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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 first Bi-Monthly Monetary Policy for FY18, the MPC-panel maintained its pause on policy rates, whilst reiterating its neutral stance.
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The panel forecasts mild upside risks to its inflation projections, while GVA growth is expected to remain healthy at 7.4% for FY18.
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India’s consumer price-based inflation dropped to new record low of 2.99% in April on the back of decline in prices of food articles including pulses and vegetables.
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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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Further fine-tuning the existing liquidity framework, RBI narrowed the LAF corridor to +/- 50 bps vis a vis the earlier +/- 100 bps.
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Consequently, the policy rates are as follows: 1. Repo rate: 6.25%, 2. Reverse repo: 6% , 3. MSF at 6.50%.
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India’s Industrial Production in March under the revised base year of 2011-12 slipped 2.7% as against 5.5% in Feb owing to weak performance in the manufacturing sector.
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