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Informist, Friday, Feb. 13, 2026

 

By Cassandra Carvalho

 

MUMBAI – Most overnight indexed swap rates ended steady Friday, though longer-term swaps, including the five-year swap rate, ended down as traders unwound their paid fixed rate contracts tracking a fall in US Treasury yields, dealers said. 

 

The one-year swap rate ended at 5.50% Friday, compared with 5.51% the previous day. The five-year swap rate closed at 6.07%, down from 6.09% Thursday. The total notional trading volume on Clearing Corp. of India Ltd.'s derivatives trading platform was INR 393.40 billion, up from INR 366.20 billion Thursday. The yield on the benchmark 10-year US Treasury note was 4.12% at 1700 IST, down from 4.18% at the same time Thursday, on demand for safe-haven assets and after weak economic data in the US. 

 

Swap rates opened lower, tracking a fall in bond yields and US Treasury yields, dealers said. The 10-year benchmark 6.48%, 2035 gilt yield fell 3 basis points at open after the government switched gilts worth INR 755.04 billion with the RBI, trimming the government's gross borrowing target for 2026-27 (Apr-Mar) from INR 17.20 trillion to INR 16.44 trillion. Some offshore and domestic traders unwound their paid bets in swaps tracking the movement, dealers said. Swap rates also continued the downward momentum seen Thursday after India's CPI inflation for January was largely within expectations, but core inflation came in much lower than initially expected, they said. 

 

"After CPI (India CPI), we're seeing that movement continue today (Friday)," a dealer at a private sector bank said. " And SOFR (Secured Overnight Financing Rate) was also seeing some receiving, so that's why there was some receiving in five-year OIS as well." 

 

However, gilt yields and some swap rates recovered from the fall later in the day, after the result of the weekly gilt auction disappointed some traders, they said. Moreover, domestic traders paid fixed-rate contracts to hedge their bond forward rate agreements entered with insurance companies, they said. Around INR 20 billion of the 7.43%, 2076 bond was purchased at the gilt auction for bond forward rate agreements. Traders paid fixed rates in the one-year and two-year swaps rather than the usual paying bias seen for hedges in the five-year swap, limiting the rise in this tenure, dealers said. However, the five-year swap failed to sustain a fall below the day's low of 6.03%, the lowest since Jan. 16. 

 

"We've seen a Fibonacci pattern in the five-year OIS on the daily technical charts," a dealer at another private sector bank said. "There's no strong enough reason for it to break 6.03%, so some selling (paying), some reversal to the 6.05-6.06% level." 

 

OUTLOOK

Swaps are not traded on Saturdays. On Monday, OIS rates may track movement in US Treasury yields after the release of US CPI for January, post-market hours Friday. Data showed the US CPI annual inflation eased to 2.4% in January from 2.7% in December, and below the Wall Street Journal poll forecast of 2.5%. 

 

Domestic traders had not positioned aggressively before the data release after US non-farm payrolls unexpectedly surprised on the upside for January. "We all saw what 'nice data' we had last time (non-farm payrolls), so now who would want to position before (US) CPI?" a dealer at a state-owned bank said.

 

After India's CPI inflation data for January, the RBI Monetary Policy Committee is now seen holding the policy repo rate at 5.25% through FY27, 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. 

 

Traders may also track movements in Indian government bond yields, crude oil prices, and the rupee. The one-year swap rate is seen at 5.40-5.55% and the five-year at 6.00-6.20%.

 

	At 1700 IST	THURSDAY
1-year OIS	5.50%	5.51%
2-year OIS	5.62%	5.64%
5-year OIS	6.07%	6.09%
2-year MIFOR	6.01%	6.01%
5-year MIFOR	6.50%	6.52%

 

End

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

 

Edited by Saji George Titus

 

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