Repo and Securities Lending

20 Pages Posted: 24 Dec 2011

See all articles by Tobias Adrian

Tobias Adrian

International Monetary Fund

Brian J. Begalle

Federal Reserve Bank of New York

Adam M. Copeland

Federal Reserve Bank of New York

Antoine Martin

Federal Reserve Bank of New York - Research and Statistics

Multiple version iconThere are 2 versions of this paper

Date Written: December 1, 2011

Abstract

We provide an overview of the data requirements necessary to monitor repurchase agreements (repos) 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, then argue that it is crucial to understand the institutional arrangements. Data collection is currently incomplete. A comprehensive collection should include six characteristics of repo and securities lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.

Keywords: systemic risk, repo

JEL Classification: G10, G20

Suggested Citation

Adrian, Tobias and Begalle, Brian J. and Copeland, Adam M. and Martin, Antoine, Repo and Securities Lending (December 1, 2011). FRB of New York Staff Report No. 529, Available at SSRN: https://ssrn.com/abstract=1976327 or http://dx.doi.org/10.2139/ssrn.1976327

Tobias Adrian (Contact Author)

International Monetary Fund ( email )

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Washington, DC 20431
United States

HOME PAGE: http://www.tobiasadrian.com

Brian J. Begalle

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Adam M. Copeland

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Antoine Martin

Federal Reserve Bank of New York - Research and Statistics ( email )

33 Liberty Street
New York, NY 10045
United States
212-720-6943 (Phone)

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