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Informist, Wednesday, Feb. 11, 2026

 

By Cassandra Carvalho

 

MUMBAI – Overnight indexed swap rates ended steady Wednesday as bets on US non-farm payrolls for January printing lower than expectations offset paying interest from domestic traders earlier in the session, dealers said. The postponed January US employment report is due at 1900 IST. Economists surveyed by the Wall Street Journal expect payrolls to rise to 55,000 from 50,000 in December, with unemployment seen unchanged at 4.4%.

 

The one-year swap rate ended at 5.52% against 5.51% Tuesday. The five-year swap rate closed at 6.14% against 6.13% the previous day. The total notional trading volume on Clearing Corp. of India Ltd.'s derivatives trading platform was INR 354.30 billion, a little more than half of INR 664.55 billion Tuesday. The six-month overnight indexed swap rate saw the highest volume amongst tenures for the second consecutive session, at INR 84.25 billion, but down from INR 162.25 billion the previous session.

 

The yield on the benchmark 10-year US Treasury note was 4.14% at 1700 IST, down from 4.19% at the same time Tuesday. The 10-year US yield remained below the key 4.20% level so far this week, ahead of the January employment report due Wednesday and US CPI data due Friday. Kevin Hassett, part of the US National Economic Council, said earlier this week that the job growth numbers would be lower and shouldn't trigger "panic".

 

Swap rates, especially the five-year swap rate, fell at open Wednesday, tracking the fall in US yields. The five-year swap fell to a day's low of 6.12%, but recovered as domestic traders took the opportunity to pay fixed-rate contracts after the rate failed to sustain the fall below the key technical level.

 

"6.12% (on the five-year swap rate) was the technical. We were not able to break that, so that's some reversal there, it can go upto 6.15-6.16%," a dealer at a private sector bank said. The swap hit a day's high of 6.16%. 

 

Later in the session, swap rates were off highs and bond yields fell as offshore traders likely received fixed-rate contracts on bets of US jobs data printing weaker than expectations, dealers said. The 10-year US Treasury yield also eased intraday to 4.13%.

 

"People are saying offshore is receiving, it's all a punt (bet) on NFP (non-farm payrolls)," a trader at a primary dealership said. "But earlier (in the month) we were hearing that an offshore hedge fund was paying from 6.16% to 6.20% (on the five-year OIS), so let's see."

 

Traders continued to bet on liquidity in the banking system by entering contracts maturing within a year. The one-month swap rate has eased below the Reserve Bank of India's repo rate of 5.25%. Some traders expect systemic liquidity to reduce by the end of the month, while others expect comfortable liquidity to continue, and accordingly hedged their bets in short-term swap rates, dealers said. The net liquidity absorbed from the banking system by the RBI – a proxy for the liquidity surplus – rose to INR 3.37 trillion Tuesday from INR 3.11 trillion Monday.

 

OUTLOOK

On Thursday, OIS rates may track overnight movement in US Treasury yields after the release of US non-farm payrolls for January, dealers said. If non-farm payrolls are sharply below view, the five-year swap rate could fall below the key 6.12% level, dealers said. 

 

Traders will also track India's CPI inflation for January due at 1600 IST Thursday. The statistics ministry will release CPI data for January based on a new CPI series with 2024 as the base year. Retail inflation in India likely rose to an eight-month high of 2.5% in January, based on the old CPI series with 2012 as the base year, according to an Informist poll of 11 economists. Retail inflation on the new series is seen at 2.8% in January, according to a separate Informist poll. Traders are pricing in similar figures, though there is no consensus on estimates due to the new series. Swaps are only likely to react if CPI surprises on the upside, they said. Core inflation is expected to rise due to higher gold prices, dealers said.  

 

Some traders expect the Overnight Mumbai Interbank Outright Rate to rise in the near-term, which could push up short-term swaps, they said. However, the five-year OIS rate is seen falling to a low of 6.05-6.06?fore rising again, they said, especially if the 10-year US yield remains below the key 4.20% level. 

 

Traders may also track movements in Indian government bond yields, crude oil prices and the rupee. The one-year swap rate is seen at 5.40-5.60% and the five-year at 6.03-6.25%.

 

	At 1700 IST	TUESDAY
1-year OIS	5.52%	5.51%
2-year OIS	5.67%	5.66%
5-year OIS	6.14%	6.13%
2-year MIFOR	6.01%	6.06%
5-year MIFOR	6.54%	6.58%

 

End

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

 

Edited by Saji George Titus

 

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