Contact ibond: ibond 1/136 ThaiBMA
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1 User Manual Last Updated:: March 2012 Contact ibond: Bond Pricing & Product Development Department, The Thai Bond Market Association (ThaiBMA) Tel ext. 217, 218, 210 address: Visit our website at ibond 1/136 ThaiBMA
2 ibond 4 Bond Info 5 Registered Bond 7 Auction & Result 25 Auction Schedule & Result 25 Auction Calendar 27 Bond Search 28 Issuer Information 30 Inflation Linked-Bond 31 Bond Update 37 FRN Rate Search 41 Yield Curve Government Bond Yield Curve 46 Zero Coupon Yield Curve 52 Alternative Zero Coupon Yield Curve 54 Par Bond Yield Curve 56 Implied 6 month Forwards 58 Corporate Bond Yield Curve 60 Corporate Spread 62 Average Spread 62 Credit Spread Curve 64 US Treasury 71 SOE Spread Matrix 72 Calculation 73 Calculation 73 ILB Calculation 76 Bond Price/ Indices 79 Bond Price 79 End of day trading 79 Intraday trading 86 Quotation 87 Firm Quotation 93 Mark to Market 94 Plain Vanilla MTM Pages 94 Structured Note MTM Pages 96 Download Historical MTM 97 Plain Vanilla 97 Structured Note 98 MTM Yield Movement 99 MTM Price Feedback 100 RP Reference Yield 101 RP Refernce Yield 101 RP Reference Yield (T+2) 103 RP Reference Yield (T+3) 104 ibond 2/136 ThaiBMA
3 Indices 105 Bond Index 106 Composite Bond Index 107 T-Bill Index 108 Zero Rate Return Index 109 SOE Zero Rate Return Index 110 Corporate Zero Rate Return Index 111 Commercial Paper Index 112 Short-term Government Bond Index 113 Analysis 114 Graphic Analysis 114 Rich/ Cheap Analysis 115 Duration and Convexity 117 Bond Duration and Convexity 117 Portfolio Duration and Convexity 118 Report 121 Daily Report 121 ThaiBMA Daily Report 121 Daily Market Summary 122 Weekly Report 123 Foreign Trading 123 Private Repo 124 Thai Bond Update 126 ThaiBMA Corner 127 Monthly Report 128 ThaiBMA Monthly Summary 128 Thai Bond Summary 129 Registered Bond 130 Month-end Closing Price 132 Annual Summary 133 Fact & Figures 134 Primary Market 134 Secondary Market 135 Composite Page 136 ibond 3/136 ThaiBMA
4 ibond ibond ก ก ก ก ก ก ก ก ThaiBMA ก ก ก Government Bond Yield Curve, Zero-Coupon Bond Yield Curve, Par Bond Yield Curve, Implied 6-M Forwards, Corporate Spread, SOE Spread Matrix ก ( / ก ) ก ก ThaiBMA (Bond Calculation Program) ก Bond Index, T-Bill Index Zero Rate Return Index ก ก - (End-of-Day Trading) - (Intraday Trading) - ก ก (Mark-to-Market Page) - ก (Quotation and Firm Quotation) - ก ก (RP Reference Yield) - (Overall Trading Statistics) - ก (Individual Trading Statistics) ( ก ก (PDF File)) ก - ( /, ก ) - (,, ) - (, ก ) - ก ก ก Composite Page ก ก ก ก ก ibond ก ก ก ก ibond 4/136 ThaiBMA
5 Bond Info : ก ThaiBMA ก 7 1. Registered Bond: ก (Registered Bond Outstanding) (New Registered Bond) ก (Bond Feature) ก ก Download Excel 2. Auction & Result: ก ก (Auction Schedule & Result) ก (Auction Calendar) 3. Bond Search: ก ก ก ก กก Download Excel 4. Issuer Information: ก ThaiBMA ก 5. Inflation-Linked Bond ก ก ก ก Inflation-Link Bond Real Yield ก 6. Bond Update: ก ก (XI Schedule) (Redemption Schedule) ก ก (Financial Covenant) ก ก ก (Coupon Reset Schedule) 7. FRN Rate Search: ก ก ก ก ก ก THBFIX ibond 5/136 ThaiBMA
6 : Bond Information > Outstanding : ก 3 1. Outstanding of ThaiBMA Registered Bond ก (Number of Issue) (Amount: THB) ก ก ก ก ก ก ก Click for more detail ก New Registered Bond ก ก 3. Select Bond ก ก ก (Bond Symbol) ก ibond 6/136 ThaiBMA
7 : Bond Information > Outstanding of ThaiBMA Registered Bonds >..Bond Type.. : ก ก Bond Type Outstanding of ThaiBMA Registered Bond ก ThaiBMA Download Excel ThaiBMA Symbol: ก ก ก ThaiBMA ก Local Issue Rating: ก ก... ก 2 o TRIS: ก TRIS Rating Co., Ltd. o Fitch (Thailand): ( ) Fitch Rating (Thailand) Ltd. International Issue Rating: ก ก ก... ก ก 4 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: ก ก ก Zero, Fixed, Float Fixed/Float Coupon Rate (%): ก Maturity Date: ก TTM: Outstanding Value (THB.mln): ( ) ibond 7/136 ThaiBMA
8 : Bond Information > Outstanding of ThaiBMA Registered Bonds > 2 Corporate Bonds : ก ก 2 Corporate Bond (Click for more details) Outstanding of ThaiBMA Registered Bond ก ก ThaiBMA ก ก ก ก (Number of Issue) (Amount: THB) ก ก ก Bond Information > Outstanding of ThaiBMA Registered Bonds >...Bond Type.. ibond 8/136 ThaiBMA
9 : Bond Information > Registered Bond > New registered.bond Type. : ก ก Bond Type New Registered Bond ก ThaiBMA ก Download Excel ก ก Treasury Government State Owned State Long-Term Commercial Foreign Foreign Currency Bill Bonds Enterprise Agency Corporate Papers Bonds Denominated Bonds Bonds Bonds Bonds ThaiBMA Symbol x x x x x x x x Issue Name x x x x Issue Size x x x x x x x x Type x x x x x x Par (THB) x x x x x x x x Term x x x x x x x x Coupon Type x x x x x x x Coupon Rate (%) x x x x x x x Issue x x x x x x x x Maturity x x x x x x x x Payment Date x x x x x x x x Registered Date x x x x x x x x Prospectus x x x x x x x x Issue Rating x x x x Total Outstanding Value x x x x Lead U/W x x x x Currency x ThaiBMA Symbol: ก ก ก ThaiBMA ก Issue Name: ก Issue Size: ก Type: ก ก ก ก ก ก ก ก Par (THB): 1,000 Term: Coupon Type: ก ก ก Fixed, Float, Fixed/Float Zero Coupon Coupon Rate (%): ก Issue: ก Maturity: ก Payment Date: ก 20/01, 20/7 ก 20 ก 20 ก ก ก Registered Date: Prospectus: Link ก ibond 9/136 ThaiBMA
