More Stories

Informist, Friday, Nov. 7, 2025

  

By Cassandra Carvalho

  

MUMBAI – Overnight indexed swap rates ended mixed on Friday. Swaps tracked an overnight fall in US Treasury yields in early trade, and short-term swap rates were down as traders played on spreads between the Mumbai Interbank Offered Rate and rupee forward rates as liquidity in the banking system eased, dealers said. Longer-term swap rates maturing in one to five years were steady, recovering from a slight decline, with the five-year swap rate rising above the key 5.71% level during the day, as US yields remained elevated amid a lack of positive triggers on rate cuts.   

  

The one-year swap rate ended at 5.49%, unchanged from Thursday. The five-year swap rate ended at 5.71%, flat from Thursday. The total notional trade volume on Clearing Corp. of India's derivatives trading platform was INR 534.50 billion, tad up from INR 504.20 billion Thursday. The one-month swap rate saw the highest volume across tenures, at INR 285.25 billion, up from INR 180.50 billion Thursday. 

 

Swap rates fell in early trade, tracking an overnight fall in US Treasury yields, dealers said. At 1700 IST, the yield on the 10-year benchmark  US Treasury note was 4.10%, down from 4.15% at the same time Thursday. US yields fell on weak jobs data. 

 

Short-term swap rates were down the most, with both onshore and offshore traders receiving fixed-rate contracts largely due to views on liquidity, as the MIBOR rate eased below the repo rate, and so did money market rates, dealers said. Traders also played on spreads between rupee forward rates and swap rates, dealers said. The two-month swap rate was down six basis points to hit a day's low of 5.46%, while the one-month swap rate ended 3 bps lower at 5.53%.

 

"It's just fixing, one-month is usually for rate views but two-month is like your mid-length between policies, so the one-month momentum has gone to two-month," a dealer at a private sector bank said. "The call rates have also come off (fallen), so it's just a liquidity play, even if you see it from the forex (foreign exchange side)."   

   

The central bank's net absorption from the banking system – a proxy for liquidity surplus – was INR 2.32 trillion on Thursday, up from INR 2.11 trillion the previous day. However, swap rates maturing in one to five years recovered from their fall, rising later in the day as bond yields rose. The five-year swap rate rose above the key 5.71% level, hitting 5.73%. The swap is seen hitting 5.80% if it sustains a rise above the 5.71% level.         

   

"Swap rates are not moving in sync with gilts," a dealer at a private sector bank said. "We are seeing the possibility of a lesser supply in gilts, but we are not seeing any change in the rate view for swaps. These are good levels to receive, but we don't want to add positions." However, a further rise in swap rates will be capped by onshore traders receiving at levels seen as lucrative, if offshore traders pay fixed-rate contracts, dealers said.  

 

OUTLOOK

Swaps are not traded on Saturdays. On Monday, swap rates are likely to track movements in gilt yields. Traders will also track data from the Clearing Corp. of India on segment-wise daily purchases and sales of government bonds for any indication of central bank onscreen purchases, dealers said. At open, traders will also track overnight movement in US Treasury yields. Traders will also track developments in the India-US trade talks.

 

On the data front, traders await domestic October CPI inflation, due Wednesday. Traders have largely priced in a low CPI print, but the impact of the Centre's cut in goods and services tax rates, which took effect on Sept. 22, is yet to be ascertained, dealers said. GDP growth data for Jul-Sept, due on Nov. 28, will also be tracked. There is no immediate domestic data scheduled that is likely to have a significant impact on swap rates, dealers said. 

 

Swaps may also track the rupee's movement against the dollar, systemic liquidity and crude oil prices. The one-year swap rate is seen in the range of 5.38-5.52% and the five-year contract is seen at 5.55-5.80%.

 

	At 1700 IST	THURSDAY
1-year OIS	5.49%	5.49%
2-year OIS	5.45%	5.46%
5-year OIS	5.71%	5.71%
2-year MIFOR	5.79%	5.79%
5-year MIFOR	6.24%	6.23%

 

End

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

 

Edited by Saji George Titus

 

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 feedback@informistmedia.com

 

© Informist Media Pvt. Ltd. 2025. All rights reserved.