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What Happens on Quarter-Ends in the Repo Market

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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.

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  • Erik Bostrom & David Bowman & Amy Rose & Andy Xia, 2025. "What Happens on Quarter-Ends in the Repo Market," FEDS Notes 2025-06-06-1, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2025-06-06-1
    DOI: 10.17016/2380-7172.3787
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