Thai Fixed Income Market 7-11 Mar 2016

At the beginning of the week, on-the-run bonds (not over 10 years of age) didn't experience any significant change. On Wednesday a meeting was held to auction the oldest government bond (50 years) with an average return rate of 3.2490% per year - a slight 2.50% drop from the indicative yield of the day before. This marks the second bonds auction of this age in this year, where the first auction was held in mid-January yielding an average return rate of 3.7590% per year. On Friday, The Bank of Thailand began Open Market Operations (OMO) by purchasing LB236A, LB27DA and LB283A bonds from primary dealers, with return rates of 1.733%, 2.05% and 2.08% per year - totaling at 3,266 million baht from the proposed 5,736 million baht.

As for the market's short-term government bonds, results of the auctioning of 29-day and 364-day-old treasury bills, yielded an annual average return rate of 1.3781% and 1.3960% respectively. The Bank of Thailand also held an auction of 14-day, 91-day and 182-day old bank bonds, which yielded an average return rate of 1.3710%, 1.3811% and 1.3878% per year respectively.

Changes to the yield curve of government bonds in the last week can be seen in the diagram below, where bonds under 10 years of age showed little change, but for long-term bonds especially for the 40-50 year old category, have gone down 13-26 bps, this was solely due to the recent auction. As for the accumulated turnover between March 7 - March 11, foreign investors made a net purchase totaling at 50,447 million baht in bonds under 1 year of age and made net sales of 2,307 million baht for bonds over 1 year of age.

Bond Yields of government