KBank Daily Update 7 December 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.

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

Market highlight: The dollar will likely trade in a tight range ahead of the release of the non-farm payroll numbers this Friday. Economists expect non-farm payrolls to have risen by 200,000 in November.

FX market mover: EUR/USD dropped by 0.25% to 1.1796. The euro dropped yesterday due to positive dollar sentiment this week. The US ADP employment supported dollar the dollar’s strength.

• USD/THB barely inched with a 0.01% rise to 32.62%. The baht moved within a narrow range.

Factors to watch today: Thai consumer confidence and Eurozone 3Q17 GDP (final estimate)

US Market

Dow Jones

S&P 500Dollar Index

US 10 yr T-note (%)

US 2yr T-note (%)

NYMEX crude ($/b)

TGB Yield Curve 1m 3m 6m 1yr 2yr 3yr 5yr 7yr 10yr 12yr 14yr 18yr

6-Dec 1.20 1.25 1.41 1.46 1.49 1.60 1.89 2.15 2.56 2.66 2.84 2.91

Change (bps) 0.07 -0.20 0.19 0.47 -0.06 -0.13 -2.51 -1.29 -0.24 -0.06 0.15 -1.90

7-Dec 6-Dec BIBOR 1w 1m 2m 3m 6m 1yr

1.50 1.50 6-Dec 1.51279 1.52959 1.54204 1.57125 1.70279 1.96335

Repurchase Rates 1-day 7-day 14-day 1m

6-Dec 1.50 1.50 1.50 1.50 6-Dec

THBFIX (pm) 1m 3m 6m 1yr LIBOR

6-Dec 0.47548 0.69720 1.05763 1.42610 6-Dec

6-Dec

1,694.39

1m

1.40688

Change

-3.22

-3,303.18-3,153.99

Change

1,474,622.38

46,459.72-3,329.18

6-Dec

274.60 0.10

201,095.77

Spot Gold ($ /oz)

Thai Stock Market

SET Index

Market Turnover (Bt mn)Foreign Net Position (Bt mn)

Thai Bond Market

Total Return Index

Total Market Turnover (Bt mn)

Interbank Rates

Overnight (%)

55.96

6-Dec

24,140.91

2,629.2793.61

2.33

Change

-39.73

-0.300.0025

-2.60

-2.00

-1.66

1.81

3m 6m

1.71445 1.52263

change

-2.291263.86

SWAP (THB/THB, Rates) 1yr 2yr 3yr

7-Dec Bid/Ask 1.25/1.28 1.47/1.5 1.65/1.68

KBank counter rate

(against THB)

USD

EUR

GBP

JPY

KBank Technical Analysis

USD/THB (Onshore)

USD/JPY

EUR/USD

EUR/THB

JPY/THB

Export/Import

-6.3 / 2.8

0.8 / 10.44

0.15 / 6.43

1.0095 / 5.9156

32.78

38.84

4yr

1.81/1.84 1.945/1.975

5yr 7yr

2.11/2.16 2.305/2.355

10yr

Premium (1 month)Sight Bill

32.38

38.00 38.10

32.48

T/T

Buying Selling

T/T

43.08

0.2857 0.2866

43.23 44.12

0.2945

7-Dec

32.63

112.43

1.1792

38.49

0.2902

38.47

0.2869

6-Dec

32.60

112.28

1.1795

32.50

Support Resistance

32.80

112.90

1.1835

38.80

0.2930

Trend

Sideway

Sideway

Sideway

Sideway

Sideway0.2870

38.20

1.1752

112.00

Macro & Fixed Income Market

Daily performance

Macro update:

US ADP employment rose in line with the market’s estimate. In the month of November, private payrolls rose by 190,000, following a 235,000 rise in October. This number matched the market’s estimate. Specifically, factories added 40,000 jobs, the highest in almost 15 years. However, construction payrolls dropped by 4,000. As such, employment in the good producing sector rose by 36,000. Additionally, service payrolls rose by 155,000, following a 150,000 rise in October. Payrolls rose the most in the education and health services sector, as employment increased by 54,000. This was followed by the 47,000 payroll gains in the professional and business services sector. These latest numbers suggest that the US labor market remained resilient after the hurricanes. Overall, the US labor market continues to remain strong. The next numbers that will be closely watched will be the non-farm payroll numbers. Economists expect non-farm payrolls to have risen by 200,000 in November.

Fixed income market:

Thai government bond yields stayed unchanged. The 2-yr and 10-yr yield remained unchanged for 3 working days at 1.49% and 2.56%, respectively.

US treasury yields declined. The 10-yr and 2-yr treasury yields dropped by 1 bps to 2.34% and 1.81%, respectively.

US ADP employment

0

60

120

180

240

300

360

Jan-14 Aug-14 Mar-15 Oct-15 May-16 Dec-16 Jul-17

ADP Employment Change (,000) 4-month moving average

1.2

1.6

2.0

2.4

2.8

1700

1850

2000

2150

2300

2450

2600

2750

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

%

S&P Index 10yr Treasury yield, right

0.00

0.30

0.60

0.90

1.20

1.50

1.20

1.50

1.80

2.10

2.40

2.70

Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17 Sep-17

10yr Treasury yield, % 2yr Treasury yield, % (right axis)

1

2

3

4

Jan-13 Sep-13 May-14 Jan-15 Sep-15 May-16 Jan-17 Sep-17

%

policy rate 2y 5y 10y

0

25

50

75

100

125

150

Jan-13 Sep-13 May-14 Jan-15 Sep-15 May-16 Jan-17 Sep-17

2-10 spread 2-5 spread 5-10 spread

bps

.

