KBank Weekly FX and Bonds - 22 February 2021
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KBank Weekly FX and Bonds 22 February 2021
Feb 20 - CH: 1-Year Loan Prime Rate - 22-ก.พ. (market: 3.85%, last: 3.85%)
Feb 20 - CH: 5-Year Loan Prime Rate - 22-ก.พ. (market: 4.65%, last: 4.65%)
Feb 22 - SK: Exports 20 Days YoY - Feb (market: --, last: 10.60%)
Powell’s testimony; House’s vote on stimulus Feb 22 - GE: IFO Business Climate - Feb (market: 89.7, last: 90.1)
Feb 22 - EC: ECB's Lagarde Gives Keynote
Feb 23 - TH: Customs Exports YoY - Jan (market: 1.50%, last: 4.71%)
USD/THB is expected to trade in a range of 29.80-30.20
Feb 23 - SI: CPI YoY - Jan (market: 0.10%, last: 0.00%)
Development of a vaccination and coronavirus cases are still Feb 23 - UK: Claimant Count Rate - Jan (market: --, last: 7.40%)
major market focuses. The number of new cases starts slowing Feb 23 - EC: CPI MoM - Jan F (market: --, last: 0.20%)
while the vaccine administration is accelerated. Feb 23 - US: Powell T o Deliver Semi-Annual Monetary Policy Report
Feb 23 - US: Conf. Board Consumer Confidence - Feb (market: 90, last: 89.3)
On policy front, Powell will report the central bank’s semi- Feb 24 - GE: GDP SA QoQ - 4Q F (market: 0.10%, last: 0.10%)
annual monetary policy to Congress during Feb 23-24. US Feb 24 - US: New Home Sales - Jan (market: 859k, last: 842k)
Feb 24 - US: Fed’s Powell testifies Before House Financial Services Panel
Treasury Secretary Janet Yellen will speak about the economic - TH: Mfg Production Index ISIC NSA YoY - Jan (market: -6.20%,
Feb 25
outlook and financial market regulation at the New York Times last: -2.44%)
Feb 25 - TH: Capacity Utilization ISIC - Jan (market: --, last: 63.77)
conference. The House plans to hold its first floor vote on - TH: BoP Current Account Balance - Jan (market: -$530m, last: -
Feb 25
USD1.9 trillion stimulus package, with the goal of final passage $693m)
Feb 25 - GE: GfK Consumer Confidence - Mar (market: -14, last: -15.6)
before March 14. Feb 25 - EC: Consumer Confidence - Feb F (market: --, last: -14.8)
Feb 25 - US: Durable Goods Orders - Jan P (market: 1.30%, last: 0.50%)
EU leaders will hold a video summit through February 26 to
Feb 25 - US: Initial Jobless Claims - 43862 (market: --, last: 861k)
discuss travel restrictions and a plan for vaccines against Covid Feb 25 - US: GDP Annualized QoQ - 4Q S (market: 4.10%, last: 4.00%)
mutations. Feb 25 - SK: BoK 7-Day Repo Rate - 45689 (market: 0.50%, last: 0.50%)
Feb 26 - JN: Industrial Production MoM - Jan P (market: 4.00%, last: -1.00%)
On economic indicator, Thailand will release custom trade data Feb 26 - JN: Retail Sales YoY - Jan (market: -2.60%, last: -0.30%)
and BOT’s current accounts. And market expected the Bank of Feb 26 - US: Personal Income - Jan (market: 10.00%, last: 0.60%)
Feb 26 - US: Personal Spending - Jan (market: 0.70%, last: -0.20%)
Korea to hold its rate at 0.50%.
