market convention for inflation linked bond (ilb) · market convention for inflation linked bond...
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Market Convention for Market Convention for
Inflation Linked Bond (ILB)Inflation Linked Bond (ILB)
1
Inflation Linked Bond (ILB)Inflation Linked Bond (ILB)
ดร.ธนานันต ศิวโมกษธรรม, CFA, FRM
ผูอํานวยการฝายบริการราคาตราสารหนี้และพัฒนาผลิตภัณฑ
สมาคมตลาดตราสารหนี้ไทย (ThaiBMA)
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� ���������� ������� ������� 10 ��
� �������������� ��ก�� 1,000 ��
� #�������$ก��%&����' 1 ���� ($�#��� �ก 6 �$*�
�������� �������� ILBILB�������� �������� ILBILB
� #�������$ก��%&����' 1 ���� ($�#��� �ก 6 �$*�
� ��� %+ก���,���*��� %+ 27 �/01��� 2554 4�',��� 5���� Reference CPI ? ��� %+ก���,��� ��ก�� 110
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• ($���*+���������� ������� �������ก@���$AB�B�5���� %+ 27 �/01��� 2564
• C�B*#'A$����� ������ก��,���D$�D��� ������E�#@������ � ��
C�B*#'A$����� ������ก��,���D$�D��� ������E�#@������ � 1,345.45 ��
• FG+�B���ก��� %+�@���?A$��ก���������������� C��� ��#'A$���#@������ ��*�� ��ก��������������� %+ 1,000 ��
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Reference CPIReference CPIReference CPIReference CPI
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� Unadjusted Gross Price 5�������'R�������������� (Par Value)
� ก�'4,�� � %+�@����@���?#'��E�ก�'4,�� � %+5D,@�����ก���@���?����� ����&�FG+��##'A��� ��ก��#@������ � %+A$���#� �4�'#'���5�
Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB
����� ����&�FG+��##'A��� ��ก��#@������ � %+A$���#� �4�'#'���5����R� Real Cash Flow
� ����� $�$ %+5D#'���5����R� Real Yield to Maturity
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Price
Last payment
(Par+Coupon)
Coupon Bond Pricing
ก��� �!�"�������#��$!%&
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CouponCouponCoupon
tt1 t2 t3 t4t0
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Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB
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Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB
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Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB
���������� ������� ������� 10 �� �������������� ��ก�� 1,000 �� #�������$ก��%&����' 1 ���� ($�#��� �ก 6 �$*� ��� %+ก���,���*��� %+ 27 �/01��� 2554
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Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB
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Price Price �� Yield Conversion for ILBYield Conversion for ILBPrice Price �� Yield Conversion for ILBYield Conversion for ILB
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CalculationCalculationCalculationCalculation
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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
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Real Yield ILB QuotationReal Yield ILB QuotationReal Yield ILB QuotationReal Yield ILB Quotation
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Real Yield ILB QuotationReal Yield ILB QuotationReal Yield ILB QuotationReal Yield ILB Quotation
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'(�)*+,%-�(�������!
'(�)*+,%-�(�������! )%.��!%&
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
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Daily ReportDaily ReportDaily ReportDaily Report
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RP Reference & Mark to marketRP Reference & Mark to marketRP Reference & Mark to marketRP Reference & Mark to market
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�� +� Column Index Ratio
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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 (%)
+
25
Unadjusted AI (%) x Index Ratio
+