The swap rate in the onshore market declined in line with the US interest rates which were cut for the second time since the terrorist attack last month to 2.00 per cent for the discount rate and 2.50 per cent for the Fed funds rate, the lowest since 1962. The market still expected that the rates would be cut further before the end of this year, thus the short term rate for USD declined and was tending downward. In addition, the baht liquidity was still high. Thus the swap yields this week were clearly lower than last. The 30-, 90-, 180- and 365-day swap rates closed at + 0.0050 baht (2.60 per cent), +0.0450 baht (2.80 per cent), + 0.060 baht (2.60 per cent) and + 0.160 baht (2.80 per cent) respectively.

 

The offshore swap rate did not decline much as the baht liquidity in the offshore market was rather tight. The 30-, 90-, 180- and 365-day swap rate closed at + 0.09 baht (4.90 per cent), + 0.30 baht (5.10 per cent), + 0.62 baht (5.20 per cent) and + 1.20 baht (5.20 per cent) respectively.