ) / Website : %&')
Business Sector : %(X4ก6
Issues registered in ThaiBMA : :97!7<!:ก3 ThaiBMA 7{กก
3x3กhV)6;($ Information > Feature
Financial Statement : $ก$
Company Profile : h3
Major shareholders : :97"543ก
!ก: Issuer Search
!ก: Issuer Detail
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ThaiBMA
#$
: Bond Information > Inflation-Linked Bond
: !;($::($83X39(9:$m (Inflation-Linked
Bond) %5<$%7ก7:%$ ก(%:
• Inflation-Linked Bond Knowledge
!ก:
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ThaiBMA
• Information & Tools for Inflation-Linked Bond Investment and Trading
!ก:
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CPI, Reference CPI and Index Ratio
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Reference CPI
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ThaiBMA
!ก:
U(:" 95(# Index ratio $83X39(9:$m;#3%U(:ก7
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!ก:
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ก2%V Breakeven Inflation 52%VU(:(#$!
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Real Yield Estimation by The Bank of Thailand :
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Real Yield in Foreign market : ;($# Real Yield $7uก(%: 3[ก
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• Useful links
!ก:
Useful links 6;($$83X39(9:$m$7u (;ก# 3[ก 3$ก…h
x74 y37$ ;4ก
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•
US Treasury Inflation-Protected Securities (TIPS)
•
•
•
•
•
U.K. Inflation-linked Gilts (ILG)
Japan Inflation-linked Bond (JGBi)
France CPI ex-tobacco (OATi)
Italy Treasury bond indexed to Eurozone inflation (BTPEi)
Turkey CPI indexed Government Bond
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#$
: Bond Information > Bond Update > XI Schedule
: $`(4(:$4%3`(4(:87%%:97"X
( 3 (ก! : ;$ U(:$(3 $ ก# %6;($ %3 ` ( 4 ( : :( 5( :3$( 1 ( ;#%$( 1 ( ;#$กg 22(3(3$! 83X3
3[ (Government Bond) 83X33[%ก6 (State Owned Enterprise Bond) 83X3#%:$g3[
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• XI Date : %3`(4(:876#:(ก!:$%(}6643
• XA Date : %3`(4(:876#:$$%(}6643
• Payment Period : :%2%V(ก!:$ก6#:(ก!:$%(}6643
• Coupon Rate (%) : 3(ก!:76#:
• Registrar : ::
!ก:
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#$
: Bond Information > Bond Update > Redemption Schedule
: $ก5# 5 ! $7 ; ($:97 ! 7 ก
5#5(}6643 5(:3$( 1 ( ;#%$( 1 ( ;#$กg
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• Type : g$
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กV (;ก# ก9X Call Option Put Option ก'!!($ ก::92
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#$
: Bond Information > Bond Update > Financial Covenant
: #%!$43#%$ก$7"ก4ก$(2$7
ก2(%#%$234ก;#4# '<7$2"9$5%6!7"(ก2((U(:$#: U(:
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• Financial Covenant : #%!973#%$ก$7"ก$(2$ U(:::(
%# $(2 $3 # % $ก$ (3 $ ก# % :ก%# กก%# # ก3 # 7 ก2 (% Requirement
• Company Requirement : #3#%$ก$7$(2$ 2%V6ก$ก$@8h3
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• Observation Period : 9#%$%7$38(#3#%$ก$7$(2$ 9# Quarterly, Semiannually Annually
!ก:
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#$
: Bond Information > Bond Update > Coupon Reset Schedule
: Coupon Reset Schedule $4:97!g3(ก!:
:3%7กก2(3(ก!:766#:$%(53( (Reset Coupon) U(:;($:( U(:37%
ก Reset Coupon 6ก2(ก#%37$%((ก!::#$: 2 %3 !g7$ก3 THBFIX
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yก;$ก
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• Reset Date : %3ก2(3(ก!:$%(53( $!g6#:(ก!:;:3%
• Coupon effective date : %3772%V(ก!:3#7ก2(
!ก:
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#$
: Bond Information > FRN Rate Search > FRN
: ;($!g6#:(ก!::3% (Floating Rate Note: FRN) 7<!
:ก3 ThaiBMA U(::$2(33%3กh3%;ก$3x3กhV)$!;#4# ::((3$!
• Reference 3(ก!:$$ :$$ก3ก33(ก!:$X3!$(ก!:$ก;
(ก!:$yก 3!$! 64#%#$ (margin spread) 6ก3(ก!:$$%:#$93(6
7$6ก 3ก$4(กV)%#3(ก!:633%$<! 6<$ก(%7:$23"
$4%X<7$
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4ก 1 (
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Date $;#$%(ก6#:(ก!: %กก3 #%#$ (margin spread) '<7$ Reset Date ;#$%(
2 3 %32กก# coupon date $%(53( 3%:#$(3$!
3%:#$ : BECL135A
- # Reference From date 17-Mar-10 To Date 17-Mar-13 Avg of MidRange-6M quoted
by (BBL, KTB, SCB, KBANK) + 1.330000
- # Current Rate 3.81125 (6ก 2.48125 + 1.330000 U(: 2.48125 6ก 3
(ก!:$yก62 6 ( @7:$ BBL, KTB, SCB ; KBANK 2 %32กก#
Payment Date (19/03/2012) 17/03/2012 ; 1.330000 6ก #%#$75กก2(<!
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; Min U(:$#ก# Max ;#:ก%## Min
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!ก:
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#$
: Bond Information > FRN Rate Search > Bank Rate
: ;($3(ก!:7(ก!:$yก;$97$X8V9:) 7
(!9ก$$23!76#:(ก!:;:3% ก(%:3(ก!: (3$!
1. 3(ก!:$yก38:)
2. 3(ก!:$yก62 (3 ( 6 ( 12 ( 24 ( ; 36 ()
3. 3(ก!:$97 (MLR, MOR ; MRR)
U(:7;($กV73(ก!:;#g:# 7}6643:X:3(ก!:
V$yก ก;($"6!2#724(;($
!ก:
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#$
: Bond Information > FRN Rate Search > Bloomberg Thailand Interbank
Forward Offer Rate: TFIX
: Bloomberg Thailand Interbank Forward Offer Rate TFIX '<7$3
(ก!:$$23!76#:(ก!::3%7กU(: Bloomberg '<7$6ก38(4ก%32ก
%V 11.00 . '<7$7;($ TFIX Spot 6-mth "95:3$(5<$‡ 2006
83!$ Download m) Excel 529$#(U(:$#:
!ก
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ThaiBMA
#$
: Bond Information > FRN Rate Search > Bangkok Interbank Offered Rate:
BIBOR
: Bangkok Interbank Offered Rate BIBOR '<7$3(ก!:$$23
!76#:(ก!::3%783Ž;กU(:X;#$: '<7$6ก38(4ก%32ก
%V 11.00 . 7;($ BIBOR 6-mth "95:3$(5<$‡ 2007
83!$ Download m) Excel 529$#(U(:$#:
!ก
iBond
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ThaiBMA
Yield Curve
#$
: Yield Curve > Government Bond Yield Curve > Yield Curve
https://www.ibond.thaibma.or.th/main/govbond.html
!ก:
3"; (Yield Curve) ;($%383X)%#$3"; (Yield)
ก3:4$$! (Time to Maturity) U(:4กu64( Yield Curve 6;($3";:47
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Curve 3";76ก%7:$ 7$6กก$483X33[5%##%7:$
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ThaiBMA
$((83ก$46(3$;$62%:#$;# V %74% '<7$
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'<7$3";9#%$:%7#$ก383X34#<7$u3!69%X Linear Interpolation
87#3;9#%$%7$ก :ก3%:#$9# 23%37 1 2555 3";
83X33[7:4$ 2 ‡8(#:#( ก#3";23:4$ 2 ‡6
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ThaiBMA
VU(:9%X Linear Interpolation #3";76ก3";$
83X34# LB13OA ; LB143A !V#WD Yield Curve
1. 23";9#%$:4#$u $ก4#!76
2. 93(ก!:$$;593([23ก2%V!