10 Issue Rating: ก ก ก... 6 o TRIS: ก TRIS Rating Co., Ltd. o Fitch (Thailand): ( ) 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: ก ก ก Currency: ก Treasury bills Government Bonds State Owned Enterprise & State Agency Bonds ibond 10/136 ThaiBMA
11 Corporate Bonds, Commercial Paper, and Foreign Bonds Foreign Currency Denomenated Bond ibond 11/136 ThaiBMA
12 : Bond Information > Feature : ก Bond Feature 1. Bond Select Bond Information > Outstanding 2. Bond Information > Outstanding of ThaiBMA Registered Bonds >...Bond Type.. 3. Bond Information > Bond Search ก ก Bond Feature ก Bond Information > Feature ก Link 1. Feature: ก ก ก ก ก 2. Issuer Profile: ก ก ก ThaiBMA 3. Rating: 4. Cash flow: ก ก 5. Participants: ก ก ก ก ก 6. Pricing Data: 7. Bond News: 8. Auction & Result: ก ก 9. Outstanding Value: 10. Financial Covenant: ก ก 11. Embedded Option: ก ก ก Call Option Put Option ก ibond 12/136 ThaiBMA
13 Bond Feature Bond Information > Feature Name (Thai) : Issuer : ก ISIN Code : ก ก ก ก Bond Type : ก ก ก ก ก ก Issue Rating : ก ก ก... ก Initial Par : ก Current Par : Issue Size : ก Outstanding Size : Issue Date : ก Maturity Date : ก Issue Term : Coupon : ก Payment Frequency : ก ก Calculation Method : ก Put/ Call Option : ก ก ก Distribution : ก Registrar : Lead Underwriter(s) : ก ก ibond 13/136 ThaiBMA
14 Financial Advisor(s) : ก ก Debenture Holder Representatives : ก Covenant : ก ก Collateral : ก ก Amortized Schedule : ก Prospectus : Remark : : ก ก Click XI : ก XM : ก CD : ก ก ก XI EX CD ibond 14/136 ThaiBMA
15 : Bond Information > Issuer Detail : ก ก ก ก Issuer Name (Eng) : ก ก Company Rating : ก ก ก ก... ก Address : Tel : Fax : Website : Business Sector : ก Issues registered in ThaiBMA : ก ThaiBMA Financial Statement : ก Company Profile : Major Shareholders : ก ก : ibond 15/136 ThaiBMA
16 : Bond Information > Rating : ก Effective Date : ก Local Issue Rating : ก ก... ก 2 o TRIS : ก TRIS Rating Co., Ltd. o Fitch (Thailand) : ( ) Fitch Rating (Thailand) Ltd. International Issue Rating : ก ก ก... ก ก 4 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 : ก : ibond 16/136 ThaiBMA
17 : Bond Information > Cash flow : ก ก No. : ก ก Payment : ก XI Date : Par : Coupon (%) : ก Interest : ก Principal : Total Payment : ก ibond 17/136 ThaiBMA
18 : Bond Information > Participant : ก ก ก Sponsored Dealer : ก ก ThaiBMA Lead Underwriter : ก ก Registrar : Debenture holders' representatives : ก Financial Advisor : ก ก ibond 18/136 ThaiBMA
19 : Bond Information > Pricing Data : ก ก ก Date : ก Executed : ก o Price (%) : o Yields (%) : ก o Value (Baht) : ก Weighted Average Executed : ก o Price (%) : o Yields (%) : ก o Value (Baht) : ก Spread (bp) : ก ก ก Government Bond Yield Curve TTM ก ก ก ก ก Spread ก 0 Remark : SL ก ก NL ก ก ก ก ibond 19/136 ThaiBMA
20 : Bond Information > Bond News : ก ก ก ก ก ก ก ก ibond 20/136 ThaiBMA
21 : Bond Information > Auction & Result : ก ก ก ThaiBMA Symbol : ก ก ก ThaiBMA ก Issue Name : ก Term : Auction Amt. : Issue Date : ก Maturity Date : ก Auction Date : Auction Result : ก ก 2 ก ก ก Competitive Bidding Non-competitive Bidding ก 2 ก Accepted Amt Yield (%) High, Low Average Accepted Amt. : ก Yield (%) : High : ก Low : ก Avg : ก BCR : Bid Corporate Ratio ก ก ก ก ก ก ก BCR กก 1 ก ก ก ก BCR ก 1 Registered Date : ibond 21/136 ThaiBMA
22 : Bond Information > Outstanding Value : ก ก ก ก ก ก ก ก Date : Reason(s) : ก Par (THB) : Change : ก o Unit : o THB.mln : ( ) ก Outstanding Value : o Unit: o THB.mln: ( ) ibond 22/136 ThaiBMA
23 : Bond Information > Financial Covenant : ก ก ก ก Financial Covenant : ก Company : ก ก Consolidate : ก ก ibond 23/136 ThaiBMA
24 : Bond Information > Embedded Option : ก ก ก ก Conversion : ก ก ก Call /Put Option : ก ก ก ก (Call / Put Option) ก ibond 24/136 ThaiBMA
25 : Bond Information > Auction and Result : ก ก (Auction Schedule & Result) ก (Auction Calendar) ก ก 4 ก ก (Treasury Bills) (Government Bonds) ก (State Owned Enterprise Bonds) (State Agency Bonds) ก ก ก ก ก ก 4 ก ก ก (Auction Schedule & Result) ก 2 ก ก ก ก ก 2 ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ThaiBMA Symbol : ก ก ก ThaiBMA ก Issue Name : ก Term : ก ก 1 Auction Amt. : Issue Date : ก Maturity Date : ก Auction Date : Registered Date : ibond 25/136 ThaiBMA
26 ก Auction Result : ก ก ก 2 ก ก ก Competitive Bidding Non-competitive Bidding ก 2 ก Accepted Amt Yield(%) High, Low Average Accepted Amt. : ก Yield (%) : High : ก Low : ก Avg : ก BCR : Bid Coverage Ratio ก ก ก ก ก ก ก BCR กก 1 ก ก ก ก BCR ก 1 ก : Treasury Bills, State Owned Enterprise Bonds State Agency Bonds ก : Government Bonds ibond 26/136 ThaiBMA
27 ก (Auction Calendar) ก ก ก ก ThaiBMA ก ก ก ก ก ก ก ibond 27/136 ThaiBMA
