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India IRS Review: Down; give up early gains due to lack of firm cues

Informist, Wednesday, Dec 28, 2022


By Anjali


MUMBAI – Overnight indexed swap rates ended lower today as the five-year swap rate gave up early gains on lack of significant cues amid low volume, dealers said. The five-year swap rate rose in early trade tracking the rise in US Treasury yields on Tuesday, dealers said.


The one-year swap rate settled at 6.72% against 6.73% on Tuesday, and the five-year swap rate ended at 6.43% against the previous close of 6.47%.


“We can’t draw a straight line between US Treasury yields and OIS rate right now,” a dealer at a private bank said. “Even though the US Treasury yield fell slightly during the day, the five-year swap rate gave up early gains as there are very few participants in the market.” 


Some dealers cited the fall in the yield on the benchmark 10-year US Treasury bond from the day’s high of 3.86% to 3.84% by the end of trade to be the reason for the fall in five-year swap rate from its day’s high of 3.52%.


The yield on the benchmark 10-year US Treasury note rose further during the day after settling 9 basis points higher at 3.84% on Tuesday, against Friday’s settlement. US Treasury yields rose as investors bet on the US Federal Reserve raising rates going forward. 


Few traders also booked profits in the five-year contract at the physiologically crucial rate of 6.51-6.52%, which further weighed on the five-year swap rate, dealers said.


The volume remained muted, especially in the one-year swap, as that has been the case for the past week due to lack of significant triggers, dealers said. 


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



On Thursday, 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 6.35-6.55%.



At 1700 IST


1-year OIS


2-year OIS


5-year OIS


2-year MIFOR


5-year MIFOR





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


Edited by Tanima Banerjee


For users of real-time market data terminals, Informist news is available exclusively on the NSE Cogencis WorkStation.


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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