System liquidity steadily improved as Government Spending kicked in and liquidity deficit improved to Inr 40K crore on Mar 1 from 251K cr on 21 Feb. The WACR as on Mar 1 was at 6.47%.
Results for the VRRR (Variable Rate Reverse Repo Operation) auction for Inr 75K crores saw offers for Inr 18K crs at a cut off rate of 6.49%.
Advance Tax payment by Mar 15 followed by GST payments by Mar 20 will see liquidity worsen over the month. I am estimating advance tax payments at inr 200K crore.
There is also a S/B swap auctioned on 08 Mar 2022 with a maturity date of 11 Mar 2024 of $ 5 bn which is set to mature and if RBI takes delivery of the same it would release 42K cr of INR liquidity into the system. Swap points for March are trading soft at 0.86% as market participants prefer to keep received positions in case of USD liquidity tightness.
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