28 : Bond Information > Bond Search : ก ก ThaiBMA ก ThaiBMA (Bond Search) ก (Bond Feature) ก ก กก Download Excel ก ก ก 2 ก 1. ก ก (Search by Symbol) ก ก ก ก ก ก ก Search Symbol ก ก Information > Bond Feature 2. ก (Search by Criteria) ก ก ก ก ก ก ก ก Submit ก Download Excel ก ก ก ก Expiration Expired Bond ก ก Bond Type by Issuer : ก Debt Instrument Type : ก ก Corporate Bond Bond Type by Issuer ก ก Business Sector : ก Issuer Name : ก Issue Date : ก ( ก ก ) Registered Date : ( ก ก ) Maturity Date : ก ( ก ก ) Auction Date : ( ก ก ) Coupon Type : ก Issue Term : ( / ) Embedded Option : ก ก ก Call Option Put Option ก TTM : ( / ) Bond Type by Characteristic : ก Duration : Modified Duration ( ก ก ) Coupon Payment : ก ก Issue Size : ก ibond 28/136 ThaiBMA
29 Distribution : ก Secured/Unsecured Bond : ก ก Claim Type : ก Expiration : Local Rating : ก TRIS FITCH (Thailand) ก ก Rating ก International Rating : ก ก Moody s, S&P, Fitch Rating R &I ก ก Rating ก Bond Search Page Output Page Download Excel Output Page ibond 29/136 ThaiBMA
30 : Bond Information > Issuer Information : ก ก ก ก ก ก ก ก ก ก ก Issuer Name ก ก ก ก ก ก Business Sector ก ก ก ก ก ก ก ก ก Issuer Name (Eng) : ก ก Company Rating : ก ก ก ก... ก Address : / Tel : / Fax : / / Website : Business Sector : ก Issues registered in ThaiBMA : ก ThaiBMA ก ก ก Information > Feature Financial Statement : ก Company Profile : Major shareholders : ก Issuer Search Issuer Detail ibond 30/136 ThaiBMA
31 : Bond Information > Inflation-Linked Bond : (Inflation-Linked Bond) ก ก Inflation-Linked Bond Knowledge ก ก ก ก ก Convention ก o Introduction to ILB ก ก ILB ก o ILB Calculation Convention ก Convention ก ก Convention ก o ILB Articles and Presentations ก ก ก ibond 31/136 ThaiBMA
32 Information & Tools for Inflation-Linked Bond Investment and Trading ก ก o CPI, Reference CPI and Index Ratio ก ก ก o Consumer Price Index (CPI) ก ก ก ก CPI Index ก ก ก excel ก ibond 32/136 ThaiBMA
33 o Reference CPI CPI ก generate ก กก Linear Interpolation ก CPI 2 3 ก ก Reference CPI ก ก ก ก ก ก excel o Index Ratio ก Reference CPI Settlement ก Reference CPI ก ibond 33/136 ThaiBMA
34 Index ratio ก ก excel ก o Breakeven Inflation ก ก ILB ILB ก ก ก ก ก ก ILB Real Yield Breakeven Inflation ibond 34/136 ThaiBMA
35 ก Breakeven Inflation ก Breakeven Inflation ก ก excel ก Real Yield ก ก ก Real Yield ก o o Indicative Real Yield Quoted by Primary Dealer : Quote ILB ก Primary Dealer Real Yield Estimation by The Bank of Thailand : ก Real Yield ก o Real Yield in Foreign market : Real Yield ก ก ก ibond 35/136 ThaiBMA
36 Useful links Useful links ก ก ก ก 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 ibond 36/136 ThaiBMA
37 : Bond Information > Bond Update > XI Schedule : ก ก 1 1 ก (Government Bond) ก (State Owned Enterprise Bond) (State Agency Bond) ก (Long-term Corporate Bond) (Commercial Paper) (Foreign Bond) ก ThaiBMA Symbol : ก ก ก ThaiBMA ก XI Date : ก XA Date : Payment Period : ก ก ก Coupon Rate (%) : ก Registrar : ibond 37/136 ThaiBMA
38 : Bond Information > Bond Update > Redemption Schedule : ก ก 1 1 ก (Treasury Bill) (Government Bond) ก (State Owned Enterprise Bond) (State Agency Bond) ก (Long-term Corporate Bond) (Commercial Paper) (Foreign Bond) ก ThaiBMA Symbol : ก ก ก ThaiBMA ก Type : XA Date : Effective : ก ก ก ก ก ก ก ก Call Option Put Option ก ก ก Maturity Date : ก Redeemed Amount : ก ( ) Registrar : Reason : ก ก ก ก (Expired) ก Call Option Put Option ก ก (Amortized) ก ibond 38/136 ThaiBMA
39 : Bond Information > Bond Update > Financial Covenant : ก ก ก ก ก ก ก ก Actual ก ก ก ก ก ก ก ก ก ก ก ThaiBMA Symbol : ก ก ก ThaiBMA ก Financial Covenant : ก ก ก ก ก กก ก ก Requirement Company Requirement : ก ก ก Company Actual : ก ก ก Consolidate Requirement : ก ก ก Consolidate Actual : ก ก ก As of : ก Observation Period : ก Quarterly, Semiannually Annually ibond 39/136 ThaiBMA
40 : Bond Information > Bond Update > Coupon Reset Schedule : Coupon Reset Schedule ก ก ก ก (Reset Coupon) ก Reset Coupon ก ก ก 2 ก THBFIX ก 3 ก ก ก ก ก ก ก ThaiBMA Symbol : ก ก ก ThaiBMA ก Reset Date : ก ก ก Coupon effective date : ก ก ibond 40/136 ThaiBMA
41 : Bond Information > FRN Rate Search > FRN : ก (Floating Rate Note: FRN) ก ThaiBMA ก ก ก Reference ก ก ก ก ก ก ก ก (margin spread) ก ก ก ก ก ก ก Min Rate (%) Max Rate (%) Payment Frequency ก ก o Annually ก o Semi-annually ก 6 2 o Quarterly ก o Monthly ก 1 Curr. Rate (%) Current Rate ก ( Reference) กก Reset Date ก ก กก (margin spread) Reset Date 2 3 ก ก coupon date : BECL135A - Reference From date 17-Mar-10 To Date 17-Mar-13 Avg of MidRange-6M quoted by (BBL, KTB, SCB, KBANK) Current Rate ก ก ก ก 6 BBL, KTB, SCB KBANK 2 ก ก Payment Date (19/03/2012) 17/03/ ก กก I (%) ก ก ก QM (%) Quoted Margin ก ก I+QM ก I ก QM R% ก ก I(%) + QM(%) ก Max Min ก Max ก Min ibond 41/136 ThaiBMA
42 ibond 42/136 ThaiBMA
43 : Bond Information > FRN Rate Search > Bank Rate : ก ก ก ก ก ก ก 1. ก ก 2. ก ก ( ) 3. ก (MLR, MOR MRR) ก ก ก ก ก ibond 43/136 ThaiBMA
44 : Bond Information > FRN Rate Search > Bloomberg Thailand Interbank Forward Offer Rate: TFIX : Bloomberg Thailand Interbank Forward Offer Rate TFIX ก ก ก Bloomberg ก ก ก TFIX Spot 6-mth 2006 Download Excel ก ibond 44/136 ThaiBMA
45 : Bond Information > FRN Rate Search > Bangkok Interbank Offered Rate: BIBOR : Bangkok Interbank Offered Rate BIBOR ก ก ก ก ก ก BIBOR 6-mth 2007 Download Excel ก ibond 45/136 ThaiBMA
