Repo and Securities Lending

21 Pages Posted: 20 Nov 2012

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

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Date Written: November 2012

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.

Suggested Citation

Adrian, Tobias and Begalle, Brian J. and Copeland, Adam M. and Martin, Antoine, Repo and Securities Lending (November 2012). NBER Working Paper No. w18549, Available at SSRN: https://ssrn.com/abstract=2178328

Tobias Adrian (Contact Author)

International Monetary Fund ( email )

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Washington, DC 20431
United States

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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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