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KBank Daily Update 28 August 2017

Disclaimer: For private circulation only. The foregoing is for informational purposes only and not to be considered as an offer to buy or sell, or a solicitation of an offer to buy or sell any security. Although the information herein

was obtained from sources we believe to be reliable, we do not guarantee its accuracy nor do we assume responsibility for any error or mistake contained herein. Further information on the securities referred to herein may be obtained upon request.

Market highlight: The euro spiked against the dollar as top of ECB signaled a need of tightening monetary policy while Fed chair Janet Yellen avoided mentioning path of Fed rate hike.

FX market mover: EUR/USD increased by 1.06% to 1.1924. The euro climbed after Draghi did state that the ECB will have to be “patient” on monetary policy at the Jackson Hole Symposium.

USD/THB declined by 0.26% to 33.25. The baht strengthened in line with most currencies as the dollar came under pressure after the Jackson Hole Symposium.

Factors to watch today: Impact of Hurricane Harvey on global oil price and US trade balance

Source: Reuters (ex counter rates); For latest counter rates:www.kasikornbank.co/EN/RatesAndFees/ForeignExchange/Pages/ForeignExchange.aspx

1yr 2yr 3yr 4yr 5yr 7yr 10yr

28-Aug Bid/Ask 1.325/1.355 1.46/1.49 1.595/1.625 1.73/1.76 1.86/1.89 2.055/2.105 2.265/2.315

KBank counter rate Buying Selling

(against THB) Sight Bill T/T T/T Export/Import

USD -1.98/1.70

EUR 0.65/10.12

GBP 0.70/7.66

JPY 0.92/6.07

KBank Technical Analysis Support

USD/THB (Onshore)

USD/JPY

EUR/USD

EUR/THB

JPY/THB

108.80

Strategy

Sell USD/THB near support

39.35

0.3015

39.95

Sideway Down

Sideway Down

Sideway Down

Sideway Down

1.1923

39.62

25-Aug

33.30

39.47

0.30000.3046

28-Aug

33.23

109.11

0.3008

33.38

40.02

43.29

0.3090

1.1880

33.35

109.50

1.1960

33.15

42.26

39.24

0.3070

0.30

33.08

109.34

1.1924

42.40

32.98

39.15

Premium (1 month)

Resistance

Sideway

Trend

Buy EUR/THB near support

Neutral

Sell EUR/USD near support

Sell USD/JPY near support

US Market

SET Index Aug 25

Foreign Net Position (Bt mn)

Thai Bond Market

Total Return Index

Total Market Turnover (Bt mn)

TGB Yield Curve 1m

Change (bps)

Overnight (%)

Repurchase Rates Spot Gold ($ /oz)

THBFIX (pm)

Thai Stock Market

3yr

-0.55

1m

1.51455

2.95

-2.30

14yr

1yr

2.17

7-day

2yr

1.49

25-Aug 1.53297

25-Aug

92.74

10yr

-2.14

2m

0.40

1.50

1w

-1.15

0.44

2.17

0.44

1m

Change

1.70904 1.97128

30.27

Change

NYMEX crude ($/b)

2.80

-0.00582,443.05

US 2yr T-note (%)

7yr

25-Aug

21,813.67

4.08

2.471.83

1.33

1.55098

47.87

5yr

1.23556 1.53805

-1.36

1.24960 25-Aug

-436.52

1.58273

-1.50

25-Aug

1,575.85 -0.11

Change

Dollar Index

-0.01

25-Aug US 10 yr T-note (%)

Dow Jones

S&P 500Market Turnover (Bt mn)

3m 6m 1yr

271.95

-18,610.71

1,379.3246,459.72 -3,303.18

3m

18yr

1.45 1.57

3m

14-day

2.59

12yr

4.831.50

6m

-1.45-1.71

6m

change

1m

1.31778

25-Aug

0.11

1.50

1.15 1.401.22

25-AugInterbank Rates BIBOR

1-day

0.13

1.18195

3m

1.13530

1,258,193.18

0.12

1.50

28-Aug

-0.07

25-Aug 1.50

25-Aug

1m

1.45500

1yr

1.50

6m LIBOR

1291.03

Macro & Fixed Income Market

Daily performance Daily performance

Macro update:

Top central bankers disappointed the investors at Jackson Hole Symposium. The investors expected Fed and ECB presidents to comment on their path of tightening monetary policy after inflation showed lower than expected. However, US Federal Reserve chair Janet Yellen did not address future monetary policy actions, instead she focused on the history of the crisis and what regulators have done in response. ECB president Mario Draghi said that significant monetary accommodation was still needed and that inflation was not yet converging to the central bank's target while he did not mention about euro strength as he did in the latest ECB policy meeting. EUR/USD thus spiked after Draghi’s speech.

US durable good orders signaled growth of business activities even through the number disappointed a market. US durable good orders fell 6.8%MoM SA more than expected 6.0% drop in July. It was even weaker than 6.4% growth in the previous month. A disappointed number was mainly from only 22 aircraft orders in July, sharply down from 184 in the prior month. However, non-defense capital goods orders excluding aircraft, a proxy for business spending plans, increased 0.4% last month after being unchanged in June. Shipments of core capital goods jumped 1.0% after an upwardly revised 0.6% increase in June. Business spending on equipment added 0.44%. This signaled that businesses are boosting spending despite uncertainty over the prospect of tax cuts.

Fixed income market:

Thai government bond yields dropped on Friday. The yield on the 2-yr government bond was unchanged at 1.49%, but the yield on the 10-yr government bond dropped by 1 bps to 2.47%.