46 Yield Curve : Yield Curve > Government Bond Yield Curve > Yield Curve (Yield Curve) (Yield) ก (Time to Maturity) ก Yield Curve (Government Bond Yield Curve) ก ก Government Bond Yield Curve ก Yield Curve ก ก Risk-Free Yield Curve ก กก ibond 46/136 ThaiBMA
47 ก ThaiBMA ก ก ก (Primary Dealer) ก Linear Interpolation ก ก ก 2 ibond 47/136 ThaiBMA
48 Linear Interpolation ก LB13OA LB143A Yield Curve 1. ก 2. ก ก ก 3. ก ก (Mark to Market) 4. ก ก ก ก ก Feature Yield Curve 1. Yield Curve ก X ก Modified Duration ก ก ก ก (Interest Rate Risk Management) 2. ก Yield Curve ก ก ก ก Yield Curve ก Yield Curve 1 ก ก ก ibond 48/136 ThaiBMA
49 ibond 49/136 ThaiBMA
50 3. ก ก (Time-series data) ก ก ก ibond 50/136 ThaiBMA
51 4. ก กก ก ก Term 5-1 กก 5 1 ibond 51/136 ThaiBMA
52 : Yield Curve > Government Bond Yield Curve > Zero Coupon (Zero Coupon Yield Curve) (Yield) ก (Time to Maturity) ก ก ก Zero Coupon Yield Curve ก ก ก 1 1. ก ก ก. ก ibond 52/136 ThaiBMA
53 Zero Coupon Yield Curve ก ก ก (Single Discount) ก (Yield to Maturity: YTM) ก ก ก ก ก ก กก YTM ก ก ก กก (Reinvestment Risk) ก ก ก ก ก กก ก ก Zero Coupon Yield Curve ก ibond 53/136 ThaiBMA
54 : Yield Curve > Alternative Zero Coupon Yield Curve ก Nelson-Siegel Smoothing Cubic Spline ก (Alternative Zero Coupon Yield Curve) (Yield) ก (Time to Maturity) ก Zero Coupon Yield Curve ก ก ก ก smooth กก ก ก Linear Interpolation ก ก ก ก ก Alternative Zero Coupon Yield Curve ก LB616A ก ก ก ก ก Zero Coupon Yield Curve ก ibond 54/136 ThaiBMA
55 ibond 55/136 ThaiBMA
56 : Yield Curve > Par Bond Yield Curve Par Bond Yield Curve Coupon Rate ก TTM ก ก Government Bond Yield Curve Yield ก TTM Par Bond Yield Curve ก Coupon Coupon ก Par Discount Zero coupon ก ก (LB and T-bill) plot ibond 56/136 ThaiBMA
57 กก Coupon Rate Par Bond Yield Curve ก Cash Flow P B C C C C+100 Par Price Discount all CF to PV by interpolate zero coupon yield C = Y pb = ก Par ( Par = 100) Y i = Yield ก Zero Coupon Yield Curve Y pb Y + pb Y + pb Y + pb (1 y 2) (1 y 3) (1 + y 4) Y pb 4 Par Price = y y 1 = 4%, y 2 = 4.5%, y 3 = 5%, y 4 = 5.5% Par Spot Rate ก Zero coupon yield curve Y pb ก ก ก 100 = Y pb ( ) + Y pb ( ) 2 + Y pb ( ) 3 + Y pb ( ) 4 ibond 57/136 ThaiBMA
58 : Yield Curve > Implied 6 month forward ก (Forward Rate) กก Pure Expectation ก ก กก ก ก ก ก Forward Rate ibond 58/136 ThaiBMA
59 ก ก ก 1 ก ก 1 ก (Zero Coupon Bond) ก ก ก ก 2 ก ก ก 1 ก 1 ก 1 ก 2 ก ก Pure Expectation ก ก 2 ก ก Forward Rate ก ก ก 1 2 Spot Rate 2 0 rf 2 = % 2 = 100 (1+ 0 rf 2 ) 2 = Spot Rate 1 rs 1 0 rf 1 = 5.00% 1 ก 1 Forward Rate 1 ก 1 ก 1 rf 2 2 = 100(1+ 0 rf 1 )(1+ 1 rf 2 ) = 105 (1+ 1 rf 2 ) 2 ก ก = 105 (1+ 1 rf 2 ) 1 rf 2 ก % ก ก Forward Rate ก ก (Spot Rate) Pure Expectation ก ก ก ก Forward Rate ก ก ก ก Forward Rate Pure Expectation ก 100% ก Forward Rate ก ก ก ก ก Forward Rate ก ก ibond 59/136 ThaiBMA
60 : Yield Curve > Corporate Bond Yield Curve Corporate Bond Yield Curve ก (Yield) ก (Time to Maturity) ก Yield Curve Corporate Bond Yield Curve Rating AAA BBB ibond 60/136 ThaiBMA
61 ก ก Corporate Bond Yield Curve ก Government Bond Yield Curve ก Corporate Spread กก (1 50 ) Rating ก ก Corporate Bond Yield Curve As of Date ก ก ก excel file ก Corporate Bond Yield Curve ก ก ก Rating ibond 61/136 ThaiBMA
62 : Yield Curve > Corporate Spread > Spread ibond 62/136 ThaiBMA
63 Spread ก ก ก Nominal Spread ก (Category) rating (AAA, AA, A, BBB) subgroup Duration ก ก 3, ก ก ก Average Spread ก Rating BBB- ก, option Senior Unsecured bond ก Tab: Spread Tab ก duration ก ก ก ก ก ก ก excel file ก Tab: Average Spread Nominal Spread ก Market Yield Risk-free Yield duration ก ก Spread simple average ก Rating modifier (+/-) ก AA ก ก rating AA+, AA, AA- ก ก Nominal Spread Average Spread ก Standard Deviation ก ก Spread ก ก ก Average Maturity ก Outstanding Value ก ก As of ก ก ก excel file ก Spread ก ก ก ก ก ก ibond 63/136 ThaiBMA
64 : Yield Curve > Corporate Spread > Credit Spread Curve ibond 64/136 ThaiBMA
65 Spread ก ก ก Rating AAA BBB Graph Spread Interpolation กก - ก (Cross-Sectional Data) ก ก ก ก ก 15 ก dealer ก ก ก ก Rating BBB ก ก ก ก ก ก ก ก กก 10 ก 6 กก 4 1 ก ก ก SS a a ln(1 TTM ) a Plus a Minus ε ij = i0+ i1 + ij + i2 ij + i3 ij + ij, i = AAA, AA, A, BBB SS ij Spread ก j Rating i TTM ij ก j Rating i Plus ij 1 กRating ก j + 0 Minus ij 1 กRating ก j ก ก ก ก ก (Linear Regression) ก (Ordinary Least Square: OLS) 4 ก Rating (AAA, AA, A, BBB) ก Rating AAA Plus Minus ก Rating ก Rating BBB Minus ก ก ก Rating BBB- Regression ก ก TTM ก 1, 2, 3, 5, 7 10 Spread - ก As of date ก ก Curve Spread ก ก ก ก excel file ก ibond 65/136 ThaiBMA
66 ก ก Spread Interpolate ก Curve ก Rating ก TTM ( 0-10 ) ก Credit Spread, Liquidity Spread Total Spread basis points Credit Spread ก ก ก ก ก ก ก ก ก ก ก ก ก (cost of borrowing) ก ก ก ก Credit Spread Curve Spread Rating ก Rating ก Spread ก ibond 66/136 ThaiBMA
67 : Yield Curve > Corporate Spread > Liquidity Spread Curve ibond 67/136 ThaiBMA
68 Spread ก ก ก Rating AAA BBB Graph Spread Interpolation กก - ก (Cross-Sectional Data) ก ก ก ก ก 15 ก dealer ก ก ก ก Rating BBB ก ก ก ก ก ก 10 ก 6 ก 4 ก 1 ก ก SS ln(1 ) ij = ai 0+ ai 1 + TTM ij, i = AAA, AA, A, BBB SS ij Spread ก j Rating i TTM ก j Rating i ij ก ก ก ก ก (Linear Regression) ก (Ordinary Least Square: OLS) 4 ก Rating (AAA, AA, A, BBB) Regression ก ก TTM ก 1, 2, 3, 5, 7 10 Spread - ก As of date ก ก Curve Spread ก ก ก ก excel file ก ก ก Spread Interpolate ก Curve ก Rating ก TTM ( 0-10 ) ก Credit Spread, Liquidity Spread Total Spread basis points ibond 68/136 ThaiBMA