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3ก$4$: 629กก%);%7:$$(3(ก!: (Interest Rate Risk
Management)
!ก:
2. Dก!M]D Yield Curve $%377;ก#$ก3 '<7$6U:9)23
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2555 ::ก3;7กm
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!ก:
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3. Dก!M
EAก (Time-series data) 233";9#%$
:4#$u '<7$3%:#$(#$6;($5<$ก(<$4ก%$3"; 1 ‡ 2 ‡ 3 ‡ 5 ‡
; 10 ‡ 3!$;#%37 1 ก4g83X) 2555 5<$%37 1 2555
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ThaiBMA
4. D
E@ก@]D]D@F@MY#]DA@]DX '<7$2%V6กก
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!ก:
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ThaiBMA
#$
: Yield Curve > Government Bond Yield Curve > Zero Coupon
!ก:
3";;%7:$$!;#6#:$ (Zero Coupon Yield Curve)
;($%383X)%#$3"; (Yield) ก3:4$ (Time to Maturity) $83X3
3[7#6#:$ :#$ก& !7กU(:3[;#6#:$3!8:$3%$3$#3! '<7$
83X33[::%6g;6#:$3!$( (3$3! ก$ Zero Coupon Yield Curve 6<$
62$9$V) 873$)83X33[7#6#:$<! U(:::($
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ThaiBMA
!V#WD Zero Coupon Yield Curve
U(:37% %Xก%3(3";$ก$4! ก93((#(:%
(Single Discount) #3";756ก2(:4 (Yield to Maturity: YTM) '<7$:5<$
";$ก$4793((#(:%9#%$%7;ก#$ก32ก(}x#$ก 8$
3!$[%#$2ก;$6กก6#:$$4872( YTM 7#ก3 [
(3$ก#%ก$%7:$6กก2";$4# (Reinvestment Risk)
(3$3! ก3ก$4$ก%)ก$4(u 7ก;$7(36กก$48:$;#!4(
:$4 3ก$4%93";6ก Zero Coupon Yield Curve ก$$
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ThaiBMA
#$
: Yield Curve > Alternative Zero Coupon Yield Curve
!ก:
3";;%7:$$!;#6#:$U(:9%Xก Nelson-Siegel
; Smoothing Cubic Spline ก$ (Alternative Zero Coupon Yield Curve) ;($%383X)
%#$3"; (Yield) ก3:4$ (Time to Maturity) $83X33[7#6#:$
9#(:%ก3 Zero Coupon Yield Curve 8:$;#9%Xก7;ก#$ก3 ;(กm7 smooth กก%# 7$6ก
#(9%Xก Linear Interpolation ก9764(4ก64( '<7$กm3!6$"#4ก64( ก3!$ Alternative Zero
Coupon Yield Curve 3!#(283X33[3%7:4:%74('<7$(;ก# LB616A %:#กm 2
:กm3กhV;ก#$6ก Zero Coupon Yield Curve #$ก
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!ก:
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ThaiBMA
#$
: Yield Curve > Par Bond Yield Curve
!ก:
%383X)$ Par Bond Yield Curve 6%383X)%#$ Coupon Rate ก3 TTM
'<7$;ก#$6ก Government Bond Yield Curve '<7$;($%383X)%#$ Yield ก3 TTM 3!$!64($)$
Par Bond Yield Curve 3ก$46(3 Coupon $6#: Coupon 23"ก! #6<$6(
7 Par 3!$!3";;#9#%$7923 Discount 3";;%7:$ Zero coupon 3!$ 6ก3!2#7(6ก!;#3% (LB and T-bill) plot %383X)
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ThaiBMA
กกYa] Coupon Rate b Par Bond Yield Curve
86V83X33[3%<7$73กhV Cash Flow (3$!
C+100
PB
C
C
C
2
3
1
4
Par Price
Discount all CF to PV by interpolate zero coupon yield
C = Ypb = ]E!DMM$ Yb
D c@@dM]ก Par (@L Par = 100)
Yi = Yield M$
eก Zero Coupon Yield Curve
Par Price
Ypb + Ypb
=
1 + y1 (1 + y2) 2
+
Ypb
(1 + y3)3
+
Ypb+100
(1 + y4) 4
%# y1 = 4%, y2 = 4.5%, y3 = 5%, y4 = 5.5%
7;# Par ; Spot Rate 6ก Zero coupon yield curve 6;# Ypb 76$;กกก
100 =
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Ypb
(1 + 0.04)
+
Ypb
(1 + 0.045)
2
+
Ypb
(1 + 0.05)
57/136
3
+
Ypb + 100
(1 + 0.055) 4
ThaiBMA
#$
: Yield Curve > Implied 6 month forward
!ก:
@กdfWLW (Forward Rate)
6กก%$…ht Pure Expectation ก7:%ก3$กก$4!#$u $3ก
$49#%$:%<7$u 6$";7#;ก#$ก33! 3ก$45264(!%);
2%V# Forward Rate (
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ThaiBMA
$86Vก$4$$ก!
1. $4!:4 2 ‡
2. $4!:4 1 ‡ 7ก2( 1 ‡;% ก&2ก$4#! :4 1 ‡
U(:5 ก!7 86 V:# !7 # 6# : $ (Zero Coupon Bond)
3ก$4655<$62%$7;# 5ก3ก$4ก76$4!:4 2 ‡
;#5ก3ก$4ก76$4!:4 1 ‡ก# ;%7:%"# 1 ‡8( #:$4#ก
!:4 1 ‡ 87ก2(:% 2 ‡7(3!$% %6$;% 3ก$46#
55<$62%$7;#( 83(ก!:7$7#;# ;#%# …ht
Pure Expectation ก%# ก$43!$ 2 %X!(";7#ก3 252%V3(ก!: Forward
Rate U(:ก3!$ก2%V";$3!$$$ก(3$!
MDM$ 1 $4!:4 2 ‡ Spot Rate $:4 2 ‡ 0rf2= 5.2568%
62%$7 2 ‡
=
100 (1+0rf2)2
= 110.7899
MDM$ 2 $4!:4 1 ‡ Spot Rate $:4 1 ‡ rs1 0rf1= 5.00% 7 1 ‡ $4
#ก 1 ‡ (%:3 Forward Rate 1 ‡ ก 1 ‡$ ##ก3 1rf2
62%$7 2 ‡
=
100(1+0rf1)(1+ 1rf2)
= 105 (1+ 1rf2)
3!$ 2 ;%$ 3ก$4%86#ก3
110.7899
=
105 (1+ 1rf2)
::$ # 1rf2 6(#ก3 5.5142%
6ก3%:#$ก2%V# Forward Rate 6ก3(ก!:}6643 (Spot Rate) 6&%# …ht
Pure Expectation ก%#3(ก!:76ก(<!6$6#ก3# Forward Rate 72%V(
}6643 %#%6$ 3(ก!:7ก(<!6$3ก6##ก3# Forward Rate 37:%
%#…ht Pure Expectation #5ก$ 100% :#$ก& 5<$;%# # Forward Rate 6#9##7#$ก3
(ก!:76ก(<!6$ ;#3ก$43ก769# Forward Rate กก3(6$4(3
<7$
iBond
59/136
ThaiBMA
#$
: Yield Curve > Corporate Bond Yield Curve
!ก:
Corporate Bond Yield Curve 3";$83X3gก97;($%383X)
%#$3"; (Yield) ก3:4$$! (Time to Maturity) U(:4กu64( Yield Curve
6;($3";:47$! U(: Corporate Bond Yield Curve 63
";;#$ Rating 3!$;# AAA 5<$ BBB
iBond
60/136
ThaiBMA
M$ D
E LcกYa
ก$ Corporate Bond Yield Curve 96ก Government Bond Yield Curve ;#%3
ก3 Corporate Spread U(:623!$$%กก3:4$;#9#%$ (1(5<$ 50 ‡) ;
;#$;# Rating
"95:ก(:3$;#%3( U(:#%377$ก Corporate Bond Yield
Curve 9#$ As of Date
excel file ก(
;%ก(
ก$ก(%)U(
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59 Corporate Bond Yield Curve กV#3";$4กก9;#
9#%$:4$$ ;#3(3 Rating
iBond
61/136
ThaiBMA
#$
: Yield Curve > Corporate Spread > Spread
!ก:
iBond
62/136
ThaiBMA
$;($#@7:$ Spread $4กก9 ก#@7: Nominal Spread $4ก;#
9#%$93! (Category) $ rating (AAA, AA, A, BBB) ;;#$ subgroup :4$ Duration (;ก#
72ก%# 3 ‡, 3-5 ‡ ; 5 ‡<!
