2022 Performance and Sustainability Focus
Well-managed B/S composition in preparation of interest rate trend
tb
Priority is to minimize the negative Mark-to-Market impact during a rising rate cycle under proper market risk guidelines
THB Government in Investment Portfolio
2.3
Duration
1.4
Investment Portfolio Breakdown
Data as of Dec-22
Floating Rate
Bond
21%
Fixed Rate
Bond
79%
Manage to minimize impact from
rising rate through Floating Rate
Bond Investment: Floating rate bond
portion is 21% of HtC&S portfolio.
6%
12%
12%
19%
27%
14%
■>5 years
35%
38%
2-5 years
81%
80%
■0-2 years
73%
FCY Bond
8%
53%
50%
Thai Corp
Bond 6%
THB
Govt Bond
86%
•
4Q21
1Q22
2Q22
3Q22
4Q22
Managed Short Duration during 2022: We managed to stay in Short Duration since
3Q21 to minimize negative impact from expected Interest Rate Rising cycle through:
Replacing Bond roll down with Floating Rate Bonds and Short-Term Foreign
Currencies Government Bonds to improve total Portfolio Return.
HtC&S portfolio duration was shortened from 2.3 years in 4Q21 to 1.4 years in
4Q22 where 80% of the total investment stays within 2 years.
HtC&S
76%
HtC
24%
Remark: Long-term bonds (>5 years) have been transferred to Hold to Collect (HTC)
Portfolio as per the Bank's new Business Model in 2Q22.
Return Enhancement from Thai
corporate bonds and FCY bonds with
rating of AA- and above: THB Corp and
FCY Bond portion is 14% of HtC&S
portfolio.
The Amortized Cost Portfolio (HTC):
Following new business model to support
long-term liquidity management, HtC
portfolio accounts for 24% of total Bank's
investment with duration = 6.9 years at end
of 2022.
HtC&S: Hold to Collect and Sell
HtC Hold to Collect
6View entire presentation