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Informist, Thursday, Aug. 13, 2026

 

By Cassandra Carvalho

 

MUMBAI – Overnight indexed swap rates ended lower Thursday, tracking an intraday fall in crude oil prices, with some domestic banks aggressively receiving fixed rate contracts, dealers said. Traders speculated that a large fundraiser would step into swaps to hedge its issuance. The one-year swap rate closed at 5.75%, down from 5.77% Wednesday. The five-year swap rate settled at 6.25%, down from 6.27% in the previous session. The total notional trading volume reported on Clearing Corp. of India Ltd.'s derivatives trading platform was INR 337.60 billion, higher than INR 237.90 billion Wednesday.

 

"There was some large position-building going on. A big player was either taking positions or hedging," a dealer at a state-owned bank said. Swaps were "well-bid" throughout the day, dealers said. 

 

The yield on the 10-year US Treasury note was 4.68% at 1700 IST, unchanged from the same time Wednesday, even after US CPI inflation data for July was within expectations and traders pared bets of a rate hike by the US Federal Open Market Committee in September. Surplus liquidity in the banking system aided a fall in swap rates, dealers said. Brent crude oil futures slipped intraday, from $88.23 per barrel at 0900 IST to $87.36 per barrel at the end of swap market hours. 

 

However, the five-year OIS rate was unable to fall below the day's low of 6.2475%, with several traders not seeing the five-year OIS sustain a fall below 6.21%. "We were expecting five-year OIS to bottom out at 23, 24 (6.23-6.24%) and with the amount of receiving today, it should've gone there, but the paying was equally strong," a dealer at another state-owned bank said. 

 

OUTLOOK

On Friday, swap rates will track the overnight movement of crude oil prices and US Treasury yields, dealers said. Traders will watch out for received bets from fundraisers to hedge their bond issuances, dealers said. However, the five-year OIS is unlikely to sustain a fall below the key 6.21-6.22% levels, dealers said. Elevated US Treasury yields are also a concern for traders, limiting a fall in swaps, they said. 

 

Some banks are still seen receiving fixed rates due to inflows through foreign currency non-resident (banks) deposits, dealers said. However, swap rates are seen sticky with little direction barring global triggers. Offshore traders have been largely absent from swaps this week, with a slight receiving bias. The upside for swaps too, is seen as limited, after recent commentary from the Reserve Bank of India indicated little urgency to hike the repo rate. Swaps are currently fairly pricing in rate hikes in India, dealers said. The movement of the rupee and overnight borrowing rates will also lend cues. The one-year swap rate is seen in the range of 5.65-6.10% and the five-year at 6.12-6.40%.

 

	At 1700 IST	WEDNESDAY
1-year OIS	5.75%	5.77%
2-year OIS	5.93%	5.96%
5-year OIS	6.25%	6.27%
2-year MIFOR	6.75%	6.83%
5-year MIFOR	6.93%	7.01%

 

End

 

US$1 = INR 95.44

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

 

Edited by Avishek Dutta

 

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