Search Results
Discussion Paper
What Happens on Quarter-Ends in the Repo Market
Over the course of the past two years, repo rates have begun to rise modestly around quarter-ends and, to a lesser extent, on some month-ends. As seen in Figure 1, after some time of the Secured Overnight Financing Rate (SOFR) remaining below or near the Overnight Reverse Repurchase (ON RRP) rate and with no or very little movement around quarter-ends, SOFR rose 7 basis points above the ON RRP rate at the end of March 2023, when banks' demand for liquid assets increased following the collapse of Silicon Valley Bank, and has temporarily increased over each quarter-end since then.
Discussion Paper
What can public Fedwire payments data tell us about ample reserves?
We first construct a novel indicator of reserve ampleness based on data on interbank payments over the Fedwire Funds Service: the share of reserves to Fedwire payments as a proxy for the demand for reserves for payment purposes. We then explore the relationship between this indicator and the price of reserves, the spread between the effective federal funds rate (EFFR) and interest on reserves (IORB), to identify structural breaks and back out the minimum level of ample reserves as a share of Fedwire payments and the corresponding EFFR - IORB spread. We find that fed funds trading slightly ...