US treasury yields dropped after the Jackson Hole Symposium. The yield on the 10-yr treasury dropped by 3bps to 2.20%, while the yield on the 2-yr dropped by 2bps to 1.33%.

US durable goods order

1.01 1.11

1.23 1.34

1.47

1.76

1.99

2.17

1.45 1.45 1.46 1.46 1.59

2.04

2.20

2.37

0.75

1.05

1.35

1.65

1.95

2.25

2.55

0 1 2 3 4 5 6 7 8 9 10

28/08/2017next 3 monthsnext 6 monthsnext 12 months

tenor, yrs

%

1.22

1.40 1.45 1.49

1.57 1.70

1.83 1.96

2.17 2.27

2.35 2.47

1.50 1.52 1.53 1.64

1.84 1.96

2.07

2.31 2.41

2.47 2.62

2.70

1.05

1.45

1.85

2.25

2.65

0 1 2 3 4 5 6 7 8 9 10

25/08/2017

tenor, yrs

%

Thai government bond yields

Bond Market Indicators

Thai government bond implied curve shifts

Thai government bond yields spreads

70

105

140

175

210

245

Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17

bps

2-10 spread 5-30 spread

70

105

140

175

210

245

Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17

bps

2-10 spread 5-30 spread

70

105

140

175

210

245

Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17

bps

2-10 spread 5-30 spread

US government bond implied curve shifts

FX Market

Current trend: Monetary policy makers at the Jackson Hole Symposium gave little indication about the future direction of monetary policy for this year. The dollar was sold off after the Fed chair continued to remain dovish, while Draghi also gave little indication about the ECB’s next move. Moving on, the main focus this week will be on US labor market data. Essentially, the non-farm payroll numbers will be released at the end of the week and will bear importance. The market is of the view that this number will likely continue to point towards the strength in the US labor market.

• EUR/USD increased by 1.06% to 1.1924. The euro climbed after Draghi’s comments at the Jackson Hole Symposium. Even though Mr Draghi failed to give any signals about the ECB’s next move, his lack of remarks about the euro’s strength led to the climb in the EUR/USD. Overall, his speech did not focus on monetary policy, but he did state that the ECB will have to be “patient” even though the economy has recovered.

• USD/JPY dropped by 0.20% to 109.34. The yen strengthened against the dollar as the latter was sold off after the Jackson Hole Symposium.

• GBP/USD increased by 0.62% to 1.2880. The pound also strengthened in line with other currencies, as the dollar came under buying pressure.

• Asian currencies mainly strengthened as the dollar came under pressure after the Jackson Hole Symposium. The Fed chair failed to give any signals about the Fed’s next move. Instead, she mainly spoke about US financial regulations post the 2008 crisis. As such, the market took this as a dovish sign from Janet Yellen. Apart from this, Mr Kaplan stated that the Fed should start the balance sheet normalization plan relatively soon.

• USD/CNY dropped by 0.14% to 6.647. The yuan strengthened in line with other regional currencies.

• USD/THB declined by 0.26% to 33.25. The baht strengthened in line with most currencies as the dollar came under pressure after the Jackson Hole Symposium.

Currency Movement

Market Strategists:

Peerapan Suwannarat

Tel: 02 470 1031

peerapan.s@kasikornbank.com

Anchali Singh

Tel: 02 470 3235

anchali.s@kasikornbank.com

Morning Daily

Spot 25-Aug-17 24-Aug-17 % Change 3Q2017 4Q2017

USD/THB** 33.25 33.25 33.33 -0.26 33.00 33.50

USD/JPY 109.18 109.34 109.56 -0.20 112.00 113.00

EUR/USD 1.1928 1.1924 1.1799 1.06 1.1600 1.1700

GBP/USD 1.2894 1.2880 1.2801 0.62 1.2900 1.2900

USD/CNY 6.646 6.647 6.656 -0.14 6.760 6.800

USD/SGD 1.3560 1.3559 1.3620 -0.45 1.3700 1.3700

USD/IDR 13,333 13,349 13,340 0.07 13,327 13,370

USD/MYR 4.27 4.27 4.28 -0.16 4.26 4.28

USD/PHP 51.08 51.09 51.10 -0.03 50.60 51.00

USD/KRW 1,122 1,122 1,128 -0.59 1,138 1,150

USD/TWD 30.09 30.12 30.23 -0.36 30.30 30.70

AUD/USD 0.793 0.79 0.790 0.39 0.78 0.78

USD/CHF 0.96 0.96 0.97 -0.85 0.97 0.98

JPY/THB 30.45 30.41 30.42 -0.05 29.46 29.65

EUR/THB 39.65 39.64 39.33 0.80 38.28 39.20

GBP/THB 42.87 42.82 42.67 0.36 42.57 43.22

CNY/THB 5.00 5.00 5.01 -0.11 4.88 4.93

Source:Bloomberg and KBank**

Closing rates Consensus forecast

KBank THB NEER index

As of 28th August, 2017

KBank Rich / Cheap Model

As of 28th August, 2017

KBank Rich-Cheap Model

Note: As of October 7th, 2016

-15

-10

-5

0

5

10

15

LB17

6A

LB18

3A

LB18

3B

LB19

3A

LB19

6A

LB19

8A

LB21

3A

LB21

DA

LB23

3A

LB23

6A

LB24

DA

LB25

DA

LB26

7A

LB27

DA

LB29

6A

LB32

6A

LB38

3A

LB39

6A

LB40

6A

LB41

6A

LB44

6A

3 mth avg Now

bps (actual YTM vs. model)