IRS Rates Rise—Curve Reversal Movement Observed

(Seoul=Yonhap Infomax) Hye Rim Pi — Interest rate swap (IRS) rates climbed higher.

As of 16:30 KST on the 24th, the 1-year IRS rate in the Seoul bond market rose by 1.00 basis point from the previous session to 2.7150%.

The 2-year and 3-year tenors increased by 3.75bp and 3.50bp, respectively.

The 5-year IRS advanced 2.00bp to 2.9875%, while the 10-year rose 2.00bp to 3.1350%.

A dealer at a local securities firm said, "After last week's persistent steepening, there was notable curve reversal buying today," adding, "The 2- to 3-year segment showed the most pronounced weakness amid these moves."

Cross-currency swap (CRS, SOFR) rates also moved higher.

The 1-year CRS (SOFR) rate rose 0.50bp to 2.1050% from the previous session.

The 5-year increased by 4.00bp to 2.5600%, and the 10-year gained 4.00bp to 2.6550%.

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

The 1-year inversion widened by 0.50bp to -61.00bp, while the 5-year inversion narrowed by 2.00bp to -42.75bp.

phl@yna.co.kr

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