South Korea IRS Rates Rise Up to 8.75bp on July 14 Amid Policy Meeting Caution

Interest rate swap (IRS) rates in South Korea's bond market rose across all tenors on July 14, with the 1-year IRS rate climbing 5.00 basis points to 3.4750% as of 4:27 PM, according to Seoul bond market data reported by Yonhap Infomax. The increases were driven by heightened caution ahead of the July Monetary Policy Committee meeting scheduled two days later. Dealer commentary indicated that swap rates moved in tandem with spot rates, with short-term swaps fully pricing in consecutive rate hikes in July and August during morning trading before some profit-taking emerged.

1-Year to 10-Year IRS Rates Rise Across All Tenors

The 2-year IRS rate rose 8.00 basis points, while the 3-year rate increased 8.75 basis points on July 14. The 5-year IRS rate climbed 8.75 basis points to 4.0650%, and the 10-year rate advanced 8.50 basis points to 4.1600%. A securities firm dealer stated that "swaps showed similar movements to spot rates" and noted that "short-term swaps fully reflected consecutive rate hikes in July and August from the morning, showing strong caution regarding the Monetary Policy Committee." The dealer added that "rates declined somewhat afterwards as receive flows came in."

CRS(SOFR) Rates Increase Alongside IRS Movements

CRS(SOFR) rates rose across all tenors on July 14. The 1-year tenor increased 4.50 basis points to 3.1250%. The 5-year rate climbed 4.00 basis points to 3.5450%, while the 10-year rate rose 4.00 basis points to 3.5050%.

Swap Basis Inversion Widens Across Tenors

The swap basis inversion between CRS(SOFR) and IRS widened overall on July 14. The 1-year inversion expanded by 0.50 basis points to -35.00 basis points. The 5-year inversion widened by 4.75 basis points to -52.00 basis points.

FAQ

What caused South Korea's IRS rates to rise on July 14? IRS rates rose due to heightened caution ahead of the July Monetary Policy Committee meeting scheduled two days later, with short-term swaps fully pricing in consecutive rate hikes in July and August.

How much did the 5-year IRS rate increase on July 14? The 5-year IRS rate rose 8.75 basis points to 4.0650% as of 4:27 PM on July 14.