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Intraday Timing of General Collateral Repo Markets

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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.

Suggested Citation

  • Kevin Clark & Adam Copeland & R. Jay Kahn & Antoine Martin & Mark E. Paddrik & Benjamin Taylor, 2021. "Intraday Timing of General Collateral Repo Markets," Liberty Street Economics 20210714, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:92894
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    File URL: https://libertystreeteconomics.newyorkfed.org/2021/07/intraday-timing-of-general-collateral-repo-markets/
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    Cited by:

    1. Kahn, R. Jay & McCormick, Matthew & Nguyen, Vy & Paddrik, Mark & Young, H. Peyton, 2023. "Anatomy of the Repo Rate Spikes in September 2019," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 5(4), pages 1-25, July.
    2. Carrera de Souza, Tomás & Hudepohl, Tom, 2024. "Frictions in scaling up central bank balance sheet policies: How Eurosystem asset purchases impact the repo market," Journal of Banking & Finance, Elsevier, vol. 158(C).

    More about this item

    Keywords

    repo; intra-day timing;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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