inflation linked bond (ilb)
TRANSCRIPT
Inflation Linked Bond (ILB)Inflation Linked Bond (ILB)
Concepts & InformationConcepts & Information
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ดร.ธนานันต ศิวโมกษธรรม, CFA, FRM
สมาคมตลาดตราสารหนี้ไทย (ThaiBMA)
15 มิถุนายน 2554
Par Value = 1,000Coupon = 5% (Annual Payment)Tenor = 4 Years
Fixed Rate Bond
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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
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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
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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 %�� )
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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
Reference CPIReference CPIReference CPIReference CPI
CPIM-3
Jan
CPIM-2
FebCPIM-1
March
CPIMApril May
109.95
XX Apr 2010
Reference CPIReference CPIReference CPIReference CPI
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Reference CPIReference CPIReference CPIReference CPI
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Reference CPIReference CPIReference CPIReference CPI
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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
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Price
Last payment
(Par+Coupon)
Coupon Bond Pricing
ก����������������������
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CouponCouponCoupon
tt1 t2 t3 t4t0
Price Price 00 Yield Conversion for ILBYield Conversion for ILBPrice Price 00 Yield Conversion for ILBYield Conversion for ILB
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Price Price 00 Yield Conversion for ILBYield Conversion for ILBPrice Price 00 Yield Conversion for ILBYield Conversion for ILB
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Price Price 00 Yield Conversion for ILBYield Conversion for ILBPrice Price 00 Yield Conversion for ILBYield Conversion for ILB
����������� ���������� 10 �� ������������ !�"��ก�� 1,000 ��" %���������ก��&'������( 1 ����� )�%���"�ก 6 �+�� !��"&,��ก���-���+�!��"&, 27 �012��� 2554
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Price Price 00 Yield Conversion for ILBYield Conversion for ILBPrice Price 00 Yield Conversion for ILBYield Conversion for ILB
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Price Price 00 Yield Conversion for ILBYield Conversion for ILBPrice Price 00 Yield Conversion for ILBYield Conversion for ILB
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Price Price 00 Yield Conversion for ILBYield Conversion for ILBPrice Price 00 Yield Conversion for ILBYield Conversion for ILB
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Price Price 00 Yield Conversion for ILBYield Conversion for ILBPrice Price 00 Yield Conversion for ILBYield Conversion for ILB
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Price Price 00 Yield Conversion for ILBYield Conversion for ILBPrice Price 00 Yield Conversion for ILBYield Conversion for ILB
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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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Bond Info.Bond Info. & Feature& FeatureBond Info.Bond Info. & Feature& Feature
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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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CalculationCalculationCalculationCalculation
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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
Yield � Real YieldPrice (%) � Unadjusted Price (%)
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Daily ReportDaily ReportDaily ReportDaily Report
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Yield � Real YieldPrice (%) � Unadjusted Price (%)
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
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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
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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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