M$ D
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4กก972# Average Spread 6$4ก7 Rating 3!$;# BBB- <! 4ก7
6#:$$7, # option ;y$ Senior ; Unsecured bond ::(%#4ก722%V5(
(7 Tab: Spread Tab !5ก(%#686V :4$ duration U(:ก(ก7
ก%377$ก;%ก(
ก$ก(%)U( excel file ก(
#% Tab: Average Spread 6$;($"#@7: Nominal Spread '<7$(6ก Market
Yield (%: Risk-free Yield 7:4$ duration #ก3 6ก3!6<$2 Spread 7(#@7:;
simple average %#$4ก Rating '<7$% modifier (+/-) %(%: 9# ก4# AA 6%4กก97
rating AA+, AA, ; AA- ก6ก #@7: Nominal Spread ;% $ Average Spread :3$7 u
(;ก# Standard Deviation 87%3(กก6:$ Spread $4ก 7:#ก4#(:%ก3; Average Maturity '<7$
2%V#@7:$:4$ U(:5#%$!23ก(%: Outstanding Value 5ก(%3 U(:#%377
$ก9#$ As of ;%ก(
ก$ก(%)U( excel file ก(
!V#W
59 Spread $$23ก2 ;ก'!:4กก9 23X
8V9:)9$$3(ก!:ก:$h3(x#
iBond
63/136
ThaiBMA
#$
: Yield Curve > Corporate Spread > Credit Spread Curve
!ก:
iBond
64/136
ThaiBMA
Spread 7%7:$(($4กก9;:ก Rating 3!$;# AAA 5<$ BBB ;($:#
;$ Graph ;$ %3!$52%V Spread Interpolation (%:
M$ D
EกกYa
- M$D
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7293กhV3(%$ (Cross-Sectional Data) '<7$ก::
:3%$4กก9 V %3(%3<7$ U(:63(ก&4ก u %37 15 ;!( 7$6ก%37 dealer 63(#$
'!$4กก9 U(:$4ก76#:(ก!:$7 #X;;y$ Rating 3!$;# BBB <!
;87(4ก7g8#$7ก:$ก3;ก87#$86V"$%7:$6กg8#$
6<$3(ก4ก7ก'!:กก%# 10 X4ก 6 (:3$ กก%# 4 3!$ 1 (:3$ :#
ก4#X4ก6753ก$ X
;62$
SSij = ai 0 + ai1 ln(1 + TTM ij ) + ai 2 Plusij + ai 3 Minusij + ε ij , i = AAA, AA, A, ; BBB
U(:7
SSij
TTM ij
Plusij
Minusij
Spread $4ก3%7 j $ Rating i
:4$$4ก3%7 j $ Rating i
3%;(37'7$< # 1 5กRating $4ก j 64 + ; 0 5
64 ‘ #64
3%;(37'<7$# 1 5กRating $4ก j 64 - ; 0 5
64 + #64
(3$3!6ก;62$3!$(3$ก#%6<$ก23กV#ก5(5:9$ (Linear
Regression) ;ก23$$:74( (Ordinary Least Square: OLS) 3!$! 4 ก62% Rating (AAA,
AA, A, BBB) U(:ก$ Rating AAA #3%; Plus ; Minus 7$6ก Rating !#64 #%ก
$ Rating BBB #3%; Minus 7$6ก$4กก9 Rating BBB- #8:$8
7V# Regression ;% 6(#3X•$;#ก 6ก3!6<$;# TTM
#ก3 1 ‡, 2 ‡, 3 ‡, 5 ‡, 7 ‡ ; 10 ‡ 87(# Spread $
- Lcb#
"95:ก(; Curve :%3 87(g8%$ Spread (U(:กก%377
$ก9#$ As of date ;%ก(
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ก$ก(%)U( excel file ก(
65/136
ThaiBMA
5ก$ก2%V Spread 7 Interpolate 6ก Curve 5ก Rating 7$ก #
:4$9#$ TTM (:#%#$ 0-10 ‡) ;ก(
"38X)6;#$ Credit Spread, Liquidity
Spread ; Total Spread U(:#%: basis points
!V#W
Credit Spread 59$$23ก3!$$$787$ก(;ก( ก
3!$:3$59$$ก ;ก'!:7#(g8#$ก3ก ;ก6ก!:3$
U:9)239$$ก2%V4กก: (cost of borrowing) 3(ก!:23กก:
23X8V9:)ก(%: Credit Spread Curve 7(3!#$$$ Spread 7%:(:7$<! 3!$
($:4$ ( Rating 75;:ก Rating 764 %5<$5ก5<$ Spread #%7
5<$%7:$@8(((ก(%:
iBond
66/136
ThaiBMA
#$
: Yield Curve > Corporate Spread > Liquidity Spread Curve
!ก:
iBond
67/136
ThaiBMA
Spread 7%7:$(g8#$$4กก9;:ก Rating 3!$;# AAA 5<$ BBB
;($:#;$ Graph ;$ %3!$52%V Spread Interpolation (%:
M$ D
EกกYa
- M$D
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7293กhV3(%$ (Cross-Sectional Data) '<7$ก::
:3%$4กก9 V %3(%3<7$ U(:63(ก&4ก u %37 15 ;!( 7$6ก%37 dealer 63(#$
'!$4กก9 U(:$4ก76#:(ก!:$7 #X;;y$ Rating 3!$;# BBB <!
;87(4ก75<$%7:$6กg8#$ 6<$3(ก4ก7ก'!::ก%# 10 X4ก 6
(:3$;'!::ก%# 4 X4ก 1 (:3$ ; #(:#ก4#53ก$ X
;62$
SSij = ai 0 + ai1 ln(1 + TTM ij ) , i = AAA, AA, A, ; BBB
U(:7
SSij
TTM ij
Spread $4ก3%7 j $ Rating i
:4$$4ก3%7 j $ Rating i
(3$3!6ก;62$3!$(3$ก#%6<$ก23กV#ก5(5:9$ (Linear
Regression) ;ก23$$:74( (Ordinary Least Square: OLS) 3!$! 4 ก62% Rating (AAA,
AA, A, BBB)
7V# Regression ;% 6(#3X•$;#ก 6ก3!6<$;# TTM
#ก3 1 ‡, 2 ‡, 3 ‡, 5 ‡, 7 ‡ ; 10 ‡ 87(# Spread $
- Lcb#
"95:ก(; Curve :%3 87(g8%$ Spread (U(:กก%377
$ก9#$ As of date ;%ก(
ก$ก(%)U( excel file ก(
5ก$ก2%V Spread 7 Interpolate 6ก Curve 5ก Rating 7$ก #
:4$9#$ TTM (:#%#$ 0-10 ‡) ;ก(
"38X)6;#$ Credit Spread, Liquidity
Spread ; Total Spread U(:#%: basis points
iBond
68/136
ThaiBMA
!V#W
Liquidity Spread 59$$23ก3!$$$787$ก(;ก(
ก3!$:3$59$$ก กก3 Credit spread 87 Total spread 7;6$
ก<!U(:2<$5<$"$%7:$6กg8#$( %: ;ก6ก!:3$U:9)239$$ก
2%V4กก: (cost of borrowing) 3(ก!:23กก:23X8V9:)ก(%:
Credit Spread Curve 7(3!6#$$$ Spread 7%:(:7$<! 3!$($:4$ (
Rating 765;:ก;# Rating
iBond
69/136
ThaiBMA
#$
: Yield Curve > Corporate Spread > Credit & Liquidity Spread Comparison
!ก:
9ก:: Credit spread ; Total spread ;# rating 875<$%7:$6ก
g8#$;#: rating 3!u U(:5(;#%3 (U(:กก%377$ก9#$ As of
date ก rating 7$ก ;%ก(
iBond
ก$ก(%)U( excel file ก(
70/136
ThaiBMA
#$
: Yield Curve > US Treasury
!ก:
:
;($%383X)%#$3"; (Yield) ;:4$ (TTM) $!7กU(:
ก%$ก3$3[ก (US Treasury)
M$ D
E กYa: 26ก Website ก%$ก3$3[ก
(http://www.ustreas.gov/offices/domestic-finance/debt-management/interest-rate/yield.shtml) U(:7%Xก
2%V3! 5((6ก http://www.ustreas.gov/offices/domestic-finance/debt-management/interestrate/yieldmethod.html
!V#W:
987(%7%3";$ US Treasury ;#%3
iBond
71/136
ThaiBMA
#$
: Yield Curve > SOE Spread Matrix
!ก:
SOE Spread Matrix $;($#%9(9:%7:$$3[%ก67"ก83X3
3[%ก6 '<7$#%9(9:%7:$!65ก%ก87<!6ก3";83X33[ 87%7:$
(#$u $83X33[%ก6 U(:$;#$ Spread :4$ :"ก
M$D
EกกYa
#%9(9:%7:$$$!(6กก Quote $ Primary Dealers '<7$6 Quote 4ก3()
(4ก%37 7, 15, 22 ;%32ก4(:$() Primary Dealers 6 Quote : Issuer U(:;#
Issuer 6;#$ Tenor ก 3 (, 1 ‡, 3 ‡, 5 ‡ ; 7 ‡ 6ก3!6<$2ก#@7: Spread U(:7 Spread
7#:#%#$ #@7: +/- SD 65ก3(!$ ;2ก#@7:ก3!$
"95:ก( Spread Matrix :3$:%3 U(:กก%3Quote 7$ก9#$
$ ก$ก(%)U(:%33$6กก%37$ก;% ก(
ก6ก!"95:ก
(%)U( SOE Spread Matrix :3$:‡( U(:ก4‡7$ก9#$$;% ก(
!V#W
$! 5 ก ก;87 ;# $ $ $ # % 9(9:%7 : $$83 X3 3 [% ก 6 87 U:9)23ก2 ก;'!: %5<$ก2X4ก Bilateral Repurchase Agreement
%#$X;#$: ; Primary Dealers
iBond
72/136
ThaiBMA
#$
: Calculation
http://www.ibond.thaibma.or.th/calculation/result_cal.aspx
!ก:
1
2
Calculation 9ก2%V3";$! '<7$ก(%: 2 #%
1. ]Y!h
E $Y!b#
Ya
Symbol:
3x3กhV)$!7$ก2%V
Settlement Date:
%3#$;92$!
