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Federal Reserve Bank of New York
Repo and securities lending
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.
Cite this item
Tobias Adrian & Brian Begalle & Adam Copeland & Antoine Martin, Repo and securities lending, Federal Reserve Bank of New York, Staff Reports 529, 01 Dec 2012, revised 01 Feb 2013.
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.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
Keywords: systemic risk; repo
This item with handle RePEc:fip:fednsr:529
is also listed on EconPapers
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