Thai Baht Interest Rate Fixing (THBFIX)

Thanon YingprasertContent Operations team1 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 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 tenorFWD = 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 8

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 1 2 3

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1 2 3

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1 2 3

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19 Instrument Codes

THB Fix 6MTHB Fix 6M

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Fixing Historical data

Export data 16

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

Derivatives Product Development +662 229-2767-8

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