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Friday, September 30, 2022

India IRS Review: Rise as traders pay higher rates on rise in US ylds

Informist, Monday, Aug 8, 2022


By Shubham Rana


NEW DELHI – Overnight indexed swap rates ended higher today because traders paid higher fixed rates noting a jump in US Treasury yields on Friday, dealers said. 


The one-year overnight indexed swap rate settled at 6.17% as against 6.14% on Friday. The five-year swap rate ended at 6.32% against 6.27% the previous day.


US Treasury yields jumped on Friday after data showed the world’s largest economy created more jobs than expected in July, strengthening expectations the US Fed will continue to raise interest rates in the next few meetings to tame inflation.


Further, San Francisco Fed President Mary Daly suggested that a 50-basis-point rate increase isn’t locked in for the US Federal Reserve’s next policy meeting in September. The Fed is “far from done yet” in bringing down inflation, she said.


The yield on the 10-year benchmark US Treasury note rose to 2.83% on Friday against 2.68% Thursday, and remained close to Friday’s closing level today.


“The market had a calm and rather dull day, with some fallout from the policy and most of it based on the overnight movement in US yields,” a dealer at a foreign bank said.


Traders avoided placing large bets ahead of the US CPI data release, due after market hours on Wednesday, dealers said.


“The US CPI and India CPI data releases later this week will be important for the direction for both gilts and swaps markets,” a dealer at a private bank said. “India inflation is expected to come down in July from June, which would bring down expectations of sharp rate hikes by the Reserve Bank of India going ahead.”




OIS market will be closed on Tuesday for Muharram.


On Wednesday, swap rates are seen steady as traders may stay on the sidelines ahead of the release of US CPI data for July, due after market hours on Wednesday.


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


The swap rate in the one-year segment is seen at 6.00-6.35%, and the five-year segment at 6.20-6.45%.



At 1530 IST


1-year OIS



2-year OIS



5-year OIS



2-year MIFOR


5-year MIFOR






US$1 = 79.66 rupees

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


Edited by Arshad Hussain



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Source: Cogencis

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