nep-mst New Economics Papers
on Market Microstructure
Issue of 2021‒11‒01
one paper chosen by
Thanos Verousis

  1. The Dynamics of the U.S. Overnight Triparty Repo Market By Mark Paddrik; Carlos Ramirez; Matthew McCormick

  1. By: Mark Paddrik (Office of Financial Research); Carlos Ramirez (Board of Governors of the Federal Reserve System); Matthew McCormick (Federal Reserve Bank of Dallas)
    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
    Date: 2021–07–22

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