1-Year Interest Rate Swap Falls by 3.50bp to Record 3.4275%

On the 24th, the Korean won interest rate swap (IRS) rates fell in the short-term segment. The perception that the path of the base rate has already been priced in ahead of the Bank of Korea's Monetary Policy Committee meeting led to a strong performance in short-term instruments. In the Seoul bond market, the 1-year IRS rate recorded a decrease of 3.50bp to 3.4275% compared to the previous trading day. The 3-year and 5-year rates fell by 3.50bp and 4.25bp, respectively. The IRS is an over-the-counter derivative that exchanges fixed and floating interest rates, reflecting market interest rate forecasts and the risk management needs of bond-holding institutions in its trading conditions. Movements in the short-term segment were pronounced, and bond market participants reported that short-term swaps showed strength. There is also an analysis suggesting that expectations for institutional fund execution after the Monetary Policy Committee influenced the supply and demand in the short-term segment. The currency swap (CRS) rates saw the 1-year CRS rise by 2.50bp, while the 3-year and 5-year rates fell by 2.00bp each. The swap basis inversion between CRS and IRS has widened. The inversion gap in the 1-year segment increased by 3.50bp, and the gap in the 5-year segment expanded by 4.25bp. The Bank of Korea's Monetary Policy Committee will meet on the 27th.

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