Thai government bond yields

Bond Market Indicators

US government bond yields

Thai government bond yields spreads

10-yr UST vs. S&P 500

FX Market

Current trend: The market is waiting for clearer progress on the US tax reform front, which is expected to support the dollar as the recent quantitative tightening program has not yet strengthened the dollar. Otherwise, the other currencies are expected to fluctuate within the narrow range and remained on an appreciation stance against the dollar. On the Thai monetary policy front, the BOT is expected to stay on pat as domestic demand remains weak. As for the USD/THB, the high current account surplus will likely slowdown the rise in the USD/THB.

• EUR/USD dropped by 0.25% to 1.1796. The euro dropped yesterday due to positive dollar sentiment this week. The US ADP employment supported dollar the dollar’s strength.

• USD/JPY dropped by 0.28% to 112.29. The yen appreciated against the dollar.

• GBP/USD declined by 0.36% to 1.3394 due to Brexit concerns. The UK only has 24 hours left to come up with a deal regarding the Irish border; this deal needs to be finalised by Friday. During this time, the UK government needs to find a mutual solution with the DUP party in order to avoid a hard border within Ireland. Otherwise, Brexit negotiations might not be able to move forward.

• Asian currencies depreciated against the dollar. The dollar index improved by 0.20% to close at 93.38 yesterday. Based on ADP Research Institute numbers, US private sector employment normalized, with job gains of 190,000 in the month of November. This suggests that there was further strengthening in the US labor market. As a result, investors expect a continued drop in the unemployment rate this Friday.

• USD/CNY was unchanged. The exchange rate dropped somewhat by 0.01% to 6.612.

• USD/THB barely inched with a 0.01% rise to 32.62%. The baht moved within a narrow range.

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 6-Dec-17 5-Dec-17 % Change 4Q2017 1Q2018

USD/THB** 32.65 32.62 32.62 0.01 32.70 32.25

USD/JPY 112.44 112.29 112.60 -0.28 113.00 114.00

EUR/USD 1.1797 1.1796 1.1826 -0.25 1.17 1.17

GBP/USD 1.3381 1.3394 1.3442 -0.36 1.32 1.32

USD/CNY 6.614 6.612 6.612 -0.01 6.650 6.650

USD/SGD 1.3496 1.3489 1.3470 0.14 1.3600 1.3700

USD/IDR 13,549 13,540 13,519 0.16 13,500 13,520

USD/MYR 4.08 4.08 4.06 0.30 4.20 4.15

USD/PHP 50.71 50.77 50.64 0.26 51.50 51.40

USD/KRW 1,096 1,094 1,088 0.57 1,120 1,111

USD/TWD 30.06 30.01 29.99 0.06 30.30 30.10

AUD/USD 0.754 0.76 0.761 -0.57 0.77 0.77

USD/CHF 0.99 0.99 0.99 0.25 0.99 0.99

JPY/THB 29.04 29.05 28.97 0.28 28.94 28.29

EUR/THB 38.51 38.48 38.57 -0.25 38.26 37.73

GBP/THB 43.68 43.69 43.85 -0.35 43.16 42.57

CNY/THB 4.94 4.93 4.93 0.02 4.92 4.85

Source:Bloomberg and KBank**

Closing rates Consensus forecast

KBank THB NEER index

As of 6th December, 2017

118.43

100

102

104

106

108

110

112

114

100

103

106

109

112

115

118

May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17 Sep-17 Jan-18

KBank NEER,base = Jan 1995, left Latest data point, left BOT NEER, base = 2012, right

KBank Rich / Cheap Model

As of 7th November, 2017

10

6

4

-1

-4

-14

-12

-7

-2

2

-10

-6

10

5

1

17

4

-4

11

1 1

8

-4

-8

-2

-22

11 11 13

4

-11

-16

-25

-15

-5

5

15

LB17

OA

LB18

3A

LB18

3B

LB19

1A

LB19

3A

LB19

6A

LB19

8A

LB20

6A

LB21

3A

LB21

4A

LB21

DA

LB22

6A

LB22

NA

LB23

3A

LB23

6A

LB24

4A

LB24

DA

LB25

DA

LB26

7A

LB26

DA

LB27

DA

LB28

3A

LB29

6A

LB31

6A

LB32

6A

LB36

6A

LB38

3A

LB39

6A

LB40

6A

LB41

6A

LB44

6A

LB46

6A

bps (actual YTM vs model) 3 mth avg Now

Fixed Income Auctions for December 2017

7 Note: Auction schedule is based on information from PDMO and

BOT; may be subject to changes.

Unit: million baht

Monday Tuesday Wednesday Thursday Friday Total

1

CB17D19A : 20,000

TB18307A : 10,000 30,000

4

CB18308B : 30,000

CB18607B : 30,000

CB18D06A : 55,000

5 6

LB316A : 12,000

7 8

TB18314B : 10,000

BOT202A : 15,000 152,000

11 12

CB18315C : 30,000

CB18614A : 30,000

13

LB26DA : 13,000

14

BOT198A : 50,000

15

123,000

18

TB18321B : 10,000

19

CB18322B : 30,000

CB18621A : 30,000

20

LB466A : 12,000

21 22

82,000

25

TB18328B : 10,000

26

CB18329B : 30,000

CB18628A : 30,000

27 28 29

70,000

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)