Repo and securities lending
Abstract: We provide an overview of the data required to monitor repo and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets and argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection would include, at a minimum, six characteristics of repo and securities lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.
File(s): File format is text/html https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr529.html
File(s): File format is application/pdf https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr529.pdf
Provider: Federal Reserve Bank of New York
Part of Series: Staff Reports
Publication Date: 2013-02-01
Note: For a published version of this report, see Tobias Adrian, Brian Begalle, Adam Copeland, and Antoine Martin , "Repo and Securities Lending," Systemic Risk Measurement, Forthcoming, ed. by Markus K. Brunnemeier and Arvind Krishnamurthy, NBER conference volume: 131-148.