IRS Rates Fall Across Tenors on Foreign Demand and FX Decline

IRS rates in the Seoul bond market fell across all tenors at 4:27pm, driven by strong foreign investor receive demand and a decline in the dollar-KRW exchange rate. The 1-year IRS rate dropped 1.50 basis points to 3.4200%, while the 5-year tenor fell 3.75bp to 4.0375% and the 10-year declined 2.50bp to 4.1500%. A securities dealer attributed the broad market strength to sustained short-term tenor rallies supported by supply-demand dynamics and the weakening dollar-won rate.

IRS Rates Decline Across All Tenors

The 1-year IRS rate fell 1.50 basis points to 3.4200% at 4:27pm compared to the previous trading day. The 2-year tenor dropped 5.00bp, and the 3-year declined 4.50bp. The 5-year rate decreased 3.75bp to 4.0375%, while the 10-year rate fell 2.50bp to 4.1500%.

A dealer at a securities firm stated, "Foreign investor receive demand was very strong this day. The market was broadly strong as short-term tenor strength continued from a supply-demand perspective, and it appears to have been influenced by the decline in the dollar-won exchange rate."

CRS(SOFR) Rates Rise Modestly

CRS(SOFR) rates rose slightly across all tenors. The 1-year tenor increased 1.00 basis point to 3.0550%. The 5-year rate rose 0.50bp to 3.5750%, and the 10-year rate climbed 0.50bp to 3.5250%.

Swap Basis Inversion Narrows

The swap basis inversion between CRS(SOFR) and IRS narrowed across all tenors. The 1-year inversion narrowed by 2.50 basis points to -36.50bp. The 5-year inversion contracted 4.25bp to -46.25bp.

FAQ

What caused IRS rates to fall in the Seoul bond market?
IRS rates declined due to strong foreign investor receive demand and a drop in the dollar-KRW exchange rate, with the 1-year rate falling 1.50bp to 3.4200% at 4:27pm.

How did CRS(SOFR) rates move compared to IRS rates?
CRS(SOFR) rates rose modestly across all tenors, with the 1-year rate up 1.00bp to 3.0550% and the 10-year rate up 0.50bp to 3.5250%, while IRS rates fell across the board.

What happened to the swap basis inversion?
The swap basis inversion between CRS(SOFR) and IRS narrowed, with the 1-year inversion contracting 2.50bp to -36.50bp and the 5-year narrowing 4.25bp to -46.25bp.