Monthly balance sheet optimization exercises in the US: data from the Fed suggests it is now a reality

Data from the Federal Reserve’s Reverse Repo Facility (RRP) show a recurring spike at the end of each trading month. This suggests that monthly calculations on balance sheet are making an impact at US repo dealers. This is part of the historical trend of moving from quarter-end balance sheet clean-ups to month-end in response to new capital reporting requirements. How long before this process occurs daily, and what does that mean for the RRP?

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