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Swaps

 
An Interest Rate Swap (IRS) is a financial contract between two parties exchanging or swapping a stream of interest payments for a `notional principal’ amount on multiple occasions during a specified period. Such contracts generally involve exchange of a `fixed to floating’ or `floating to floating’ rates of interest. Accordingly, on each payment date - that occurs during the swap period - cash payments based on fixed/ floating and floating rates, are made by the parties to one another.
 
In India interest rate swaps are commonly traded on 2 benchmarks viz MIBOR and MIFOR. Scheduled commercial banks (excluding Regional Rural Banks), primary dealers (PDs) and all-India financial institutions (FIs) are free to undertake IRS as a product for their own balance sheet management or for market making. CCIL has, with effect from 28th March, 2014 commenced CCP clearing for IRS trades referenced to the MIBOR and MIOIS benchmark.
 
On 3rd August, 2015 CCIL launched an anonymous electronic trading platform for Interest Rate Swaps (IRS) referenced to Overnight MIBOR benchmark known as ASTROID (Anonymous System for Trading in Rupee OTC Interest Rate Derivatives). The system is available for trading from 9.00 am to 5.00 pm from Monday to Friday. The minimum lot size is Rs 5 Crs with a tick size of 0.0025%.
 
 
 

Latest News


In its second bi-monthly policy, the MPC panel kept the policy rate unchanged at 6.25% while maintaining a neutral policy stance.
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The panel lowered its inflation projection to 2-3.5% for H1FY17 and 3.5-4% for H2FY17. Growth projection was also revised lower to 7.3% for FY18.
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India’s retail inflation print eased to fresh record low of 2.18% in May as prices of pulses and vegetables moved into negative territory on an annualized basis.
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India’s WPI based on the revised 2011-12 series edged lower to 3.85% in April as manufactured goods and food articles indicated cooling of prices.
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RBI slashed the Statutory Liquidity Ratio by 50bps to 20% effective from fortnight beginning Jun 24, 2017.
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Consequently, the policy rates are as follows: Repo rate: 6.25%, Reverse Repo rate: 6%, MSF rate: 6.50%.
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India’s Index of Industrial Production (IIP) rose 3% in April from 2.7% in the previous month albeit lower than 6.5% in the year-ago period.
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