69 Liquidity Spread ก ก ก ก ก ก ก Credit spread Total spread ก ก ก ก ก ก ก (cost of borrowing) ก ก ก ก Credit Spread Curve Spread Rating ก Rating ibond 69/136 ThaiBMA
70 : Yield Curve > Corporate Spread > Credit & Liquidity Spread Comparison ก Credit spread Total spread rating ก rating ก ก ก As of date ก rating ก ก ก ก excel file ก ibond 70/136 ThaiBMA
71 : Yield Curve > US Treasury : (Yield) (TTM) ก ก ก ก (US Treasury) ก : ก Website ก ก ก ( ก ก : US Treasury ibond 71/136 ThaiBMA
72 : Yield Curve > SOE Spread Matrix SOE Spread Matrix ก ก ก ก ก ก ก Spread ก กก กก Quote Primary Dealers Quote ก ( ก 7, 15, 22 ก ) Primary Dealers Quote Issuer Issuer Tenor ก 3, 1, 3, 5 7 ก ก Spread Spread +/- SD ก ก ก ก Spread Matrix ก ก Quote ก ก ก ก ก ก ก ก ก ก SOE Spread Matrix ก ก ก ก ก ก ก ก ก ก Bilateral Repurchase Agreement Primary Dealers ibond 72/136 ThaiBMA
73 : Calculation Calculation ก ก 2 1. Symbol: ก ก Settlement Date: Trade/Ref. Time: ก Yield (%): ก Call/Put Date: ก ก ก ก ก ก ก (Call/Put) ก ก No. Unit: ก Price (%): ก - ก กก ก Yield (%) Price (%) ibond 73/136 ThaiBMA
74 - ก กก Yield (%) Price (%) Yield (%) 2. Ys (%): 2 (Bond Equivalent Yield) DM (%): (Discount Margin) Gross Price (%): ก ก Clean Price (%): ก ก AI (%): ก ก Gross Value (THB): ก Clean Value (THB): ก AI Value (THB): ก DSC: DCS: I (%): ก ก ( ) PVBP: ก ก 0.01% (1 basis point) Macaulay Duration (Yr): Modified Duration: Convexity: Macaulay Duration Modified Duration Convexity Coupon Rate/K (%): ก ( ก ) Coupon Type: Current Par (THB): XI Period: Frequency of Payment: ก TTM (Yr): ibond 74/136 ThaiBMA
75 Call/Put Date: ก ก ก ก ก ก ก กก ก ก ก ก ก ( ก ) ก ThaiBMA ก Calculation กก ก ( ) ก (Convention) ก ก 30/360 ก (Odd) /365 ก /365 ก (Amortizing Bond) ก /365 ก ก /365 ก ก ก ThaiBMA ก ก ก (Symbol) (Yield/Price) (Settlement Date) ก ก ก ก ThaiBMA ก ก ibond 75/136 ThaiBMA
76 : Calculation > ILB Calculation 1 2 ILB Calculation ก ก 2 1. Symbol: ก ก Settlement Date: Trade/Ref. Time: ก Real Yield (%): ก No. Unit: ก Unadjusted Price (%): ก - ก กก ก Real Yield (%) Unadjusted Price (%) - ก กก Real Yield (%) Unadjusted Price (%) Real Yield (%) ibond 76/136 ThaiBMA
77 2. Index Ratio : ก ก Settlement Amount (THB): ก Unadjusted Gross Price (%): ก ก ก Unadjusted Clean Price (%): ก ก ก Unadjusted AI (%): ก ก ก DSC: DCS: PVBP: ก ก 0.01% (1 basis point) Macaulay Duration (Yr): Modified Duration: Convexity: Macaulay Duration Modified Duration Convexity Real Coupon Rate/K (%): ก ( ก ) Coupon Type: Unadjusted Par (THB): ก XI Period: Frequency of Payment: ก TTM (Yr): ibond 77/136 ThaiBMA
78 กก ก ก ก ก ก ( ก ) ก ThaiBMA ก ILB Calculation กก ก ( ) ก (Convention) ก ก 30/360 ก (Odd) /365 ก /365 ก (Amortizing Bond) ก /365 ก ก /365 ก ก ก ThaiBMA ก ก ก (Symbol) (Yield/Price) (Settlement Date) ก ก ก ก ThaiBMA ก ก ibond 78/136 ThaiBMA
79 : Bond Price > End of day trading > Daily Trading Movement ก : ThaiBMA Daily Report ก 4 ก 1 : Trading Value ( ) (Gross Value) ก ก ก Outright, Financing Other 2 : ThaiBMA Government Bond Index Index ก Clean Price, Gross Price Total Return ( ก ก Indices) 3 : ก ก Symbol ก (3.1) Cash Trading Transactions ก Outright Symbol ก Issue Symbol: Symbol TTM: ( ) Coupon: (%) Bid Yield (%) : Quote Bid Government Bond ก o Best Bid (%): Bid Yield กก Quote Primary Dealer o Average (%): Bid Yield กก Quote Primary Dealer o Best Bid Price: ก Best Bid Yield (Settlement date = t+2) Best Offer Yield (%) : Offer Yield กก Quote Primary Dealer Last : Symbol ก ibond 79/136 ThaiBMA
80 o Executed Yield (%): Yield ก ก o DM: Discount Margin Floating Rate Bonds o YTP/ YTC: Yield to Put Yield to Call Puttable Callable Bonds o Price (%): Clean Price ก Last Executed Yield Settlement Date o Gross Value (THB): ก = Gross Price * Volume o Flag: SL ก Small Lot ( ก 10 Government Bonds ก 5 Corporate Bonds) NL (Not in Line) ก Mark to Market Weighted Average o Yield (%): Executed Yields ก ก ก Symbol o Price (%): (Average Clean Price) ก ก ก Symbol o Total Gross Value (THB): ก ก ก (3.2) Financing Transactions ก Financing ก Bond (Terms) ก (Weighted Average Rate (%)) ก ก (Total Gross Value) (3.3) Other Transactions ก Outright Financing ก Bond (Terms) ก (Weighted Average Rate (%)) ก 4 : Download ThaiBMA Daily Report CSV : ThaiBMA Daily Report ก Mark to Market ibond 80/136 ThaiBMA
81 : Bond Price > End of day trading > Daily Trading Movement (FX) ก ก ก ก ก ก Daily Trading Movement (FX) ก ก Enter Date ก excel ก ก ก ก Outright, Financing Other ก ก Cash Trading Transactions, Financial Transactions Other Transactions : ก ก ก ก ibond 81/136 ThaiBMA
82 : Bond Price > End of day trading > Spread & Duration ก : Spread & Duration Spread Duration Symbol ก ก ThaiBMA Bond : Symbol ก Bond Rating TRIS/ FITCH : TTM : ( ) Last Executed Yield (%) : Yield ก ก Average Executed Yield (%) : Executed Yields ก ก ก Symbol Spread (bp) : Nominal Spread SOE Corporate Bonds ก Duration base Mod Duration : Modified Duration ก Last Executed Yield and Price ก Modified Duration = Macaulay Duration YTM (1+ ) H, YTM = ก H = ก ibond 82/136 ThaiBMA
