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India IRS Review: Mixed; 5-yr swap rate ends lower as US yields fall

Informist, Wednesday, May 31, 2023


By Anjali


NEW DELHI – Overnight indexed swap rates ended on a mixed note today, with 5-year rate ending lower as it moved in tandem with US Treasury yields, dealers said. Meanwhile, the one-year swap rate had a minimal movement throughout the day as the rate view regarding domestic rate remains unchanged.


The one-year swap rate settled at 6.57%, against 6.58% on Tuesday, while the five-year swap rate ended at 6.03%, against 6.07% on the previous trading day.


Traders see the domestic rate setting panel to continue with the pause amid growing speculations of another rates hike by US Federal Reserve, dealers said. According to the CME FedWatch tool, around 59% of Fed fund futures traders–up from 33% last week–now expect the Fed to hike rates by 25 basis points in June, while the rest see the rates unchanged.


“The 1-year swap didn’t move because the rate view remains the same,” a dealer at a primary dealership said. “The RBI should continue with the pause.”  


The yield on the benchmark 10-year US Treasury note settled lower on Tuesday due to optimism that the deal to raise the US debt ceiling would get passed in the US Congress.  


On Saturday, US President Joe Biden and Congressional Republican Kevin McCarthy forged a tentative deal to suspend the US debt ceiling of $31.4 trln until January 2025. In case the deal isn’t passed before Jun 5, the country will not be able to meet its financial obligations, the US Treasury Department said. 


On Tuesday, McCarthy said the deal should be “easy” for Republicans to vote for and was likely to be passed, according to a Reuters report. “It feels good. We’ll see when the vote starts,” the report quoted Biden as saying. 


The yield on the benchmark 10-year US Treasury note fell to 3.66% during the day from 3.72% at the end of Indian market hours on Tuesday. 


“There was receiving tracking US yields today,” a dealer at another primary dealership said. “There wasn’t any other factor at play today.”



On Thursday, swap rates are seen opening steady due to lack of significant domestic cues, dealers said.


Traders will 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 6.50-6.65%, and the five-year at 6.00-6.10%.



At 1700 IST


1-year OIS


2-year OIS


5-year OIS


2-year MIFOR


5-year MIFOR





Edited by Manisha Baxla


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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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