Presenta: Carlos Ramírez, Federal Reserve Board, USA
Abstract: Using a confidential and comprehensive dataset, we show that the pricing of overnight Treasury tri-party repos significantly varies across market participants and depends on three factors: (1) the number of counterparties that participants often trade with, (2) the degree of trading diversification across those counterparties, and (3) the share of trading volume those counterparties account for. We also find that the pricing impact of these factors are sensitive to market conditions.
