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Informist, Tuesday, Sept. 22, 2026

 

By Janwee Prajapati

 

MUMBAI – Overnight indexed swap rates ended lower Tuesday, tracking a significant intraday fall in prices of Brent crude oil futures and an ease in US Treasury yields, dealers said. The swap rates ended lower as traders received fixed rates tracking a fall in crude oil. However, the fall was limited as traders refrained from building aggressive positions ahead of the Reserve Bank of India's Monetary Policy Committee meeting outcome in October.     

 

The five-year swap rate ended at 6.51%, down three basis points from 6.54% Monday. The one-year swap rate, on the other hand, ended at 6.06%, down only one basis point from 6.07% Monday as traders expect the rates to rise further on expectations of a repo rate hike, dealers said. The one-year swap rate oscillated between 6.03% and 6.11%, whereas the five-year swap rate moved between 6.51% and 6.59%. The intraday movement in the one-year and five-year swap rates of eight basis points each were higher in three consecutive trading sessions. Traders expect the five-year swap rate to fall to 6.45% if Brent crude oil prices fall further, dealers said. 

 

"The overnight indexed swap rates came down following crude oil prices due to reports of Saudi Arabia restarting a pipeline," a dealer at a private sector bank said. "I think Brent (crude oil) could fall to $93 per barrel, which will lead to a fall in (five year) OIS rates to 6.45%."

 

Oil prices gave up early gains on Tuesday amid hope that prospects for a diplomatic resolution to the US-Iran tensions are improving ahead of the closely watched United Nations General Assembly talks in New York. Crude oil prices inched lower following a report that claimed Iran had offered to reopen the strategically vital Strait of Hormuz within seven days. 

 

Saudi Aramco officials have informally informed at least three Asian refiners that they will soon be able to lift crude cargoes from the Yanbu port on the Red Sea. Saudi Arabia had suspended loadings at Yanbu, its key export terminal that bypasses the Strait of Hormuz, since the Sept. 10 drone attacks on the East-West onshore pipeline that carries crude from Saudi oil fields to Yanbu. The Kingdom shut down the East-West pipeline after drone attacks launched from Iraqi territory near the Iranian border. Brent crude oil futures for November delivery were at $98.20 per barrel at 1700 IST, down 4% from the day's high of $102.30 per barrel and down from $101.21 per barrel at the end of Indian trading hours Monday. The fall in crude oil prices sparked expectations of a potential end to the West Asia war, dealers said.

 

"Some traders were paying in early trade, then crude eased, so we saw receiving...people(traders) would not want to carry positions overnight due to uncertainty," a dealer at a primary dealership said. "Receiving was likely from both domestic and offshore players...it is likely that we might see a deal."     

 

The yield on 10-year US Treasury notes also buoyed sentiment of market participants as the yield fell to 4.93%, down six basis points from the day's high of 4.99% and down from 4.96% at the end of Indian trading hours Monday. The 10-year US Treasury yield fell near to the levels seen before the Federal Open Market Committee meeting, where the rate-setting panel unanimously decided to raise policy rates by 25 basis points. Dealers said foreign participants who had likely paid fixed rates in early trade due to expectations of a rise in interest rates later entered into trades to receive fixed swap rates tracking an ease in US yields and Brent crude oil prices, which pulled down swap rates. 

 

Total notional trading volume on Clearing Corp. of India Ltd.'s derivatives trading platform was INR 642.50 billion Tuesday, up from INR 405.35 billion Monday. Trade volume in the secondary market also rose Tuesday after being subdued for two consecutive sessions tracking a fall in swap rates, dealers said. However, some traders refrained from entering aggressive trades as they were uncertain about the movement in crude oil prices, given the development in the West Asia war. Moreover, though the one-year swap rate is seen pricing in at least one rate hike in the current calendar year, some traders remained cautious of building aggressive positions ahead of the RBI's MPC meeting in October which limited the fall in swap rates, dealers said.

 

OUTLOOK

On Wednesday, swap rates are seen tracking overnight movements in crude oil prices and US Treasury yields, dealers said. Some traders expect oil prices to move downward in the near term if there is no escalation in the war in West Asia. Swaps will also track movement in US Treasury yields, with the US yield curve flattening after the FOMC hiked the fed funds target rate for the first time since 2023. Traders expect the OIS curve to flatten as well with long-term rates rising due to bets of interest rate hike, dealers said.

 

As the US Fed began its rate hike cycle, the RBI's rate-setting panel is seen following suit with a 25-bps repo rate hike in October, dealers said. Traders will focus on the comments from the RBI's governor, Sanjay Malhotra, dealers said. Traders also expect the RBI to introduce more measures to drain systemic liquidity, beyond the government bond sales it is conducting this month and variable rate reverse repo operations, they said. The one-year swap rate is seen in the range of 5.95–6.15% and the five-year at 6.40–6.70%.

 

	At 1700 IST	MONDAY
1-year OIS	6.06%	6.07%
2-year OIS	6.26%	6.28%
5-year OIS	6.51%	6.54%
2-year MIFOR	7.58%	7.61%
5-year MIFOR	7.68%	7.71%

 

 

End

 

US$1 = INR 95.59

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

 

Edited by Deepshikha Bhardwaj

 

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