83 Mac Duration : Macaulay Duration ก Last Executed Yield ก N n Macaulay Duration ( ). tn n= 1 P PV =, PV n = ก n t n = ก n P = Convexity : Convexity ก Last Executed Yield ก Convexity = 1 H 1 1 P YTM (1+ ) H n CFt 2 ( t + t YTM = + 1 t (1 ) H ) 2 2 t P = CF t = ก (Cash Flow) t YTM = ก H = ก Download CSV : Spread & Duration ก ThaiBMA Daily Report ก ibond 83/136 ThaiBMA
84 : Bond Price > End of day trading > Trading Movement ก ก Yield ก ก ก 5 ก ก Yield ก Trading, Quotation Spread (Nominal) ก Output Graph Download Excel ibond 84/136 ThaiBMA
85 : Bond Price > End of day trading > Trading Summary ก ก ก ก ก Trading Summary ก ก ก ก ก ก Outright, Financing Other ก Bond Government, Corporate Foreign Bonds : ก ก ก ibond 85/136 ThaiBMA
86 : Bond Price > Intraday Trading : ก ก Symbol ( ก ), Yield ( ) Report Time ก ThaiBMA Horizontal Display ก Vertical Display ก / กก : ก ก Dealer ThaiBMA 2 Non-Corporate Bond 15 Corporate Bond 2 12:00. 16:00. : ก ก Yield ibond 86/136 ThaiBMA
87 : Bond Price > Quotation > Treasury Bill Quoted Yields : (Bid) (Offer) (Treasury Bills) ก ก 1, 3, 6 1 / กก : ก Bid/ Offer Dealer ก ก Quote ThaiBMA ก (16:00.) : ก ก 1 ก ก ก ก ก ก ก ibond 87/136 ThaiBMA
88 : Bond Price > Quotation > Government Bonds Quoted Yields : (Average Bid) Loan Bond (LB) ก Bond ( ), Coupon ( ), Maturity ( ก ), TTM - Time to Maturity ( ), Quoted Date ( ก ) Quoted Yield (Average Bid) / กก : ก Bid Dealer ก ก Quote ThaiBMA ก (16:00.) : ก ก Yield ก Government Bond Yield Curve ก ก ก ก ก ก ก ibond 88/136 ThaiBMA
89 : Bond Price > Quotation > State Owned Enterprise Bonds Quoted Yields : (Average Bid) ก (SOE) ก Bond ( ), Coupon ( ), Maturity ( ก ), TTM - Time to Maturity ( ), Quoted Date ( ก ) Quoted Yield (Average Bid) / กก : ก Bid Dealer ก ก Quote ThaiBMA ก 7 ก 7, 15, 22 ก 7, ก ก ก ก Yield Quote 3 Standard Deviation (SD) ก Yield +/- 1 SD ก ก Yield Quoted Yield : ก ก ก ก ก ก ก ibond 89/136 ThaiBMA
90 : Bond Price > Quotation > State Agency Bonds Quoted Yields : (Average Bid) ก State Agency ก ก ก ก ก ก Symbol ( ), Average Bidding Yield ( ), Maturity ( ก ) TTM - Time to Maturity ( ) / กก : ก Bid Dealer ก ก Quote ThaiBMA ก (16:00.) : ก ก State Agency ก ก ก ก ก ก ก ibond 90/136 ThaiBMA
91 : Bond Price > Quotation > Corporate Bonds Quoted Yields : (Average Bid) ก ก ก Bond ( ), Coupon ( ), Maturity ( ก ), TTM - Time to Maturity ( ), Quoted Date ( ก ) Quoted Yield (Average Bid) / กก : ก Bid Dealer Quote ThaiBMA ก 15 ก 15 ก 15 ก ก ก ก Yield Quote 3 Standard Deviation (SD) ก Yield +/- 1 SD ก ก Yield Quoted Yield : ก ก ก ก ก ก ก ibond 91/136 ThaiBMA
92 : Bond Price > Quotation > Foreign Bonds Quoted Yields : (Average Bid) ก Bond ( ), Coupon ( ), Maturity ( ก ), TTM - Time to Maturity ( ), Quoted Date ( ก ) Quoted Yield (Average Bid) / กก : ก Bid Dealer Quote ThaiBMA ก 15 ก 15 ก 15 ก ก ก ก Yield Quote 3 Standard Deviation (SD) ก Yield +/- 1 SD ก ก Yield Quoted Yield : ก ก ก ก ก ก ก ibond 92/136 ThaiBMA
93 : Bond Price > Firm Quotation : ก Yield ก ก Bid Offer Yield, Price, High, Low Average ก Dealer Quote / กก : ThaiBMA ก Bid Offer Dealer ก ก Quote : ก ก ก ก ibond 93/136 ThaiBMA
94 : Bond Price > Mark to Market ก ก ก ก ก ก ก ก ก Tab Show All ก ก CSV File ก ก ก Download Plain Vanilla CSV files Bond: ก Coupon: Maturity: TTM: ก Type: ก Coupon Type: ก Rating: ก TRIS / FITCH (Thailand) Last Trade: ( ) ก Last Quotation: ก (Avg Yield) (Max) (Min) ( ) ก ก 3 Model: ก ( ) (Spread) Basis Point Market Yield: DM (%): (Discount Margin) Clean Price (%): ก ก ibond 94/136 ThaiBMA
95 AI (%): ก ก MOD: Modified Duration Effective Duration CONV: 2 Convexity Par: ก Registration Status: ก ก ThaiBMA Index Ratio: ก ก กก (Market Yield) ก ก ก ก Market Yield ก ก 3 ก ก ก ก 3 Market Yield ก (Model Yield) ก กก (Primary Dealer) 9 ก ThaiBMA ก ก ก ก ก (Dealer) / ก ThaiBMA ก 7 ก 15 ก ก ก ก ก ก Modified Duration Convexity ก ก กก ก ก Calculation ก (Settlement Date) 1 ก (T +1) Mark to Market ก ก ก ก (NAV) ibond 95/136 ThaiBMA
96 : Bond Price > Mark to Market > Structured Notes (Structured Note) ก ก CSV File ก ก ก Download Structured Note CSV files Bond: ก Maturity: ก TTM: Type: ก Rating: ก TRIS / FITCH (Thailand) Last Trade: ( ) ก Last Quotation: ( ) Model Gross Price %: ก ก ( ก ) MTM Gross Price %: ( ก ) Registration Status: ก ก ThaiBMA Relevant Statistics: ก ( ) (MTM Gross Price) ก ก ก ก ก ก (Arranger/Underwriter) ก ก ก ก ThaiBMA ก 15 ( 15 ) : STN Mark to Market ก ibond 96/136 ThaiBMA
97 : Bond Price > Mark to Market > Download Historical > Plain Vanilla ก Mark to Market CSV 2006 ibond 97/136 ThaiBMA
98 : Bond Price > Mark to Market > Download Historical > Structured Note ก STN Mark to Market CSV ibond 98/136 ThaiBMA
99 : Bond Price > Mark to Market > MTM Yield Movement ก Time Series Mark to Market ก Mark to Market Yield Quotation ก ก ก Excel ibond 99/136 ThaiBMA
100 : Bond Price > Mark to Market > MTM Price feedback MTM Price Feedback ก ก ก ThaiBMA User Profile User name : Username Login ibond Name : Login ibond Organization : Login ibond Telephone : ( ก ก) address: ก ก ( ก ก) Select bond to feedback Mark-to-market date : Mark-to-Market ก Feedback Bond Type : SA, GB, GSOE, NSOE, FB, CP CORP ( ก ) Bond Symbol : ก ก feedback ( ก ) Mark-to-market yield : ก Feedback Feedback Detail: ก ThaiBMA THaiBMA ก MTM Price feedback ibond 100/136 ThaiBMA