Trade/Ref. Time:
%3;%7ก$'!:!
Yield (%):
3";;(‡%57$ก6#:$#‡ #%::
Call/Put Date:
%37ก9X•;y$7"ก5#5ก#ก2(5#5 "5:"ก(ก#
ก2(5#5 (Call/Put) 923ก2%V!7X•;;y$;(%#6
ก9X•#3!
No. Unit:
62%#%:$!7$ก2%V
Price (%):
#%:::ก33%
@A
- 5$ก"38X)6กก2%V7::ก33% #9#$ Yield (%) ;%
9#$ Price (%) %#$%
iBond
73/136
ThaiBMA
- 5$ก"38X)6กก2%V73"; Yield (%) #9#$ Price (%) ;%9#$
Yield (%) %#$%
2. ]DF cW
Ys (%):
3";;(‡ 2 3!$ (Bond Equivalent Yield) #%::
DM (%):
#%!2$3"; (Discount Margin) U(:#%:: 6;($"23
!76#:$;:3%#3!
Gross Price (%):
%(ก!:$3 #%:::ก3#3%
Clean Price (%):
#%(ก!:$3 #%:::ก3#3%
AI (%):
(ก!:$3 #%:::ก3#3%
Gross Value (THB):
%(ก!:$3 #%:
Clean Value (THB):
#%(ก!:$3 #%:
AI Value (THB):
(ก!:$3 #%:
DSC:
62%%3%#$%3#$5<$%36#:$$%(53(
DCS:
62%%3%#$%36#:$$%(7"#5<$%36#:#$
I (%):
3(ก!:$$ V %3;%72ก'!: (23!76#:$;
:3%#3!)
PVBP:
3ก7:;$#!#ก7:;$$3"; 0.01%
(1 basis point)
Macaulay Duration (Yr): # Macaulay Duration
Modified Duration:
# Modified Duration
Convexity:
# Convexity
Coupon Rate/K (%):
3ก6#:$}6643 $%(53( (23!76#:(ก!:;:3%)
Coupon Type:
g$$76#:
Current Par (THB):
3%}6643 #%:
XI Period:
:%%#$`(4(:;%36#:$ #%:%3
Frequency of Payment: %57ก6#:$#‡
TTM (Yr):
iBond
:4$ #%:‡
74/136
ThaiBMA
Call/Put Date:
%375#5ก#ก2(5#5"5:"ก(ก#ก2(5#5
6;($"23ก2%V!7X•;;y$;(%#6ก9X•#3!
M$D
EกกYa
7 9ก2%V 3 ";$! %3 ก %3ก2(
5#5 62%$ 3;%57$ก6#:$ %5<$3(ก!:$$ (23ก2%V
!g6#:$;:3%) 26ก[$ ThaiBMA
ก2%V#$! Calculation 93กก((ก;$76(3
($) $!(%:3";7"9$ก2%V U(:[ (Convention) ก(#
$76(323!7#ก::6#:$;#$%(; 30/360 :ก%$%(7
$;#&$%( (Odd) 6(;%36$/365 ;:%79ก(($;#$%(;%3
6$/365
23!7ก::6#:$ (Amortizing Bond) [ก(#$7
6(3 ;#$%(;%36 $/365 ;:%7 9 ก (( $;# $%(ก& ;%3
6$/365 (%:9#ก3
!V#W
" 9 52 %V # 3 ";$! ; # 4# 7 ก<! :ก3 ThaiBMA U(:กก8:$3x3กhV) (Symbol) 3";# (Yield/Price) %3#$;92
$! (Settlement Date) #%7u7ก7:%$;62ก92%V65ก(<$6ก[
$ ThaiBMA U(:7"9#62$กก
iBond
75/136
ThaiBMA
#$
: Calculation > ILB Calculation
!ก:
1
2
ILB Calculation 9ก2%V3";$83X39(9:$m '<7$ก(%: 2
#%
1. ]Y!h
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Ya
Symbol:
3x3กhV)$83X39(9:$m 7$ก2%V
Settlement Date:
%3#$;92$83X39(9:$m
Trade/Ref. Time:
%3;%7ก$'!:83X39(9:$m
Real Yield (%):
3";;(‡%57$ก6#:$#‡ #%:: U(:
#("$3$m
No. Unit:
62%#%:$83X39(9:$m 7$ก2%V
Unadjusted Price (%): #%:::ก33% U(:7:3$#(3#%9(9:$m
@A
- 5$ก"38X)6กก2%V7::ก33% #9#$ Real Yield (%)
;%9#$ Unadjusted Price (%) %#$%
- 5$ก"38X)6กก2%V73"; Real Yield (%) #9#$ Unadjusted
Price (%) ;%9#$ Real Yield (%) %#$%
iBond
76/136
ThaiBMA
2. ]DF cW
Index Ratio :
#793$;(ก!:879(9:ก33$m
Settlement Amount (THB): #%72ก#$;92U(:3(%:3$m;%
Unadjusted Gross Price (%): %(ก!:$3ก#73(%:3$m #%:::ก3#
3%
Unadjusted Clean Price (%): #%(ก!:$3ก#73(%:3$m #%:::ก3#
3%
Unadjusted AI (%):
(ก!:$3ก#73(%:3$m #%:::ก3#3%
3%
DSC:
62%%3%#$%3#$5<$%36#:$$%(53(
DCS:
62%%3%#$%36#:$$%(7"#5<$%36#:#$
PVBP:
3ก7:;$#!#ก7:;$$3"; 0.01%
(1 basis point)
Macaulay Duration (Yr): # Macaulay Duration
Modified Duration:
# Modified Duration
Convexity:
# Convexity
Real Coupon Rate/K (%): 3ก6#:$}6643 $%(53( (23!76#:(ก!:;:3%)
Coupon Type:
g$$76#:
Unadjusted Par (THB):
3%}6643ก#763(%:3$m #%:
XI Period:
:%%#$`(4(:;%36#:$ #%:%3
Frequency of Payment: %57ก6#:$#‡
TTM (Yr):
iBond
:4$ #%:‡
77/136
ThaiBMA
M$D
EกกYa
7 9ก2%V 3 ";$! %3 ก %3ก2(
5#5 62%$ 3;%57$ก6#:$ %5<$3(ก!:$$ (23ก2%V
!g6#:$;:3%) 626ก[$ ThaiBMA
ก2%V#$! ILB Calculation 93กก((ก;$76(3
($) $!(%:3";7"9$ก2%V U(:[ (Convention) ก(
# $76 ( 3 23!7#ก::6# : $ ;# $%(; 30/360
:ก%$%(7$;#&$%( (Odd) 6(;%36$/365 ;:%79ก(($;#$%(
;%36$/365
23!7ก::6#:$ (Amortizing Bond) [ก(#$7
6(3;#$%(;%36 $/365 ;:%79 ก(($;#$%(ก&; %3
6$/365 (%:9#ก3
!V#W
" 9 52 %V # 3 ";$! ; # 4# 7 ก<! :ก3 ThaiBMA U(:กก8:$3x3กhV) (Symbol) 3";# (Yield/Price) %3#$;92
$! (Settlement Date) #%7u7ก7:%$;62ก92%V65ก(<$6ก[
$ ThaiBMA U(:7"9#62$กก
iBond
78/136
ThaiBMA
#$
: Bond Price > End of day trading > Daily Trading Movement
!ก:
4
2
1
3
M$ D
E กYa :
ThaiBMA Daily Report :$4ก'!:62%3 U(:;#$ 4 #%3ก
]M$ 1 : Trading Value ((':) ;($4:(% (Gross Value) $X4ก'!:3!$( ;
:(%X4ก'!:;:กg Outright, Financing ; Other
]M$ 2 : ThaiBMA Government Bond Index ;($ Index ;:ก Clean Price, Gross Price ;
Total Return (::(;ก2%V5((6ก Indices)
