Home Commodity Market News India IRS Review: Mixed; 5-yr rate up on unwinding of received bets

India IRS Review: Mixed; 5-yr rate up on unwinding of received bets

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Informist, Tuesday, Dec 27, 2022

 

By Anjali 

 

MUMBAI – Overnight indexed swap rates ended on a mixed note today, with the five-year swap rate up as traders unwound their received fixed rate bets, dealers said.

 

The one-year swap rate settled at 6.73% against 6.74% on Monday, and the five-year swap rate ended at 6.47% against the previous close of 6.44%.

 

“There is no fresh paying due to lack of cues in the market,” a dealer at a private bank said. “A few traders might have trimmed their receiving positions because of holidays.”

 

Some traders tracked the slight rise in US Treasury yields towards the end of trade, which also pushed the five-year swap rate up, dealers said.

 

The yield on the benchmark 10-year US Treasury note rose 2 basis points to 3.77% after the gilts market closed.

 

The OIS curve grew steeper, with the one-year swap rate steady, as traders expected the Mumbai Interbank Offered Rate to fall towards the month-end, dealers said.

 

Liquidity in the banking system is seen improving on account of the government’s spending for salaries, dealers said.

 

The MIBOR rate is the floating leg of the OIS swap.

 

Trade volume is muted as foreign banks close their books of account at the end of the calendar year, which dries up liquidity due to limited counterparties for swap trades, dealers said.

 

The one-year swap rate was dealt for the first time during the day after 1430 IST.

 

OUTLOOK

On Wednesday, swap rates are seen opening steady as traders may avoid large bets due to lack of significant cues.

 

Foreign market participants may keep to the sidelines near the year-end as they close their accounts.

 

Traders may watch out for any sharp movement in US Treasury yields and crude oil prices at open.

 

The swap rate in the one-year segment is seen at 6.65-6.80%, and the five-year at 6.33-6.53%.

 

 

At 1700 IST

 Monday

1-year OIS

6.73%6.74%

2-year OIS

6.46%6.44%

5-year OIS

6.47%6.44%

2-year MIFOR

6.53-6.65%6.55-6.67%

5-year MIFOR

6.74-6.86%6.76-6.88%

 

End

 

Edited by Ashish Shirke

 

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Source: Cogencis

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