101 : Bond Price > RP Reference Yield ก ก ก ก ก ก ก ก ก Tab Show All Bond: ก Settlement Date: Avg. Bid Yield: Clean Price (%): ก ก Accrue Interest (%): ก ก Gross Price (%): ก ก Modified Duration Convexity: 2 Convexity Index Ratio: ก ก กก : RP Reference Yield ก กก 9 ThaiBMA ibond 101/136 ThaiBMA
102 ก ก ThaiBMA ก (State Agency) ก ก ก ก ก ก 7 ก Modified Duration Convexity ก ก กก ก ก Calculation (Avg. bid yield) ก (Settlement Date) 1 ก ก (T +1 ก ) : RP Reference Yield ก ก (Repo) ibond 102/136 ThaiBMA
103 : Bond Price > RP Reference Yield > RP Reference Yield (T+2) กก : ก RP Reference Yield ก (Settlement Date) 2 ก ก (T+2 ก ) : RP Reference Yield ก ก (Repo) Settlement Date T+2 ก ibond 103/136 ThaiBMA
104 : Bond Price > RP Reference Yield > RP Reference Yield (T+3) กก : ก RP Reference Yield ก (Settlement Date) 3 ก ก (T+3 ก ) : RP Reference Yield ก ก (Repo) Settlement Date T+3 ก ibond 104/136 ThaiBMA
105 ThaiBMA Bond Indices ก ก ก ก ก กก ก ก Benchmark Index ก ก ก ก ก ก ก ก กก ก ก (SET Index) ก ก ก ก ก ก ก ก ก ก (Fund manager) ก ก Active Portfolio ก ก ก ก ก ก ก ก ก ก กก ก ก ก ก ก (Bond Index) ก ก ก ก ก กก ก 1. ก ก ก ก ก - ก ก - ก ก 2. ก ก กก ก ก กก ก ก Duration ก ก ก ก Bond Index Option ibond 105/136 ThaiBMA
106 ThaiBMA 1. (ThaiBMA Government Bond Index) Loan Bond ( ก ThaiBMA ก LB) ก Average Yield, Average Duration Average Convexity Yield, Duration Convexity ก ก ก ก กก ก ก ThaiBMA ก ก ก 5 ก ก 1. ก ก ก ก กก ก ก ก 10 กก 14 ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ibond 106/136 ThaiBMA
107 2. ก (Investment Grade Corporate Bond Index) ก 2 ก ก ก BBB BBB+ ก ก ก ก ก ก ก ก ก ก ก ก ก ก กก ก ก ก ก ThaiBMA ก 2 ก ก (Composite Bond Index) ก ก ก ก ก 2549 ก ก ก ก ก ก ก ก (Corporate Bond Index BBB up) ibond 107/136 ThaiBMA
108 ก ก ก ก ก ก ก ก ก ก ก ก ก ก (Subgroup) ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก กก (TTM > 10 ) ก ก ก ก กก ก ก ก ก ก ก ก 4. (T-Bill Index) ก ก ก ก ก กก ก กก ThaiBMA ก ก ก ก ก (Outstanding Value) ibond 108/136 ThaiBMA
109 5. Zero Rate Return (ZRR Index) ก ก ZRR 1 Year Index ก ก 2545 ก ก ก ibond 109/136 ThaiBMA
110 6. ก (State Owned Enterprise Index) ก ก ก ก ก ก ก ก ก ก ก ก ก ก (TTM) กก 14 ก (Fixed coupon) ibond 110/136 ThaiBMA
111 7. Corporate ZRR Index (Corporate Zero Rate Return Index) ก ก AAA AA A BBB ก ก ก ก ก ก AAA AA A BBB ก 5 ก TTM ก TTM ก average spread ก ก ก ก ก 3, 3 5, กก ก 5 ก กก Corporate ZRR Index ก ก ก กก ZRR Index ก Corporate ZRR Index spread ก TTM ก ZRR Index YTM ก TTM ibond 111/136 ThaiBMA
112 8. (Commercial Paper Index) ก ก 2549 ก 3 ก ก ก ก ก AA- ก ก ก ก A- ก ก ก ก BBB- ก ibond 112/136 ThaiBMA
113 9. (Short Term Government Bond Index) ก ก 2549 ก ก ก ibond 113/136 ThaiBMA
114 : Analysis > Graphic Analysis : ก ก ก Curve Comparison ( ก ) Rate Movement Market Participants Movement in Outright Transaction ก ก ก 3 (,, ) Bond Movement (Outright Trading) ก Government Bond Yield Volatility Bid Coverage Ratio (BCR) Movement ก (BCR) Technical Analysis ก ก ก ก / กก : ก Dealer ThaiBMA ก ThaiBMA : ก ก ก ก ibond 114/136 ThaiBMA
115 : Analysis > Rich/Cheap Analysis ibond 115/136 ThaiBMA
116 ก ก Rich/Cheap Analysis ก Credit spread rating ก ก 15 กก ก ก 3 - : Credit spread rating Average Spread rating ก - 2 : ก Upper bound Lower Bound Spread rating - : Rating ก - : Rating ก ก ก Rich/Cheap Analysis Year/Date ก Rating ก ก ก ก TTM TTM TTM ก TO ก Confidence Interval CI ก Rich/Cheap Analysis ก ก ก ก ก ก ก ก 3 ก - Cheap : ก Upper Bound ก กก (Cheap ก spread ก average) - Rich : ก Lower Bound ก ก (Rich ก spread ก average) - Average : ก Upper Bound/Lower Bound ก ก ก ibond 116/136 ThaiBMA
117 : Analysis > Duration and Convexity > Bond Duration and Convexity Bond Duration and Convexity Coupon(%), TTM(yrs.), Modified Duration, Convexity ก Duration/Convexity Fisher-Weil ก ก Show all ก ก ก ก ก excel file ก ibond 117/136 ThaiBMA
118 : Analysis > Duration and Convexity > Portfolio Duration and Convexity Portfolio Duration and Convexity Modified Duration Convexity Portfolio ก ก list ก ก - Date : ก - KRD and KRC calculation method : ก 2 o Cash flow by tenor o Cash flow by bucket - Input method กก portfolio 3 ibond 118/136 ThaiBMA
119 o Upload symbols : upload symbol.csv ( ก ) o Enter symbol : กก ก symbol ก o Select bond by type : ก list ก ก ก symbol ก ก ก ก ก ก ก ก ก ก ก ก Portfolio ก ก ก ก กก Portfolio Summary excel file ก Portfolio KRD & KRC (Key Rate Duration & Key Rate Convexity) ก ก ก (Cash flow by tenor/cash flow by bucket) excel file ก ibond 119/136 ThaiBMA
120 ibond 120/136 ThaiBMA
121 Report : ThaiBMA Reports > Daily Report > ThaiBMA Daily Report ก : ก Download ThaiBMA Daily Report PDF ก ThaiBMA Reports ก ก ก 2003 : ThaiBMA Daily Report ก Mark to Market ibond 121/136 ThaiBMA
122 : ThaiBMA Reports > Daily Report > Daily Market Summary : ก (Trading), (Yield), ก (Interest Rate), ก (Exchange Rate) (Index) ก ก ก : ก ก (Trading Transaction) ThaiBMA ก ก ( ก, ก ), ก ( ก ก ) : ก ก ibond 122/136 ThaiBMA
