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    BOT Announces First Transaction Using Thai Overnight Repurchase Rate

    September 01, 2020

    BOT announced that CIMB Thai Bank and Kasikornbank entered into an overnight indexed swap derivative contract. This is the first transaction in Thailand since Thai Overnight Repurchase Rate (THOR) was released on April 01, 2020. The derivatives transaction between the two banks is considered to be the starting point for creating liquidity for market participants in the more widespread adoption of the THOR reference rate.

    BOT and market participants have developed THOR as an alternative rate in response to the cessation of LIBOR in the global financial markets. THOR is calculated based on the loan interest rate of interbank transactions in the private bond repurchase market over the actual overnight period. Thus, THOR is a transparent and reliable interest rate. BOT is responsible for calculating and disseminating the rate to the same standards as foreign interest rates.

     

    Related Link (in Thai): Press Release

     

    Keywords: Asia Pacific, Thailand, Banking, Securities, LIBOR, THOR, Interest Rate Benchmarks, Benchmark Reforms, BOT

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