inflation linked bond (ilb)

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

Concepts & InformationConcepts & Information

1

ดร.ธนานันต ศิวโมกษธรรม, CFA, FRM

สมาคมตลาดตราสารหนี้ไทย (ThaiBMA)

15 มิถุนายน 2554

Par Value = 1,000Coupon = 5% (Annual Payment)Tenor = 4 Years

Fixed Rate Bond

ก��ก�� ก��ก��ก�� ก��ก��ก�� ก��ก��ก�� ก��

2

Year Par Value อัตราคูปอง คูปองที่ไดรับ (บาท) เงินตน (บาท)

0 1,000

1 1,000 5% 50.00

2 1,000 5% 50.00

3 1,000 5% 50.00

4 1,000 5% 50.00 1,000.00

ก�� ก�� ก�� ก�� ก�� ก�� ก�� ก�� ก�� ก�� ก�� ก��

Par Value = 1,000Real Coupon = 3% (Annual Payment)Tenor = 4 Years

Inflation Linked Bond

3

Year CPI Adjusted Par อัตราคูปองแทจริง คูปองทีไ่ดรับ (บาท) เงินตน (บาท)

0 100 1,000

1 103 1,030 3% 30.90

2 105 1,050 3% 31.50

3 110 1,100 3% 33.00

4 115 1,150 3% 34.50 1,150.00

� �� 10 ��

� �� !�"��ก�� 1,000 ��"

� %��ก��&'��( 1 �� )�%��"�ก 6 �+��

�� ILBILB�� ILBILB

� %��ก��&'��( 1 �� )�%��"�ก 6 �+��

� !��"&,��ก��-��+�!��"&, 27 �012�� 2554 5�(-��6�� Reference CPI @ !��"&,��ก��-��"��ก�� 110

4

ก�� ก��!�"# ��$�� ก�� ก��!�"# ��$�� ก�� ก��!�"# ��$�� ก�� ก��!�"# ��$��

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• )��+,�� กA��BC�C��6�!��"&, 27 �012�� 2564

• D��C+�%(B�� !�ก��-�!�� E�%A��!�� "

ก�� %� � �& !��ก�� %� � �& !��ก�� %� � �& !��ก�� %� � �& !��

D��C+�%(B�� !�ก��-�!�� E�%A��!�� 1,345.45 ��"

• FG, C��ก��"&,�A��!@B��ก!�� ! D�� "��%(B��%A��!�� +��"��ก�� !"&, 1,000 ��" (5�� !-�"��A��!@�� Index Ratio %�� )

6

Month M-3April Jan

May Feb

June March

July April

August May

Month CPIJan 109.51

Feb 109.95

Mar 110.49

Apr 112.01

May 112.39

Actual

Reference CPIReference CPIReference CPIReference CPI

Jan Feb March April May

109.51 109.95 110.49 112.01 112.39

109.51 109.95

Actual

Ref CPI

Month CPIJan 109.51

Feb 109.95

Mar 110.49

Apr 112.01

May 112.39

109.51

Ref CPIXX Apr 2010


CPIM-3

Jan

CPIM-2

FebCPIM-1

March

CPIMApril May

109.95

XX Apr 2010


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10


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� Unadjusted Gross Price 6��(T� �� ! (Par Value)

� ก�(5-� ��"&,�A��A��!@%(��E�ก�(5-� ��"&,6�-A��ก��A��!@��"��'�FG, ��%%(B��"��ก��%A��!�� "&,B��%�� 5�(%(��6�

Price Price 00 Yield Conversion for ILBYield Conversion for ILBPrice Price 00 Yield Conversion for ILBYield Conversion for ILB

��"��'�FG, ��%%(B��"��ก��%A��!�� "&,B��%�� 5�(%(��6��T� Real Cash Flow

� ��"&,6�%(��6��T� Real Yield to Maturity

12

Price

Last payment

(Par+Coupon)

Coupon Bond Pricing

ก��

13

CouponCouponCoupon

tt1 t2 t3 t4t0


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15


�� 10 �� !�"��ก�� 1,000 ��" %��ก��&'��( 1 �� )�%��"�ก 6 �+�� !��"&,��ก��-��+�!��"&, 27 �012�� 2554

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ILB InformationILB Information PortalPortalILB InformationILB Information PortalPortal

http://www.thaibma.or.th

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ILB KnowledgeILB KnowledgeILB KnowledgeILB Knowledge

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ILB ToolsILB ToolsILB ToolsILB Tools

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CPI, Ref CPI, Index RatioCPI, Ref CPI, Index RatioCPI, Ref CPI, Index RatioCPI, Ref CPI, Index Ratio

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Index RatioIndex RatioIndex RatioIndex Ratio

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Bond Info.Bond Info. & Feature& FeatureBond Info.Bond Info. & Feature& Feature

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Yield � Real YieldPrice (%) � Unadjusted Price (%)

Value (THB) � Adjusted Gross Price (%) x Par x Units

CalculationCalculationCalculationCalculation

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ก��ก�� Settlement !�"�� #7�7� Index Ratio