123 : ThaiBMA Reports > Weekly Report > Foreign Trading : ก ก (Non-resident Investor - NR) ก Composition of Investor - ก NR ก ก ก % of Trading Value of Non-resident ก NR ก ก ก ก ก ก Composition of Bond Traded by Non-resident - ก NR ก Composition of Bond Traded by Type of Bond - ก NR ก Net Holding by Type of Bond NR ก Net Buy and Holding ก NR / กก : ก ก Dealer ก NR ThaiBMA : ก ก ก ก ibond 123/136 ThaiBMA
124 : ThaiBMA Reports > Weekly Report > Private Repo ibond 124/136 ThaiBMA
125 : ก ก ก (Private Repo) Composition of Repo Term - ก ก Weighted Average Repo Rate by Term ก ก ก ก ก Composition of Investor : Lending ก ก ก ก Composition of Investor : Borrowing ก ก ก ก Composition of Investor : Total Private Repo ก ก ก % of Financing Value ก ก Financing ก Sell&Buy Back, Private Repo Bilateral Repo Composition of TTM Group of Bond ก Private Repo ก (TTM) Composition of Type of Bond ก Private Repo ก Outstanding Value by Type of Bond ก Private Repo ก Outstanding Value ก Private Repo ก : ก ก ก Private repo ก ThaiBMA : ก ก Private Repo ก Private Repo ibond 125/136 ThaiBMA
126 : ThaiBMA Reports > Weekly Report > Thai Bond Update : Thai Bond Update ก ก ก ก ก ก Thai Bond Update ก ก ก Weekly Trading Value ก 1 Weekly Movement Yield Curve Index ก 1 Registered Bond Information Update 1 New Debt Securities ก Market News ก ก ก / กก : ก ก ก ThaiBMA ก ก Website ThaiBMA : ก ก 1 ibond 126/136 ThaiBMA
127 : ThaiBMA Reports > Weekly Report > ThaiBMA Corner : ThaiBMA Corner ก ก ก ThaiBMA Corner ก ก website ก / กก : ก ก ก ThaiBMA ก ก ก ibond 127/136 ThaiBMA
128 : ThaiBMA Reports > Monthly Report > ThaiBMA Monthly Summary : ( ) ก (ThaiBMA Monthly Summary) ก ก ก ก ก ก Thai Bond Summary ก ก ก Thai Bond Summary ก กก 1 ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก กก ก ibond 128/136 ThaiBMA
129 : ThaiBMA Reports > Monthly Report > Thai Bond Summary (Part I) : ก ก ก 1 ก Total Transaction Report ก ก ก Corporate Bond Breakdown ก ก ก ก ก / กก : ก ก ก ThaiBMA : ก ก 1 : ThaiBMA Reports > Monthly Report > Thai Bond Summary (Part II) ก Reports > Monthly Report > ThaiBMA Monthly Summary ibond 129/136 ThaiBMA
130 : ThaiBMA Reports > Monthly Report > ThaiBMA Registered Bonds : ThaiBMA Registered Bonds ก ก ThaiBMA ก ก ก ก PDF ก 3 1. ก 2. ก ก (Bond Symbol) ก (Sign) ก ก ก (Type of Bond) ก (Issue Name) (Issue Rating) ก TRIS Fitch (Thailand) (Current Par : THB) ก ก (Issue Size : THB mln) (Outstanding Value THB : mln) ก (Issue Date) ก (Maturity Date) (Term : Yrs) ก ก (Coupon and Payment Date) (Registered Date (Registrar) 3. ก ก (Business Sector) ก ก (Bond Symbol) ก (Sign) ก ก ก (Type of Bond) (Issue Rating) ก TRIS Fitch (Thailand) (Current Par : THB) ก ก (Issue Size : THB mln) (Outstanding Value THB : mln) ก (Issue Date) ก (Maturity Date) (Term : Yrs) ก ก (Coupon and Payment Date) (Registered Date (Registrar) ก ก (Underwriter) ก (Bondholder Representative) ก (Distribution) ibond 130/136 ThaiBMA
131 ก : Outstanding Summary ก : List of Government Debt Securities ก : List of Corporate Bond & Foreign Bond ibond 131/136 ThaiBMA
132 : ThaiBMA Reports > Monthly Report > ThaiBMA Month-end Closing Price : Yield ก ก ก ก ก ก ก Price Index Government Bond Index Clean Price, Gross Price Total Return Index ก ก ( ) ก ก Features Features Maturity Date, TTM, Coupon Previous Executed Yield ก ก Yield ก Yield Bid/ Offer Executed Yield ก / กก : ก ThaiBMA Daily Report : ก ก ก ibond 132/136 ThaiBMA
133 : Report > Annual Summary ก ก ก ก ก ก ก ก ก ก ก ก ก Survey ก Underwriters ก Dealers / กก : ก ก ก ThaiBMA ก ก. ก. ก ก กก ก ibond 133/136 ThaiBMA
134 : Fact & Figures > Primary Market : Fact & Figures Primary Market ก ก ก ก ThaiBMA ก ก ก ก 1. Output - Summary by ก - Compare by 2. Time Selection ก ก กก ก ก ibond 134/136 ThaiBMA
135 : Fact & Figures > Secondary Market : ก ก ก 3 Trade Summary ก ก ก ก Duration Bid Offer Summary (Bid), (Offer, Ask) (Bid Ask Spread) Bond Index ก ก,, Download ก Excel File / กก : ก ก ThaiBMA : ก ก ก ก Criteria ibond 135/136 ThaiBMA
136 : Composite Page : ก (ibond) ibond ก ก ก ก ก ก ก ก ก ก / กก : ก ibond : ก ก ก ก ก ก ก ก ก ก ก ibond 136/136 ThaiBMA
DEBT MARKET. Mark to Market Valuation Rules. Page 1 of 19
DEBT MARKET Mark to Market Valuation Rules 2014 JSE Limited Reg No: 2005/022939/06 Member of the World Federation of Exchanges JSE Limited I 2014 Page 1 of 19 Table of Contents 1. Executive Summary...
1/8 ก.201 ก ... Office Hour : Office : : 8 811. (02) 696-5931. E-mail : anchalee411@hotmail.com
1/8 ก ก.201 ก ก ก 1 ก ก 2553 ( 14 2 2553) ( )... ก ก ก ก ก ก ก ก ก ก ก ก ก ก 1. ก 2. กก ก ก ก ( ก.. 2543) 3. ก ก 4. ก ก ก - - - - SECTION - 7400/01. 08.00-11.00.. ** ** 7400/02.08.00-11.00... ** ** Office
Glossary. Accrued Interest. Amortizing Bond. ASK Price (Offer Price) Automatic Order Matching (AOM)
Glossary Accrued Interest Amortizing Bond ASK Price (Offer Price) Automatic Order Matching (AOM) Average Yield BEX The amount of interest accumulated but not yet paid between the last payment and the settlement
Bond valuation and bond yields
RELEVANT TO ACCA QUALIFICATION PAPER P4 AND PERFORMANCE OBJECTIVES 15 AND 16 Bond valuation and bond yields Bonds and their variants such as loan notes, debentures and loan stock, are IOUs issued by governments
Chapter 3 Fixed Income Securities
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