]M$ 3 : ;($::($X4ก'!:62%34;:ก Symbol U(:;($2(3g$
ก'!: ;#$
(3.1) Cash Trading Transactions X4ก'!:; Outright 7;($$;# Symbol
ก(%:
• Issue Symbol: 97$ Symbol
• TTM: :4$ (‡)
• Coupon: $ (%)
• Bid Yield (%) : Quote Bid @8$ Government Bond U(:ก(%:
o Best Bid (%): Bid Yield 77274(6กก Quote $ Primary Dealer
o Average (%): #@7: Bid Yield 6กก Quote $ Primary Dealer
o Best Bid Price: 72%V(6ก Best Bid Yield (Settlement date = t+2)
• Best Offer Yield (%) : Offer Yield 7$74(6กก Quote $ Primary Dealer
• Last : `($;# Symbol 62%3 '<7$ก(%:
iBond
79/136
ThaiBMA
Executed Yield (%): Yield 6ก:ก'!:#4(79`(
DM: Discount Margin 23 Floating Rate Bonds
YTP/ YTC: Yield to Put ; Yield to Call 23 Puttable ; Callable Bonds
Price (%): Clean Price 72%V6ก Last Executed Yield Settlement Date 7'!:6$
Gross Value (THB): #ก'!: = Gross Price * Volume
Flag: SL 23:ก7 Small Lot (:ก%# 10 23 Government
Bonds ; :ก%# 5 23 Corporate Bonds)
NL (Not in Line) 23786V;%%##6#9#3";7%6
g%(9#%$3! ;6#7623!9ก Mark to Market
• Weighted Average
o Yield (%): #@7:$ Executed Yields $:ก'!:4ก:ก$;# Symbol
o Price (%): @7: (Average Clean Price) $:ก'!:4ก:ก$;# Symbol
o Total Gross Value (THB): #%$:ก'!:4ก:ก
o
o
o
o
o
o
(3.2) Financing Transactions X4ก'!:; Financing 6;($;:กg$
Bond ;;($62%%3 (Terms) #@7:$3(ก!: (Weighted Average Rate (%)) ;#
%$X4ก;:ก62%%3 (Total Gross Value)
(3.3) Other Transactions X4ก'!:;7u 7#9#; Outright Financing U(:6
;($;:กg$ Bond ;;($62%%3 (Terms) #@7:$3(ก!: (Weighted
Average Rate (%)) ;#%$X4ก
]M$ 4 : 23 Download m) ThaiBMA Daily Report ; CSV
!V#W:
ThaiBMA Daily Report 9$$87ก2 Mark to Market
iBond
80/136
ThaiBMA
#$
: Bond Price > End of day trading > Daily Trading Movement (FX)
!ก:
กV7"9$$ก4$X4กก'!:$!ก4$#$ "9$
5ก(#% Daily Trading Movement (FX) U(:5ก%377$ก9#$ Enter Date
ก(%)U(; excel U(:ก(7
#%$$;($4:(%$X4ก'!:%377"9$ก2( ;:กg
Outright, Financing ; Other $#%#$687::($X4กg#$u7ก'!:%3
3!u ;#$ Cash Trading Transactions, Financial Transactions ; Other Transactions
!V#W:
4X4ก'!:$!ก4$#$ 59$$ ;9
กก%)g%;%U$(!(
iBond
81/136
ThaiBMA
#$
: Bond Price > End of day trading > Spread & Duration
!ก:
M$D
E กYa:
Spread & Duration ;($# Spread ; Duration $;# Symbol 7X4ก'!:;#%3
U(:;($ก(%:
• ThaiBMA Bond : 97 Symbol ;:กg$ Bond
• Rating TRIS/ FITCH : (!$
• TTM : :4$ (‡)
• Last Executed Yield (%) : Yield 6ก:ก'!:#4(79`(
• Average Executed Yield (%) : #@7:$ Executed Yields $:ก'!:4ก:ก;# Symbol
• Spread (bp) : # Nominal Spread $ SOE ; Corporate Bonds 2%V6ก Duration base
• Mod Duration : # Modified Duration 2%V6ก Last Executed Yield and Price ก2%V(3$!
Modified Duration =
iBond
Macaulay Duration ,U(:7 YTM = 3";756ก2(:4
YTM
(1 +
)
H
H = 62%$%(ก6#:$#‡
82/136
ThaiBMA
• Mac Duration : # Macaulay Duration 2%V6ก Last Executed Yield U(:9ก2%V(3$!
N
Macaulay Duration = ∑ (
n =1
PVn
).t n
P
,U(:7
PVn = #}6643$ก;$( V $%(7 n
t n = :%36ก}664365<$$%(7 n
P = $!
• Convexity : # Convexity 2%V6ก Last Executed Yield U(:9ก2%V(3$!
Convexity =




1 1
1
CFt
× ×
× ∑
(t 2 + t )
2
H
P (1 + YTM ) 2 t =1  (1 + YTM )t

H

H

n
U(:7
P
= $!
CFt
= ก;$( (Cash Flow) V % t
YTM
= 3";756ก2(:4
H
= 62%$%(ก6#:$#‡
3!$! #%!5 Download m); CSV (74%
!V#W:
Spread & Duration 59ก ThaiBMA Daily Report ;9#%:ก
%7:$ U(:#$:%2%V
iBond
83/136
ThaiBMA
#$
: Bond Price > End of day trading > Trading Movement
!ก:
"9$5ก(ก7:;$$ Yield 9#%$:%7ก2(8ก3(3!$#ก 5 4#
U(:5ก2((%#$ก Yield 6ก Trading, Quotation Spread (Nominal) ;5
ก;$ Output (3!$;($ Graph Download Excel
iBond
84/136
ThaiBMA
#$
: Bond Price > End of day trading > Trading Summary
!ก:
กV7"9$$ก4$X4กก'!: "9$5ก(#% Trading
Summary U(:5ก2(9#%$%7$กก(:(
#%$$;($4:(%$X4ก'!:9#%$%7"9$ก2( ;:กg
Outright, Financing ; Other $#%#$687ก;#$g$ Bond Government,
Corporate ; Foreign Bonds
!V#W:
4X4ก'!:59$$ ;9กก%)g%;%U
$(!(
iBond
85/136
ThaiBMA
#$
: Bond Price > Intraday Trading
!ก:
:
;($:ก'!:%#$%3 7;($(;ก# Symbol (!72ก'!:), Yield (3
";7'!:) ; Report Time %7:$ก'!::3$ ThaiBMA
Horizontal Display ;($:ก'!:$;;%
Vertical Display ;($:ก'! :$;;%($7
M$ D
E/ กกYa: 26ก:ก'!:7 Dealer :$:3$ ThaiBMA U(:63(;($ 2
; Non-Corporate Bond – 6;($g: 15 3$(3:$
Corporate Bond – 6;($ 2 12:00 . ; 16:00 .
