India IRS Review: Up tracking rise in US yields; volume muted

Informist, Monday, Mar 27, 2023


By Nishat Anjum


MUMBAI – Overnight indexed swap rates ended higher as traders paid fixed rates, tracking a rise in US Treasury yields, dealers said. US Treasury yields climbed as investors assessed the latest changes in the banking sector. Trade volume remained muted as traders avoided placing large bets ahead of the domestic rate-setting panel's decision next week, dealers said.


The one-year swap rate settled at 6.75%, against 6.70% on Friday. The five-year swap rate ended at 6.24% against the previous day's close of 6.19%.


However, the rise in swap rates was limited. The five-year swap rate failed to rise above the level of 6.24%, as traders received fixed rates and pulled the rates down to an intraday low of 6.21% in the five-year segment.


"Foreign banks were receiving today at around 6.23-6.24% levels (in the five-year swap rate), despite a rise in US yields," a dealer at a primary dealership said. "People are punting on rate view now that maybe the Reserve Bank of India pauses after April because of the banking crisis outside."

The yield on the 10-year US Treasury note rose to 3.47% by the end of Indian market hours from 3.38% in early trade. Investors considered fresh developments in the banking sector. The US Federal Deposit Insurance Corp announced that First Citizens Bank & Trust Co would purchase deposits and loans held by the Silicon Valley Bank. 


Moreover, Deutsche Bank shares recovered from Friday’s sell-off, which was due to an increase in its credit default swaps. A credit default swap is a financial derivative instrument by means of which an investor can offset their credit risk with that of another. 

Amidst concerns of a banking sector crisis overseas, the market looked forward to the meeting of the Monetary Policy Committee, scheduled on Apr 3, 5 and 6, for further clarity on the rate-hike trajectory back home. Traders largely expected the domestic rate-setting panel to go for a 25-basis-point rate hike in April. 


They also expect the repo rate to top out at 6.75% after a final hike of 25 bps in April, dealers said. However, some dealers said that with each passing day, the number of people betting on a pause is slowly increasing.


"The volumes are more in the two-year swap as compared to the one-year, because people are more confident of a rate cut in two years' time," a dealer at another primary dealership said. "With the repo rate at 6.50%, the one-year swap has topped out at the current levels."



On Tuesday, swap rates are seen steady due to lack of significant cues in the domestic market, dealers said.


Traders may also 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 6.70-6.80%, and the five-year at 6.15-6.30%.



At 1700 IST


1-year OIS


2-year OIS


5-year OIS


2-year MIFOR


5-year MIFOR




Edited by Maheswaran Parameswaran


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.


Informist Media Tel +91 (22) 6985-4000 

Send comments to


© Informist Media Pvt. Ltd. 2023. All rights reserved.

Other News.

Data Alert: GST mop-up rises 10% on year to 1.627 trln rupees in Sep

Informist, Sunday, Oct 1, 2023–India Sep total GST collections up 10% on year –States' Sep GST revenue post-settlement 652 bln rupees –Centre's Sep GST revenue post-settlement 636 bln rupees –India Sep GST cess mop-up 116 bln rupees vs 117 bln Aug –India Sep Integrated GST mop-up 836 bln rupees vs 833 bln Aug –India Sep State GST mop-up 377 bln […]

RBI extends last date for withdrawal of 2,000-rupee notes to Oct 7

Informist, Saturday, Sep 30, 2023 –RBI: Issue Offices to exchange 2,000-rupee notes up to 20,000 rupees –RBI: 19 RBI Issue Offices to exchange 2,000-rupee note from Oct 8 –RBI: Extended facility to return, withdraw 2,000-rupee note till Oct 7 –RBI: Banks received 3.42 trln rupees in 2,000-rupee notes till Fri  NEW DELHI – The Reserve Bank of India today extended the […]

IMD sees India Oct-Dec rainfall normal at 88-112% of long period avg

Informist, Saturday, Sep 30, 2023 –IMD: Monsoon likely to withdraw from most parts of India by Oct 15–India rainfall in Sep 13% above normal at 190 mm–Rainfall in central India 49% above normal at 264.8 mm in Sep–Rainfall in south peninsula 24% above normal at 198.9 mm in Sep–India rainfall during Jun 1-Sep 30 5.6% below normal at 820 […]