SOUTH KOREA: KRW Swaps: Fwd Rates Moderate Following Last Week's Gains.
* Shorter dated swaps are stabilizing at current levels after moving higher last week following last week's import price index release, reminding investors of the inflation pressures. However the 12 month view has seen a moderation of expectations as to the peak. * Over the next 1, 2 and 3 months - 3 month forward rates sees the rate hike expectations over the next three months of +59bps (from +60ps late last week). * Over the next 12 months (i.e. the 1 month - 12 months forward), our swaps model has priced in +111ps of hikes (from +120 bps at the start of the week). * By comparison, the MIPR function on BBG has +95ps of increases over a 12 month period (from +133bps). * The remainder of the week is light in terms of tier 1 data releases in Korea, and with month end approaching could see further moderation from here until we see the next key data points on inflation early next month. The next BOK meeting is on October 22.
* Shorter dated swaps are stabilizing at current levels after moving higher last week following last week's import price index release, reminding investors of the inflation pressures. However the 12 month view has seen a moderation of expectations as to the peak. * Over the next 1, 2 and 3 months - 3 month forward rates sees the rate hike expectations over the next three months of +59bps (from +60ps late last week). e.
the 1 month - 12 months forward), our swaps model has priced in +111ps of hikes (from +120 bps at the start of the week). * By comparison, the MIPR function on BBG has +95ps of increases over a 12 month period (from +133bps). * The remainder of the week is light in terms of tier 1 data releases in Korea, and with month end approaching could see further moderation from here until we see the next key data points on inflation early next month. The next BOK meeting is on October 22.