Average call, policy repo rate spread narrows as liquidity improves

The WACR moved in tandem with policy repo rate. Additionally, the overnight rates in collateralised segment - that is, triparty repo (TREPS) and market repo - broadly remained aligned with WACR

Reflecting the easing of liquidity conditions at the short end, the average spread between the weighted average call rate (WACR) and the policy repo rate narrowed to seven basis points (bps) in March 2025, down from a peak of 15 bps in December 2024, according to the monetary policy report.

 

However, the volatility in the WACR, measured by the exponentially weighted moving average (EWMA), remained high through March 2025. At times, the WACR even breached the upper bound of the interest rate corridor (the marginal standing facility or MSF rate), especially during the second half of December and early January.