!V#W:
87(g%ก'!:!%#$%3%5<$ก7 %$ Yield 7'!:
iBond
86/136
ThaiBMA
#$
: Bond Price > Quotation > Treasury Bill Quoted Yields
!ก:
:
;($3";'! (Bid) : (Offer) @7:$!g3%$3$
(Treasury Bills) U(:;#$ก4#9#%$:4 (;ก# 1 (, 3 (, 6 ( ; 1 ‡
M$ D
E/ กกYa:
26ก#@7: Bid/ Offer 7 Dealer 7(3ก;#$3!$6กX;#$: Quote
:3$ ThaiBMA 4ก!%3 (16:00 .)
!V#W:
87(g%3";ก'!:$!:3!:4$#ก 1
‡ ;9$$23ก2(! U(:529$$กก2('!
: (#:4X$! 23ก4#ก$4 ก3 8)ก$47u (
iBond
87/136
ThaiBMA
#$
: Bond Price > Quotation > Government Bonds Quoted Yields
!ก:
:
;($3";'!@7: (Average Bid) $83X33[g Loan Bond (LB)
U(:;($: 7;($(;ก# Bond (!), Coupon (3";3%), Maturity
(%3ก2(:4), TTM - Time to Maturity (:4$), Quoted Date (%372ก'!) ; Quoted
Yield (Average Bid)
M$ D
E/ กกYa:
26ก#@7: Bid 7 Dealer 7(3ก;#$3!$6กX;#$: Quote :3$
ThaiBMA 4ก!%3 (16:00 .)
!V#W:
87(g%3";ก'!$!g3[4ก9#%$:4; Yield 7
29ก2 Government Bond Yield Curve ;9$$23ก2(! U(:
529$$กก2('!: (#:4X$! 23ก4#
ก$4 ก3 8)ก$47u (
iBond
88/136
ThaiBMA
#$
: Bond Price > Quotation > State Owned Enterprise Bonds Quoted Yields
!ก:
:
;($3";'!@7: (Average Bid) $83X33[%ก6 (SOE) U(:;($:
7;($(;ก# Bond (!), Coupon (3";3%), Maturity (%3ก2(:4),
TTM - Time to Maturity (:4$), Quoted Date (%372ก'!) ; Quoted Yield (Average Bid)
M$ D
E/ กกYa:
26ก#@7: Bid 7 Dealer 7(3ก;#$3!$6กX;#$: Quote :3$
ThaiBMA 4กu 7 %3 4ก%37 7, 15, 22 ;%32ก4(:$( U(:5%37 7, 15 22 $ก3%3:4(
2ก 67%32ก53(
ก2%V62# Yield 7 Quote 3!$;# 3 :<!# Standard Deviation (SD) ก
#$ Yield :(#:#9#%$ +/- 1 SD 65ก3(ก #% Yield 762#@7:87;($
Quoted Yield
!V#W:
879$$23ก2(! U(:529$$กก2(
'!: (#:4X$! 23ก4#ก$4 ก3 8)ก$47u (
iBond
89/136
ThaiBMA
#$
: Bond Price > Quotation > State Agency Bonds Quoted Yields
!ก:
:
;($3";'!@7: (Average Bid) $!7กU(: State Agency U(:
;($:7%37ก2( #%x#7กt!6$ก$487กm—˜m;
83Ž53ก$
7;($(;ก# Symbol (!), Average Bidding Yield (3";'!@7:),
Maturity (%3ก2(:4) ; TTM - Time to Maturity (:4$)
M$ D
E/ กกYa:
26ก#@7: Bid 7 Dealer 7(3ก;#$3!$6กX;#$: Quote :3$
ThaiBMA 4ก!%3 (16:00 .)
!V#W:
87(g%3";ก'!$!7กU(: State Agency ;9
$$23ก2(! U(:529$$กก2('!:
(#:4X$! 23ก4#ก$4 ก3 8)ก$47u (
iBond
90/136
ThaiBMA
#$
: Bond Price > Quotation > Corporate Bonds Quoted Yields
!ก:
:
;($3";'!@7: (Average Bid) $4กก9U(:;($: 7;($(;ก# Bond (!), Coupon (3";3%), Maturity (%3ก2(:4), TTM - Time
to Maturity (:4$), Quoted Date (%372ก'!) ; Quoted Yield (Average Bid)
M$ D
E/ กกYa:
26ก#@7: Bid 7 Dealer Quote :3$ ThaiBMA 4กu 15 %3 4ก%37 15 ;%32
ก4(:$( U(:5%37 15 $ก3%3:4(2ก 67%32ก53(
ก2%V62# Yield 7 Quote 3!$;# 3 :<!# Standard Deviation (SD) ก
#$ Yield :(#:#9#%$ +/- 1 SD 65ก3(ก #% Yield 762#@7:87;($
Quoted Yield
!V#W:
879$$23ก2(! U(:529$$กก2(
'!: (#:4X$! 23ก4#ก$4 ก3 8)ก$47u (
iBond
91/136
ThaiBMA
#$
: Bond Price > Quotation > Foreign Bonds Quoted Yields
!ก:
:
;($3";'!@7: (Average Bid) $83X3#$U(:;($:
7;($(;ก# Bond (!), Coupon (3";3%), Maturity (%3ก2(:4), TTM Time to Maturity (:4$), Quoted Date (%372ก'!) ; Quoted Yield (Average Bid)
M$ D
E/ กกYa:
26ก#@7: Bid 7 Dealer Quote :3$ ThaiBMA 4กu 15 %3 4ก%37 15 ;%32
ก4(:$( U(:5%37 15 $ก3%3:4(2ก 67%32ก53(
ก2%V62# Yield 7 Quote 3!$;# 3 :<!# Standard Deviation (SD) ก
#$ Yield :(#:#9#%$ +/- 1 SD 65ก3(ก #% Yield 762#@7:87;($
Quoted Yield
!V#W:
879$$23ก2(! U(:529$$กก2(
'!: (#:4X$! 23ก4#ก$4 ก3 8)ก$47u (
iBond
92/136
ThaiBMA
#$
: Bond Price > Firm Quotation
!ก:
:
;($ก'!;:3!$ Yield ;'<7$'!:(6$$77ก2( 7
;($ (;ก# Bid ; Offer '<7$3!$ Yield, Price, High, Low ; Average %5<$;:ก$;#
Dealer 7 Quote (%:
M$ D
E/ กกYa:
26ก Bid ; Offer 7 Dealer 7(3ก;#$3!$6กX;#$: Quote :3$
ThaiBMA
!V#W:
87(g%3";ก'!:7ก'!:ก3(6$$77ก2(
iBond
93/136
ThaiBMA
#$
: Bond Price > Mark to Market
!ก:
3"; #;#$ u $!!;:กg$"ก87%
(%กก:ก9 ;#5ก"9$ก9#$!3!$(ก&52(U(:ก7 Tab ™Show
Allš 5ก$ก97 CSV File ก&5ก(6ก Download Plain Vanilla CSV files
@]DX
Bond:
3x3กhV)$!
Coupon:
$76#: #%::#‡
Maturity:
%3ก2(5#5
TTM:
:4$35<$%3(5#5 #%:‡
Type:
g$!U(:;#$ก6#:$
Coupon Type: g$ก6#:$
Rating:
3(3%#975$h3"ก!'<7$63(3(3U(: TRIS /; FITCH (Thailand)
Last Trade:
3";'!: (#%::) ;7%37ก'!:#4(
Last Quotation: ก(%:#@7: (Avg Yield) #$4( (Max) ;#724( (Min) $'!
(#%::) ;%3'<7$ก#$'!6ก"'!:!3!$;# 3 :<!3!$#4(
Model:
3";6ก;62$$…ht (#%::) ;#%9(9:%7:$ (Spread)
#%: Basis Point
Market Yield:
3";$!79$$ V !%3 #%::
DM (%):
#%!2$3"; (Discount Margin) #%:: ;6;($"23!
