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Sunday, November 27, 2022

India IRS Review: 1-yr OIS surges 15 bps as rupee falls to record low

Informist, Friday, Oct 7, 2022


By Shubham Rana


NEW DELHI – Overnight indexed swap rates ended higher today, with the one-year segment rising 15 basis points because of a sharp fall in the rupee, dealers said.


The one-year overnight indexed swap rate settled at 7.09%, against 6.94% on Thursday. The five-year swap closed at 6.97%, against 6.93% the previous day.


The rupee ended at a record closing low against the greenback today because of a rise in the dollar and continuous purchases of the US unit by oil marketing companies and importers, dealers said.


Today, the rupee closed 0.5% lower at 82.3200 a dollar. The Indian unit was the second-worst performing currency among Asian units today, after the South Korean won.


“The fall in rupee definitely led to the rise in short-term swap rates today,” a dealer at a primary dealership said. “The fear is that if rupee continues to fall sharply, then the Reserve Bank of India will have to continue with sharp rate hikes in an attempt to limit the fall.”


The five-year swap ended off the day’s highs as traders believed a large corporate house received fixed rates, likely for an upcoming bond issuance.


Swap rates were also tracking a rise in the 10-year US Treasury yield, which ended 7 bps higher on Thursday at 3.83% and stayed close to this level today.


US Treasury yields rose as US Federal Reserve officials emphasised that sharp interest rate hikes will continue, and also ahead of the key US monthly jobs report. Globally, investors have bet on another strong US non-farm payrolls report, to be released later today, which would keep the Fed on the path of aggressive policy tightening.



Swaps are not traded on Saturday.


On Monday, swap rates may open steady due to lack of fresh triggers on interest rates, dealers said. Rates may be volatile in the run-up to the India and US CPI inflation data, due next week.


Any movement in US Treasury yields and crude oil prices may lend cues at open.


The swap rate in the one-year segment is seen at 6.80-7.10%, and in the five-year segment at 6.80-7.10%.



At 1530 IST


1-year OIS



2-year OIS



5-year OIS



2-year MIFOR


5-year MIFOR





US$1 = 82.32 rupees

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


Edited by Aditya Sakorkar


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Source: Cogencis

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