FX Swap Points Rebound on Decline in US Yields

(Seoul=Yonhap Infomax) Sun Young Jung = FX swap points rose on Thursday.

On November 21 in Seoul’s foreign currency funding market, the one-year FX swap point was quoted at -21.20 won, up 0.50 won from the previous session.

The six-month contract closed at -12.70 won, up 0.30 won from the opening price of -12.90 won. The three-month contract gained 0.05 won to -6.75 won, while the one-month contract edged up 0.05 won to -2.20 won from the opening price of -2.25 won.

In ultra-short tenors, the overnight swap point was at -0.19 won, and the tomorrow/next (T/N) was at -0.065 won.

Market participants attributed the rebound to a drop in US Treasury yields after the US nonfarm payrolls report for September showed the unemployment rate rising to a four-year high.

“Following the release of the US nonfarm payrolls data, US yields fell, which pushed up the one-year FX swap point,” said a swap dealer at a major commercial bank. “Previously, news of heavy industry orders and export settlement flows had weighed on the one-year tenor, but today’s move appears to reflect the impact of lower yields.”

The dealer added, “Looking at ultra-short tenors, short-term liquidity does not appear to be significantly strained. We will have to see whether liquidity improves as quantitative tightening (QT) ends in December, or if year-end factors lead to a decline.”

syjung@yna.co.kr

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