Rates expectations inferred from INR OIS

Sandeep Yadav Sandeep Yadav

Sandeep Yadav

Head - Fixed Income Investment * Views are only mine & likes/reposts are not endorsements * Pls don't send LinkedIn messages as I rarely check them *

发布日期: 2020年10月7日
+ 关注

Ahead of the monetary policy we infer from the INR OIS the market expectations on rate actions in this policy as well as further in future. The OIS expectations can be divided into two starkly different categories (i) up to 1 year, and (ii) greater than 1 year.

UPTO 1 YEAR : NO RATE ACTION

The chart below compares the market OIS levels upto 1 year with the level of OIS arrived by compounding overnight MIBOR fixing at 3.70% (current levels). As can be seen, both the lines are quite close and the OIS curve does not expect any rate action for next 1 year.

No alt text provided for this image

GREATER THAN 1 YEAR : RATE INCREASE EXPECTED

However beyond 1 year, there are continuous rate increase expectations. The below chart shows the increase in MIBOR compared to today’s MIBOR levels at the end of each year, and the amount of increase in overnight MIBOR rates in every year. The expectation of increase in rates would be a mix of (i) liquidity tightening, and (ii) rate hikes.

No alt text provided for this image

 

要查看或添加评论，请登录

Sandeep Yadav的更多文章

  • Sherlock Holmes and the Great Indian Bond Inclusion
    2023年9月24日

    Sherlock Holmes and the Great Indian Bond Inclusion

    Chapter 1: Bond Inclusion Mystery Sherlock Holmes sat in his armchair at 221B Baker Street, his violin resting on his…

    7 条评论
  • Thoughts on bond markets
    2021年2月9日

    Thoughts on bond markets

    We expect the coming weeks to be more driven by the news events, as the pressure on yields remain and RBI…

  • Post policy views
    2020年12月4日

    Post policy views

    There were no significant surprises in the MPC - and we maintain our pre-policy view shared a week earlier…

  • Views: Exit long play neutra
    2020年11月27日

    Views: Exit long play neutra

    Ahead of the policy, we prefer to cut our long positions in 5Y bonds and less bullish on the 2y bonds that have moved…

  • Views: Revised borrowing calendar
    2020年10月16日

    Views: Revised borrowing calendar

    Yesterday government announced that it would borrow the Rs 1.1 lac crores of bonds, on behalf of the states.

  • Post RBI monetary policy views
    2020年10月13日

    Post RBI monetary policy views

    Part 1: G-secs The big news in todays announcement is the increase of Open Market Operations (OMO) from Rs. 10K cr.

    2 条评论
  • Thoughts after borrowing calendar
    2020年10月1日

    Thoughts after borrowing calendar

    The FY21 second half market borrowing calendar for Gsec, SDl and Tbills was announced yesterday and, for us, it was the…

  • Expect more volatility, less trend
    2020年9月2日

    Expect more volatility, less trend

    Post the RBI announcement of Monday, the markets have rallied 20bp, a welcome relief for the long bond positions as…

    5 条评论
  • Post Budget thoughts
    2020年2月3日

    Post Budget thoughts

    We had taken a neutral position into the budget (Friday's note). Whilst we may play on the long side on bonds if the…

  • Pre-budget views
    2020年1月31日

    Pre-budget views

    Going into the budget we prefer a neutral strategy, primarily because we are not able to put any informed probability…

社区洞察

其他会员也浏览了