76#:$;:3%#3!
Clean Price (%): #%(ก!:$3 #%:::ก3#3%
iBond
94/136
ThaiBMA
AI (%):
(ก!:$3 #%:::ก3#3%3%
MOD:
# Modified Duration 23!7#9#!76#:$;:3% ;#
Effective Duration 23!76#:$;:3% #%:‡
CONV:
Convexity #%:‡2
Par:
#7%##%: #%: 5#ก;($#:%%#!4#3!#(
4#7%
Registration Status: 5ก<!:ก3$ ThaiBMA
Index Ratio:
#793$;(ก!:879(9:ก33$m
M$ DEกกYa
3";79$$ V !%3 (Market Yield) 66ก3";'!:#4(5
ก'!:!%33! u ;#ก#ก'!: Market Yield 66ก3";'!@7:
6ก"'!:!3!$;# 3 :<! ;5ก#3!$ก'!:;#3";'!@7:6ก
"'!:ก 3 : Market Yield 6(6ก;62$$…ht (Model Yield)
";'!@7:(6กX8V9:)7#3กก3X;#$: (Primary
Dealer) 9 : '<7$62ก#$3";$83X33[ ThaiBMA 4ก%3
#%$83X33[%ก67!2ก3U(:ก%$ก3$ "'!:! (Dealer) 6#$/
3";'!ก3$ ThaiBMA 4ก 7 %3 ;4ก 15 %3 2383X33[%ก67#ก!2
ก3;4ก$h3ก9
$! (ก!:$3 Modified Duration ; Convexity 7;($!(6ก
ก2%V(%:3กก(:%ก3ก3 Calculation U(:93";$$ V !%3 U(:ก2(%3#$
;92 (Settlement Date) 1 %33$6ก%3}6643 (T +1) !V#W
#:4X$! Mark to Market 5ก9#$$U(:ก$4%;
ก$42$!:$98ก2%V#38:)4X V !%3 (NAV)
iBond
95/136
ThaiBMA
#$
: Bond Price > Mark to Market > Structured Notes
!ก:
!;($#:4X$!483X) (Structured Note) 5ก$ก9
7 CSV File ก&5ก(6ก Download Structured Note CSV files
@]D X
Bond:
3x3กhV)$!483X)
Maturity: %3ก2(5#5
TTM:
:4$35<$%3(5#5 #%:‡
Type:
g$!U(:;#$ก6#:$
Rating:
3(3%#975$h3"ก!'<7$63(3(3U(: TRIS /; FITCH (Thailand)
Last Trade: '!: (#%::) ;7%37ก'!:#4(
Last Quotation:
'! (#%::) ;7%3'<7$#$'!3!$#4(
Model Gross Price %: #6ก;62$$…ht #%:::ก3#3% (}6643:3$#(ก)
MTM Gross Price %: #:4X! (%(ก!:$3) $$ V !%3 #%::
Registration Status: 5ก<!:ก3$ ThaiBMA
Relevant Statistics: 876ก;62$$…ht (5)
M$ D
E
#:4X!$$ V !%3 (MTM Gross Price) (6ก'!:#4(5ก'!
:! %3 3! u ;# ก# ก'! :69 '! 6ก" ก! " 63 (62 # :
(Arranger/Underwriter) ; '<7$U(:ก6ก"ก!"63(62#:6#$'!ก3$
ThaiBMA 4ก 15 %3 (%37 15 ;%3!()
!V#W:
#:4X$!483X) STN Mark to Market 5ก9#$$
iBond
96/136
ThaiBMA
#$
: Bond Price > Mark to Market > Download Historical > Plain Vanilla
!ก:
! 5:ก(:3$ Mark to Market ; CSV (5<$ ‡ 2006
iBond
97/136
ThaiBMA
#$
: Bond Price > Mark to Market > Download Historical > Structured Note
!ก:
! 5:ก(:3$ STN Mark to Market ; CSV (
iBond
98/136
ThaiBMA
#$
: Bond Price > Mark to Market > MTM Yield Movement
!ก:
! 5:ก(:3$ Time Series $ Mark to Market U(:6ก;($
Mark to Market Yield Quotation ก&( 5ก;($"(3!$;กm ; Excel
iBond
99/136
ThaiBMA
#$
: Bond Price > Mark to Market > MTM Price feedback
!ก:
MTM Price Feedback ! "95กก87#$!7$ก%6 #$
;#$u:3$ ThaiBMA U(:::(#%#$u(3$!
User Profile
User name :
Username $"97 Login ibond
97$"97 Login ibond
Organization : #%:$$" 97 Login ibond
Telephone :
:U38)$"9 ("9$กก)
E-mail address: E-mail $"9 7 $ก$# $ก3 (" 9$กก)
Name :
Select bond to feedback
%37$ Mark-to-Market 7 $ก Feedback
Bond Type :
9($!;#$ SA, GB, GSOE, NSOE, FB, CP ; CORP ("9ก()
Bond Symbol : 3x3กhV)!7$ก feedback ("9ก()
Mark-to-market yield : 3";$!7$ก Feedback
Feedback Detail: ::(#$u7" 9$ก#$7 ThaiBMA
Mark-to-market date :
U:9)
"957;#$:3$ THaiBMA (37787"(8( $ก;7$#$u( "#
$ MTM Price feedback
iBond
100/136
ThaiBMA
#$
: Bond Price > RP Reference Yield
!ก:
3";;#$!!;:กg$"ก87%(%ก
ก:ก9 ;#5ก"9$ก(#$!3!$(ก&52(U(:ก7 Tab Show All
@]D X
Bond:
3x3กhV)$!
Settlement Date:
%392;#$!
Avg. Bid Yield:
3";'!@7: #%::
Clean Price (%):
#%(ก!:$3 #%:::ก3#3%
Accrue Interest (%): (ก!:$3 #%:::ก3#3%
Gross Price (%):
%(ก!:$3 #%:::ก3#3%
Modified Duration
23!76#:$;:3% #%:‡
Convexity:
Convexity #%:‡2
Index Ratio:
#793$;(ก!:879(9:ก33$m
M$ DEกกYa:
3";$83X34##$ u RP Reference Yield (6ก#@7:$
'!7$X8V9:)7#3กก3X;#$: 9 : #$ ThaiBMA
iBond
101/136
ThaiBMA
U(:ก"'!:!6#$'!ก3$ ThaiBMA 4ก%3 2383X33[
3%$3$;83X3#%:$$g3[ (State Agency) ;2383X33[%ก67!2ก3U(:
ก%$ก3$6ก4ก 7 %3
$! (ก!:$3 Modified Duration ; Convexity 7;($! (6ก
ก2%V(%:3กก(:%ก3ก3 Calculation U(:93";'!@7: (Avg. bid yield) ;
ก2(%3#$;92 (Settlement Date) 1 %32ก3$6ก%3}6643 (T +1 %32ก)
!V#W:
3";$83X34##$ u RP Reference Yield 93";$$
ก2X4ก'!83X3 (Repo)
iBond
102/136
ThaiBMA
#$
: Bond Price > RP Reference Yield > RP Reference Yield (T+2)
!ก:
M$ DEกกYa:
9#(:%ก3 RP Reference Yield 8:$;#ก2(%3#$;92 (Settlement Date) 2 %32ก3$6ก%3}6643 (T+2 %32ก)
!V#W:
3";$83X34##$ u RP Reference Yield 93";$$
ก2X4ก'!83X3 (Repo) 7 Settlement Date T+2 %32ก
iBond
103/136
ThaiBMA
#$
: Bond Price > RP Reference Yield > RP Reference Yield (T+3)
!ก:
M$ DEกกYa:
9#(:%ก3 RP Reference Yield 8:$;#ก2(%3#$;92 (Settlement Date) 3 %32ก3$6ก%3}6643 (T+3 %32ก)
!V#W:
3";$83X34##$ u RP Reference Yield 93";$$
ก2X4ก'!83X3 (Repo) 7 Settlement Date T+3 %32ก
iBond
104/136
ThaiBMA
ThaiBMA Bond Indices
http://www.ibond.thaibma.or.th/main/govbond.html
!V#WD#@d
7$6กก$4g# $u 3! 3ก $4 3 ก62 3%%3( $:# $ 9 ก::
";6กก$4 73ก6(:97:ก%# Benchmark Index '<7$3%%3(!25<$5%
7%$(U(:%7ก7:%$ก3ก$4 :ก3%:#$9# 53ก$48)ก$44:#<7$
8)'<7$ก(%:4#$u 7(ก% 3";7(6กก$48)!5762
::ก3(39(3ก38:) (SET Index) (3943%7769#%$:%$ก$47
#ก3 '<7$623ก$4(&%# ก8)ก$447:#3!52((ก%#(39::
# ;%$ก%3(;!67:9ก3ก#"ก$4 (Fund manager) 7$6ก3%%3(
%5ก8); Active Portfolio $"ก$4%#62((ก%#3";6ก
(3972::# 52((ก%#ก&;%#"ก$43!u %57ก%#ก
3(ก3ก38:)72$48) '<7$3กกก::ก8) ก$4!5
29ก3ก$4!(U(:9(39!3%::
(39! (Bond Index) 7$$ก$7"$49(%7%$(
!U(:% ก4#$!7(63(ก4#% U(:(39!:g<!:#ก3%354$)
";7$ก%3(6กก$4ก4#!3!u '<7$U:9)$(39!54(
(3$!
