MONEY MARKETS-Korean cross currency swaps rise, Thai IRS fall

Reuters - Tuesday, November 24

HONG KONG, Nov 23 - Dollar funding costs in Asia hit new lows on Monday tracking the slide in interbank rates in other financial centres late last week but Korean cross currency swaps continued to rise.

* Thailand's rate market see considerable receiving interest which brings down longer-dated interest rate swaps and results in a flatter curve.

* In Singapore, 3-month dollars <SIUSDD=ABSG> are quoted at an average 0.27043 percent, a fresh low, tracking three-month dollar Libor rates <USD3MFSR=> which decline to a record trough of 0.26219 percent last week.

* Dollar/won one-year cross currency swaps <KRWCRS=KMBC> rise to 1.20 percent from Friday's 1.18 percent. They are up from last week's 0.85 percent.

* Interest rate swaps in South Korea also gain amid corporate paying activity mainly in the belly of the curve.

* Two-year IRS <KRQMCD2Y=KMBC> increase 3 bps to 3.91 percent and three-year IRS <KRQMCD3Y=KMBC> rise by a similar margin to 4.15 percent.

* "There was some liability swaps management in the belly of the curve -- in the 2 and 3 year segments. I hear there was some corporate demand there," says a Seoul-based strategist.

* The basis spread between interest rate swaps and cross currency swaps rise by around 8 basis points to 68 basis points but analysts expect the gap to tighten as the year-end approaches.

* "Unlike previous years, dollar conditions are quite flush. Many had feared basis widening going into the end of the year but this year it may be somewhat different," said the Seoul based strategist.

* Thailand's 10-year interest rate swaps <THBSB6TH10Y=> fell ahead of a bond auction of a similar maturity. The contract eased 5 basis points to 4.19 percent. The one-year swap <THBSB6TH1Y=> eased just a single basis point to 1.45 percent. ((umesh.desai@thomsonreuters.com; +852 2843 6935; Reuters Messaging: umesh.desai.reuters.com@reuters.net; )) (If you have a query or comment on this story, send an email to newsfeedback.asia@thomsonreuters.com)