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India IRS Review: End off highs as crude, US ylds come down intraday

Informist, Wednesday, Jul 20, 2022


By Shubham Rana


NEW DELHI – Overnight indexed swap rates ended off highs today because traders unwound paid fixed rate positions as crude oil prices and US Treasury yields fell intraday, dealers said.


The one-year overnight indexed swap rate settled at 6.35%, against 6.37% on Tuesday. The five-year swap rate ended at 6.56%, against 6.57% the previous day.


OIS rates rose in early trade today as offshore traders paid higher fixed rates, noting a rise in crude oil prices and US Treasury yields, dealers said.


“We have been hearing foreign flows in OIS today and on Tuesday also,” a dealer at a private bank said. “While the quantum of the flows is not as large as it was in June, offshore traders are running the OIS market right now.”


Crude oil prices rose on Tuesday as investors were wary about tight supply due to a disruption along the Keystone pipeline, which reduced shipment of some Canadian oil to US refiners. A fall in the dollar index also boosted prices.


During the day, crude oil prices fell more than $1 a barrel ahead of an expected rise in US crude inventories as fuel demand weakens.


The Brent crude contract for September delivery rose to $107.35 per barrel on Tuesday, and fell to $105 per bbl today.


The yield on the 10-year US Treasury note rose past 3.00% on Tuesday, but came below the psychologically-crucial level today.


Other than global factors, OIS rates are also being affected because of a difference in view among traders, dealers said. Some traders say the 1-year OIS is overpaid right now, while others are of the view that receiving fixed rates at current levels would be too risky.


“The OIS market is more interesting (than gilts), but the battle between payers and receivers is being won because of flows,” a dealer at a foreign bank said.



On Thursday, swap rates are seen steady amid lack of significant domestic cues on interest rates.


Any movement in US Treasury yields and crude oil prices may lend cues when the market opens.


The swap rate in the one-year segment is seen at 6.20-6.55%, and the five-year at 6.45-6.70%.



At 1530 IST


1-year OIS



2-year OIS



5-year OIS



2-year MIFOR


5-year MIFOR





US$1 = 79.99 rupees

IST, or Indian Standard Time, is five-and-a-half hours ahead of GMT


Edited by Avishek Dutta


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Cogencis news is now Informist news. This follows the acquisition of Cogencis Information Services Ltd by NSE Data & Analytics Ltd, a 100% subsidiary of the National Stock Exchange of India Ltd. As a part of the transaction, the news department of Cogencis has been sold to Informist Media Pvt Ltd.


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Source: Cogencis

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