Thai Baht Interest Rate Fixing (THBFIX)
Thanon Yingprasert
Content Operations team
1 December 2010
What is Thai Baht Interest Rate Fixing?
“THB interest rate implied by USD/THB foreign exchange swaps”
The Swap Offer Rate represents the cost of borrowing a currency
synthetically by borrowing USD for the same tenor and using the
foreign exchange swap offer rate on the offer side to swap out the
USD in return for the foreign currency.
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Methodology of THB Fixing
THB INT. RATES FIXING
=({([1+(FWD/SPOT)]x[1+(SIBORxDAYS/360)])-1}x365/DAYS)x100
where
FWD = average Forward rate of each tenor
SPOT = average Spot rate
SIBOR = US interest rate for the respective tenor
DAYS = number of days
Rates published by 11:00am BKK time every business day
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Methodology for THB Fixing
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Methodology for THB Fixing
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Methodology of THB Fixing
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Methodology for THB Fixing
Source pages
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Methodology of THB Fixing
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Methodology of THB Fixing
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Fixing time
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3 Fixing Pages
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19 Instrument Codes
THB Fix 6M
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Fixing Historical data
Export data
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Fixing Historical data
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Where to find THB Fixing data on TFEX ?
http://www.tfex.co.th/th/index.html
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Potential issues
1)No data for ON, TN due to US holiday
2)Re-Fixing data
3)Fixing delay
4)Others
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Contact Thomson Reuters.
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Contact TFEX
Data Center Service Department
+662 229-2000
Derivatives Product Development
+662 229-2767-8
SETCallCenter@set.or.th, TFEX_admin@set.or.th
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