1. 7$(g%%7%$(! U(:(393%9!ก7%$
;(ก!:73ก$46(3 ;g%กV)7:;$$3(ก!:
- ก3(ก!:($ !6$<! #(396$<!
- ก3(ก!:87<! !6($ #(396($
2. 7$79::"กก6กก$4 U(:::";72%V6ก
#(39ก3";7(36กก$48)$$ กV!686V$)ก7%#(%:
9# :4@7:$ g$ ; Duration $8)
3. 7$9::%7%%#$($g#$u 9# (4
(! ($ 3!$("; %7:$ %"3"%$(
4. 7$23x7$3X4ก#u79ก%7:$ 9# X4ก483X) 3(;ก#
Bond Index Option iBond
105/136
ThaiBMA
#@Md $eMYF ]V ThaiBMA
1. # c@q (ThaiBMA Government Bond Index)
(39%3(%7%$83X33[g Loan Bond (7<!3x3กhV)
ThaiBMA (%:3กh LB) U(:ก(%::#: 9# Average Yield, Average Duration ; Average
Convexity '<7$#@7:$ Yield, Duration ; Convexity $ก4#83X379ก2%V(395#%$!23ก
(%:#$$$83X33[;#4#
ก6กก4#(3983X33[%7ก(%:83X33[4ก4#;% ThaiBMA :3$(63(2(39
83X33[;:กก4#:#:u ก 5 ก4#U(:;#$:4$ (;ก#
1. ก4#(39!83X33[7:4$3!$;# 1 5<$ 3 ‡
2. ก4#(39!83X33[7:4$3!$;# 3 5<$ 7 ‡
3. ก4#(39!83X33[7:4$3!$;# 7 5<$ 10 ‡
4. ก4#(39!83X33[7:4$กก%# 10 ‡
5. ก4#(39!83X33[7:4$:ก%##ก3 10 ‡ ;#กก%# 14 %3
!ก:
3!$! ก$4!#%x# 3ก6ก;#$ก$49#%$:4#$u $! 7$6ก
ก7:;$$3"; ;"ก#ก7:;$$!7:43!;:%6
# # ก3 ก63 ( 2 (3 9 ! ;:ก ก4# :# :u 69# %: 7 $ %3 (%7 %7 :(<!
(69::ก$47U::ก$4;ก#$ก3(
iBond
106/136
ThaiBMA
2. #A
กEM
$ ]#$rb]DMA (Investment Grade Corporate Bond Index)
;#$ก 2 ก4#:#:(%:ก3 4ก73(3%#9753!$;# BBB <! ; BBB+ <! U(:
4ก(3$ก#%6;6#:(ก!:;$7 ก63(2(394ก;:ก#$ก6ก(3983X33[87
5%3(%7%$ก$44กก9'<7$7$%3("ก(2$$8)ก$4
$ก$4#$u(:#$:(:7$<!
7$6กก7%$4ก3กhV@8;6
;ก#$6ก%7%$83X33[ ThaiBMA (763(2(394ก3!$;#%37 2 กกt 2544
!ก:
3. #@dM (Composite Bond Index)
(39%3(ก$4!4กg(!: ก63(2(39!g!
%354$)87%3(%7%$ก$4!3!$( %3[$(39!:!77
100 %37 1 ก3:: 2549 U(:(39!:62%V6ก(3983X33[ (3983X33[%ก6
3!$7!2ก3U(:ก%$ก3$;#!2ก3 ;(394กก973(3%#975:#(3#
$4 (Corporate Bond Index BBB up)
iBond
107/136
ThaiBMA
!ก:
กFกDMAVb#
# @d
73ก$4;%%#(39!#$u:#:g7$73ก$462$2%6
กก9(39ก38)ก$4786V:# กV73ก$486V8)!7$4
@883X33[ (397ก23%%3("ก8)ก$4 (3983X3
3[ U(:7(393%!ก4#:#: (Subgroup) 7;:กก9#%$:4$#$u 9# 1 - 3 ‡ %# 3 - 7 ‡
'<7$3ก$4626$(%#83X33[72ก:#8)$43!ก:$ก383X3
ก4#:#:#!# 5ก%#ก:$ก%#ก&%9(3983X33[7ก4#:#:3%%3(;'<7$6
ก%# :ก3%:#$9# 58)ก$4ก(%:83X33[7:4$‡<!#3!
ก73ก$49(3983X33[ก72%V6ก83X33[4ก9#%$:4$ก&$#
3ก กV! (3973%%3(7%(3983X33[ก4#:#:79#%$:4กก%#‡ (TTM > 10
‡) :#$ก& 3%:#$กก9(39!7ก3(5กก#%5<$:#$#%u ก#!;%;#7$
73ก$4$6ก7:%ก3ก%3("ก$4U(:9(39 %354$);;$6$6ก9(393%%3("
4. #@sDLD (T-Bill Index)
(39%3(ก$4!:3!76ก%7:$ 3%$3$ U(:ก::
";72%V6ก#(393%$3$ก3";6กก$48)$3ก$4 3กก$(39
3%$3$$ ThaiBMA :ก3ก$43%$3$4ก4#7:#( U(:3(#%$ก$4
3%$3$;#4#2%V(6ก#$ (Outstanding Value) $3%$3$
iBond
108/136
ThaiBMA
!ก:
5. # Zero Rate Return (ZRR Index)
(39%3(ก$4!:4$776ก%7:$ 9# ZRR 1 Year Index (39%3(ก
$4!7%7:$7:4$77 1 ‡ U(:%3[$(39677 100 %37 2 ก 2545
(39!6U:9)239(39::8)ก$47U::ก$4!U(:ก2(
:4@7:$8)$47$7
iBond
109/136
ThaiBMA
!ก:
6. # c@qLกLe (State Owned Enterprise Index)
(39%3(ก$4!g83X33[%ก6 %3[$(3983X33[%ก6!
77 100 %37 1 $ 2549 U(:83X33[%ก6722%V(39%83X33[%ก63!$7
!2ก3U(:ก%$ก3$;#!2ก3 3!$! 83X33[%ก6722%V(393!กV~)3(ก
;ก2%V(399#(:%ก3(3983X33[ V %32%V(39 722%V$
:4$ (TTM) กก%# 14 %3 $g6#:(ก!:$7 (Fixed coupon) iBond
110/136
ThaiBMA
!ก:
7. # Corporate ZRR Index (Corporate Zero Rate Return Index)
(39%3(ก$4!g4ก73(3%#975(3 AAA AA A ; BBB U(:
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9. # c@qd (Short Term Government Bond Index)
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: Analysis > Graphic Analysis
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#$
: Analysis > Duration and Convexity > Bond Duration and Convexity
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: ThaiBMA Reports > Daily Report > Daily Market Summary
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: ThaiBMA Reports > Weekly Report > Foreign Trading
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: ThaiBMA Reports > Weekly Report > Private Repo
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: ThaiBMA Reports > Monthly Report > Thai Bond Summary (Part I)
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: Report > Annual Summary
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: Fact & Figures > Secondary Market
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