Intraday Timing of General Collateral Repo Markets

Kevin Clark, Adam Copeland, Robert Kahn, Antoine Martin, Mark Paddrik () and Benjamin Taylor

No 20210714, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: Market participants have often noted that general collateral (GC) repo trades happen very early in the morning, with most activity being completed soon after markets open at 7 a.m. Data on intraday repo volumes timing are not publicly available however, obscuring those dynamics to outside observers. In this post, we use confidential data collected by the Office of Financial Research (OFR) to describe the intraday timing dynamics of GC repo in the interdealer market. We demonstrate that a significant majority of interdealer overnight Treasury repo is completed prior to 8:30 a.m. (all times Eastern time), and explore the various factors that are driving repo traders to secure funding in the early morning.

Keywords: repo; intra-day timing (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2021-07-14
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (2)

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