IRS Rates Decline—Tracking Futures Movements

(Seoul=Yonhap Infomax) Jee Hyun Son—Interest rate swap (IRS) rates fell in the Seoul bond market.

As of 16:29 KST on the 21st, the 1-year IRS rate stood at 2.7050%, down 1.75 basis points from the previous session.

The 2-year and 3-year tenors each dropped by 4.75 basis points.

The 5-year IRS rate declined by 5.00 basis points to 2.9675%, while the 10-year fell 4.00 basis points to 3.1150%.

A dealer at a local securities firm noted, “There was some selling pressure in the long end, but after it was absorbed, IRS rates continued to track futures movements.”

Cross-currency swap (CRS) rates based on the Secured Overnight Financing Rate (SOFR) also mostly declined.

The 1-year CRS (SOFR) rate remained unchanged at 2.1000%.

The 5-year CRS (SOFR) rate dropped 5.50 basis points to 2.5200%, and the 10-year fell 2.00 basis points to 2.6150%.

The swap basis inversion—the spread between CRS (SOFR) and IRS—narrowed overall.

The 1-year inversion narrowed by 1.75 basis points to -60.50 basis points, while the 5-year inversion widened by 0.50 basis points to -44.75 basis points.

jhson1@yna.co.kr

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