Feb 26 - US: U. of Mich. Sentiment - Feb F (market: 76.2, last: 76.2)
Source: Bloomberg, KBank
Covid-19 Situation Monitor
Coronavirus (COVID-19) Global cases
Source: WHO
7
FX updates
FX Market Source: Bloomberg, KBank
KBank THB NEER index
Index Level Change
22-Feb-21 123.52 DOD 0.0%
WOW -0.3%
All time low 96.64 MOM -0.3%
LT average 109.59 YOY 1.8%
All time high 126.52 YTD -2.0%
Source: BOT and KBank calculationRates Monitor
Bond Market Indicators
Thai government bond yields Thai government bond yields spreads
US government bond yields
US treasury yields spreads
Source: Bloomberg, KBankThai government bond yield curve stats
Source: Bloomberg and KBankNon-Resident Inflows FOREIGN ACTIVITY IN THAI FIXED INCOME MARKETS Unit: THB mn 15/02/2021 16/02/2021 17/02/2021 18/02/2021 19/02/2021 change D/D change W/W Trading Transaction: Evening (T-1): Buy (Thailand) 429.2 185.5 0.0 952.2 136.6 Trading Transaction: Evening (T-1): Sell (Thailand) 863.8 1,098.9 226.3 1,028.6 297.9 Trading Transaction: Evening (T-1): Net (Thailand) -434.6 -913.4 -226.3 -76.4 -161.3 Trading Transaction: Morning (T): Buy (Thailand) 1,094.9 1,243.0 218.3 828.7 241.6 Trading Transaction: Morning (T): Sell (Thailand) 860.8 1,557.1 1,722.1 960.9 179.1 Trading Transaction: Morning (T): Net (Thailand) 234.1 -314.1 -1,503.8 -132.3 62.5 Trading Transaction: Afternoon (T): Buy (Thailand) 2.4 1,517.2 556.9 331.4 534.8 Trading Transaction: Afternoon (T): Sell (Thailand) 448.8 873.2 1,167.0 587.8 1,602.9 Trading Transaction: Afternoon (T): Net (Thailand) -446.3 644.0 -610.1 -256.4 -1,068.0 Total Net Trade: Short-Term (TTM 1Y) (Thailand) -646.9 -811.9 -2,200.4 -863.2 -1,166.9 Total Net Trade: Total (Thailand) -646.9 -583.6 -2,340.1 -465.0 -1,166.9 Expired Bond (T) (Thailand) 0.0 0.0 0.0 163.2 0.0 Net Flow (Thailand) -646.9 -583.6 -2,340.1 -628.2 -1,166.9 Short-Term Holding (T) (Thailand) 63,460.3 63,689.3 63,553.8 63,789.2 63,578.9 -210.3 118.7 Long-Term Holding (T) (Thailand) 791,218.6 790,539.4 788,471.3 787,792.1 786,485.3 -1,306.8 -4,733.3 Total Holding (Thailand) 854,678.9 854,228.6 852,025.1 851,581.3 850,064.2 -1,517.1 -4,614.7 Expired Bond on Next Day (T+1) (Thailand) 0.0 0.0 163.2 0.0 20.0 Source: CEIC and KBank
Rich / cheap model Note: The red dot is the spread between current and estimated bond yield in each sector. The green line is an average bond yield during the last 3 months. The vertical line represented the yield movement during the past 3 months. Investors who do not have a solid view on yield curve outlook may use this model for short-term investment by buying an undervalued bond, whose yield above the average (red dot above green line), and selling an overvalued bond, whose yield below average (red dot below).Under an assumption of mean reversion, we expect the current yields will convert their average value in the next 3 months. Source: KBank
Fixed Income Auctions for February 2021
Unit: million baht
Monday Tuesday Wednesday Thursday Friday Total
1 2 3 4 5
TB21804A : 40,000 CB21506B : 55,000 LB256A : 30,000
CB22203A : 50,000 LB716A : 6,000 181,000
8 9 10 11 12
CB21513B : 55,000 LB246A : 30,000 SRT332A : 5,000
90,000
15 16 17 18 19
TB21818A: 40,000 CB21520B : 55,000 LB29DA : 20,000 BOT22NA : 25,000
140,000
22 23 24 25 26
CB21527A : 55,000 LB426A : 15,000
70,000
Total 481,000
Note: Auction schedule is based on information from PDMO and BOT; may be subject to changes.
7TFRS 9 is Now in Effect from 1 January 2020
TFRS 9 in 2020
TFRS with Effective Date 1 January 2020
Among other requirements, TFRS 9 requires
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ชือ ว ันทีม
่ ผ
ี ลบ ังค ับใช้ derivatives to be marked to market with changes in
TAS 32 เรือ่ ง การแสดงรายการเครือ ่ งมือทางการเงิน 1 ม.ค. 2563 fair value recognized in profit and loss. This will
TFRS 7 เรือ
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result in volatilities in profit and loss and financial
TFRS 9 เรือ
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่ งมือทางการเงิน 1 ม.ค. 2563 ratios of the Company.
TFRS 16 เรือ
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เรือ่ ง การป้ องกันความเสีย ่ งของเงินลงทุนสุทธิ Hedge accounting can be adopted to minimize profit
TFRIC 16 1 ม.ค. 2563
ในหน่วยงานต่างประเทศ and loss volatilities. However, the process can be
TFRIC 17 เรือ
่ ง การจ่ายสินทรัพย์ทไ ี่ ม่ใช่เงินสดให ้เจ ้าของ 1 ม.ค. 2563
TFRIC 19 เรือ่ ง การชาระหนีส ิ ทางการเงินด ้วยตราสารทุน
้ น 1 ม.ค. 2563
complicated and not all derivatives, such as short
option, would qualify for hedge accounting under
Source: tfac.or.th
TFRS 9.
In addition, TFRS 16 (leases) will be effective in
2020, which requires operating leases to be recorded
ThaiBMA provides on balance sheet as liabilities
helpful guidelines on
Companies should consult their external auditors
SPPI Assessment on TFRS 9 and TFRS 16 impacts.
