The Dynamics of the U.S. Overnight Triparty Repo Market

Mark Paddrik (), Carlos A. Ramírez and Matthew McCormick

No 21-02, Briefs from Office of Financial Research, US Department of the Treasury

Abstract: The triparty repurchase agreement (repo) market is pivotal in the daily function of the U.S. financial system by acting as an important source of secured short-term funding. Despite the market’s role, little analysis has been undertaken on its intraday trading and pricing. Using supervisory transaction-level data, this brief aims to fill this gap by providing an overview of the pricing and clearing process for the overnight segment, which regularly provides over $1 trillion in daily funding. Besides highlighting the relevance of the overnight segment within the greater U.S. repo market, we present novel facts about how it behaves, emphasizing the role that participants, collateral, and trading relationships play in the market’s pricing and clearing process.

Keywords: Repurchase agreement; overnight; triparty; intraday dynamics (search for similar items in EconPapers)
Pages: 12 pages
Date: 2021-07-22
New Economics Papers: this item is included in nep-ban, nep-cwa and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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https://www.financialresearch.gov/briefs/files/OFR ... arty_Repo_Market.pdf (application/pdf)

Related works:
Working Paper: The Dynamics of the U.S. Overnight Triparty Repo Market (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:ofr:briefs:21-02

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