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Stats › Intraday and market microstructure › Quarter-end repo

Quarter-end repo was a quantity story for a decade and only became a rate story in 2023

European bank dealers
-150.9
Aggregate market
-169.4
Japanese bank dealers
-8.8
US bank dealers, not significant
-11.2

Change in tri-party repo borrowing in billions of dollars on the last day of a quarter, from an OLS regression with quarter fixed effects, daily data July 2008 to July 2014. The aggregate and the two non-US groups are significant at the 1% level. The US figure is not statistically significant.

European dealers cut tri-party repo borrowing by about $151bn on the last day of the quarter, and paid no more for it. The rate effect is new: SOFR has risen above the reverse repo rate at every quarter end since early 2023, by as much as 25 basis points.

-$151bnFall in European bank dealer tri-party borrowing at quarter end
-46 log pointsFall in money market fund lending to dealers at quarter end
None measurableIncrease in what European dealers paid at quarter end
Up to 25bpSOFR spread over the reverse repo rate, largest recent quarter ends

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