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Informist, Thursday, Jun. 11, 2026

 

By Cassandra Carvalho

 

MUMBAI – Overnight indexed swap rates ended lower on Thursday, tracking a slight fall in Brent crude oil futures, dealers said. However, the fall was limited in short-term rates as traders preferred to pay short-term fixed rates and receive those maturing in two years or more, they said. 

 

The one-year swap rate ended at 6.03% Thursday, down from 6.08% Wednesday. The five-year OIS rate ended at 6.43%, against 6.48% Wednesday. The total notional trading volume reported on Clearing Corp. of India Ltd.'s derivatives trading platform was INR 363.20 billion, slightly higher than INR 330.15 billion Wednesday.

 

"It's all about crude," a dealer at a private sector bank said. "The strikes are still going on but crude is not moving, it's coming down." 

 

Flows were lacklustre, leading to low trade turnover, dealers said. Traders preferred receiving the five-year overnight indexed swap rate, while paying the two-year rate. Some also expect the spread between government bond yields and swap rates to expand, as swaps continue to price in rate hikes, while the outlook on demand for government bonds has improved, dealers said.

 

Some traders also took positions expecting Bloomberg Index Services to include Indian gilts in its flagship Global Aggregate Index later this month, dealers said. A favourable core CPI inflation print in the US for May also helped a fall in swaps, they said. Core CPI inflation in the US last month was lower than expectations at 0.2% on month, against an estimate of 0.3% in a poll by The Wall Street Journal. However, traders are cautious ahead of India's CPI inflation for May, due on Friday, with most expecting a print of about 4%, they said. 

 

OUTLOOK

On Friday, swap rates will continue to track crude oil prices and developments in US-Iran peace negotiations. Swaps could tumble if a peace deal between the US and Iran is announced. On the monetary policy front, traders will still price in a quicker rate cycle in India, likely to begin as early as August due to elevated oil prices and as the monsoon is expected to be weak, stoking inflation, dealers said. A likely liquidity boost due to the RBI's measures to shore up capital could temper a rise in short-term rates, dealers said. The OIS rate curve is expected to flatten.

 

Traders await India's CPI inflation data for May, scheduled 1600 IST Friday. Headline retail inflation is likely to have risen to a 16-month high of 4% in May, reaching the Reserve Bank of India's medium-term inflation target, according to the median in an Informist poll of 12 economists.

 

Traders will also track the movement of US Treasury yields nearing the outcome of the US Federal Open Market Committee's meeting later this month, wherein status quo on interest rates is expected.

 

Traders will also track any development in the inclusion of Indian government bonds on Bloomberg Index Services' flagship Global Aggregate Index after the RBI and the Centre Friday unveiled a slew of measures to improve foreign inflows, dealers said. Government sources said that such measures were intended to secure the inclusion. Bloomberg, which deferred its decision on the inclusion of Indian bonds in January, said it plans to provide the next update on the potential inclusion by mid-2026. Most traders expect the review this month.

 

The movement of the rupee could also lend cues. The one-year swap rate is seen at 5.90-6.20% and the five-year at 6.30-6.64%.

 

	At 1700 IST	WEDNESDAY
1-year OIS	6.03%	6.08%
2-year OIS	6.20%	6.23%
5-year OIS	6.43%	6.48%
2-year MIFOR	6.69%	6.68%
5-year MIFOR	6.91%	6.90%

 

End

 

US$1 = INR 95.76

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

 

Edited by Avishek Dutta

 

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