| 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. |