ILB Excel Calculation ExampleILB Excel Calculation ExampleILB Excel Calculation ExampleILB Excel Calculation Example

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ILB Mark to marketILB Mark to marketILB Mark to marketILB Mark to market

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ILB Mark to market ILB Mark to market –– CSVCSV FileFileILB Mark to market ILB Mark to market –– CSVCSV FileFile

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ILB RP Reference YieldILB RP Reference YieldILB RP Reference YieldILB RP Reference Yield

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ILB RP Reference Yield ILB RP Reference Yield –– CSV FileCSV FileILB RP Reference Yield ILB RP Reference Yield –– CSV FileCSV File

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

Unadjusted Clean Price (%) x Index Ratio

Adjusted Gross Price (%)

+

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Unadjusted AI (%) x Index Ratio

+

Daily ReportDaily ReportDaily ReportDaily Report


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Daily ReportDaily ReportDaily ReportDaily Report

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Gross Value (THB) � Adjusted Gross Price (%) x Par x Units

ILB Real YieldILB Real YieldILB Real YieldILB Real Yield

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ILB Real Yield Estimated by ILB Real Yield Estimated by BoTBoTILB Real Yield Estimated by ILB Real Yield Estimated by BoTBoT

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2.00

2.50

3.00

3.50

Re

al

Co

up

on

(%

)

Real Coupon Estimated by BOT

43

0.00

0.50

1.00

1.50

Jul-

01

Jan

-02

Jul-

02

Jan

-03

Jul-

03

Jan

-04

Jul-

04

Jan

-05

Jul-

05

Jan

-06

Jul-

06

Jan

-07

Jul-

07

Jan

-08

Jul-

08

Jan

-09

Jul-

09

Jan

-10

Jul-

10

Jan

-11

Re

al

Co

up

on

(%

)

4.00

5.00

6.00

7.00

8.00

Yie

ld (

%)

Historical Gov. Yield -- 10-yr TTM

44

0.00

1.00

2.00

3.00

4.00

3/

1/

20

01

25

/0

5/

20

01

9/

10

/2

00

1

27

/0

2/

20

02

19

/0

7/

20

02

4/

12

/2

00

2

29

/0

4/

20

03

17

/0

9/

20

03

4/

2/

20

04

28

/0

6/

20

04

12

/1

1/

20

04

1/

4/

20

05

26

/0

8/

20

05

12

/1

/2

00

6

6/

6/

20

06

25

/1

0/

20

06

14

/0

3/

20

07

3/

8/

20

07

20

/1

2/

20

07

14

/0

5/

20

08

30

/0

9/

20

08

19

/0

2/

20

09

16

/0

7/

20

09

30

/1

1/

20

09

23

/0

4/

20

10

16

/0

9/

20

10

3/

2/

20

11

Yie

ld (

%)

Economic DataEconomic DataEconomic DataEconomic Data

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Year Headline Inflation (%)

2010 3.3

2009 -0.9

2008 5.5

2007 2.3

2006 4.7

2005 4.5

Historical Headline InflationHistorical Headline InflationHistorical Headline InflationHistorical Headline Inflation

1.033

0.991

1.055

1.023

1.047

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2005 4.5

2004 2.7

2003 1.8

2002 0.7

2001 1.6

Geometric Mean 2.603

Arithmetic Mean 2.620

1.045

1.027

1.018

1.007

1.016

Product 1.2930

Breakeven InflationBreakeven InflationBreakeven InflationBreakeven Inflation

Breakeven Inflation (BEI)

= Gov. Fixed Rate Yield – ILB Yield

Gov

. Fix

ed R

ate

Bon

d

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Inflation Risk Premium

Inflation Expectation

Real Yield

Breakeven Inflation

ILB Yield

Gov

. Fix

ed R

ate

Bon

d

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

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U.S. Real Yield CurveU.S. Real Yield CurveU.S. Real Yield CurveU.S. Real Yield Curve

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D��7EF!�"��

D��7EF!�"�� 7� � ��

1. Purpose

2. Subpurpose

3. Trade Date/ Time

6. Counter Party

7. Bond Symbol

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

4. Settlement Date

5. Buy/Sell

8. Yield/ Price (%)

9. Volume (Unit)

10. Fin Rate/ Term

� ก�@&"&,ก�("�! ��@��`��a�� CPI ก��A��!@�� Monthly Ref CPI %("A�B�)�

ก��Z�� ก��Z�� CPICPIก��Z�� ก��Z�� CPICPI

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� ก�@&"&, CPI �&ก��(ก�b��ก��5��! C��&ก��5ก�BT6�2�� ILB %(B��5ก�BT�� 5��%(6��"&,��(ก�b

� ก�@&"&,ก�("�! ��@��`B��-��C�D�5�� CPI B�2��6��!��"&,��(-� %(6�

ก��ก�#DFก��!�!�" ก��ก�#DFก��!�!�" CPICPIก��ก�#DFก��!�!�" ก��ก�#DFก��!�!�" CPICPI

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inflation linked bond (ilb)

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