Expected Credit Loss Useful resources
Calculation
www.tfac.or.th
www.thaibma.or.th
https://www.bot.or.th/Thai/FinancialInstitutions/
Highlights/Pages/InfoAccStandardAndReport.as
pxIBOR Discontinuation Coming in 2021/2022
Interest Rate Bench Mark Rates such as Libor and other
Interbank Borrowing Rate (“IBOR”) will be discontinued
by the end of 2021
Refer to Bank of Thailand Website for information on the
background and the impact on various cash and derivative
products.
https://www.bot.or.th/Thai/FinancialMarkets/Pages/R
eferenceInterestAndEndOfUseLIBOR.aspx
For assistance, please contact your Capital Markets Business
Team
KBank IBOR Disclosure can also be found at
https://www.kasikornbank.com/th/business/derivative
-investments/Documents/KASIKORNBANK-IBOR-
Benchmark-Disclosure_Publish.pdf
Source: bot.or.thISDA Fallback Protocol
Background information on the new derivatives fallbacks is available here.
For additional information on benchmark reform, visit ISDA’s benchmark reform and transition from LIBOR page on the ISDA website.
Non-primary dealer members i.e. corporate can adhere protocol for free before Effective Date (Jan 25, 2021).
Source: ISDA
Strictly Private and ConfidentialISDA Fallback Protocol Documentations
IBOR Fallbacks Supplement
http://assets.isda.org/media/3062e7b4/23aa1658-pdf/
IBOR Fallbacks Protocol
http://assets.isda.org/media/3062e7b4/08268161-pdf/
How to Adhere: Step-by-step instructions for an adhering party
http://assets.isda.org/media/3062e7b4/562d1a52-pdf/
IBOR Fallbacks Protocol FAQs
http://assets.isda.org/media/3062e7b4/3cfa460a-pdf/
Bilateral documents
http://assets.isda.org/media/79487fdd/
Outline of bilateral documents with descriptions
http://assets.isda.org/media/3062e7b4/bf8c96ca-pdf/
Source: ISDA
Strictly Private and ConfidentialDisclaimer “This document is intended to provide material information relating to investment or product in discussion and for reference during discussion, presentation or seminar only. It does not represent or constitute an advice, offer, contract, recommendation or solicitation and should not be relied on as such. In preparation of this document, KASIKORNBANK Public Company Limited (“KBank”) has made several crucial assumptions and relied heavily on the financial and other information made available from public sources, and thus KBank assumes no responsibility and makes no representations with respect to accuracy and/or completeness of the information described herein. Before making your own independent decision to invest or enter into transaction, the recipient of the information (the "Recipient") shall review information relating to service or products of KBank including economic and market situation and other factors pertaining to the transaction as posted in KBank’s website at URL http://www.kasikornbankgroup.com and in other websites including to review all other information, documents prepared by other institutions and consult financial, legal or tax advisors each time. The Recipient understands and acknowledges that the investment or execution of the transaction is the transaction with low liquidity and that KBank shall assume no liability for any loss or damage incurred by the Recipient arising out of such investment or execution of the transaction. Each Recipient including its employee or officer who receives this document or a copy of the document represents and agrees not to reproduce, distribute or provide it in whole or in part to any other person and agrees to keep confidential all information contained therein. KBank Foreign Exchange Disclosure can be found at https://www.kasikornbank.com/th/business/derivative-investments/Documents/KASIKORNBANK-Foreign-Exchange-Disclosure.pdf In the case of derivative products, where the Recipient provides incomplete or inaccurate information to KBank, KBank may not be capable of delivering information relating to investment or derivative products appropriate to the genuine need of the Recipient. The Recipient also acknowledges and understands that the information so provided by KBank does not represent the expected yield or consideration to be received by the Recipient arising out of the execution of the transaction. Further the Recipient should be aware that the transaction can be highly risky as the markets are unpredictable and there may be inadequate regulations and safeguards available to the Recipient. The Recipient acknowledges that there may be conflict of interest under the KBank’s services, whether directly or indirectly and should further consider the character, risk and investment return of each KBank’s product by reading details from relevant documents provided by KBank. KBank reserves the rights to amend either in whole or in part of information so provided herein at any time as it deems fit and the Recipient acknowledges and agrees with such amendment. Where there is any inquiry, the Recipient may seek further information from KBank or in case of making complaint, the Recipient can contact KBank at (662) 888-8822.” Strictly Private and Confidential 18
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่ น
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Tel: 02 470 6749
pareena.p@kasikornbank.com
อ ัญชลี ซิงห์
Tel: 02 470 3235
anchali.s@kasikornbank.com
วรดา ต ันติสน
ุ ทร
Tel: 02 470 1031
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