A Pilot Survey of Agent Securities Lending Activity

19 Pages Posted: 25 Aug 2016 Last revised: 11 Nov 2017

See all articles by Viktoria Baklanova

Viktoria Baklanova

Securities and Exchange Commissions

Cecilia Caglio

Board of Governors of the Federal Reserve System

Frank M. Keane

Federal Reserve Banks - Federal Reserve Bank of New York

Burt Porter

Securities and Exchange Commission

Multiple version iconThere are 2 versions of this paper

Date Written: 2016-08-01

Abstract

This paper reports aggregate statistics on securities lending activity based on a recently concluded pilot data collection by staff from the Office of Financial Research (OFR), the Federal Reserve System, and staff from the Securities and Exchange Commission (SEC). In its annual reports, the Financial Stability Oversight Council identified a lack of data about securities lending activity as a priority for the Council. This pilot data collection was a step toward addressing this critical data need. The voluntary pilot collection included end-of-day loan-level data for three non-consecutive business days from seven securities lending agents. Most but not all participating lending agents were subsidiaries of banks. The dataset of 75 reporting fields provides substantial new information about securities lending activity, including information concerning securities owners, securities borrowers, attributes of securities loans, collateral management, and cash reinvestment practices. However, the pilot data collection was limited in scope and duration. Comprehensive data are still lacking. To close this data gap, a permanent collection of data covering securities lending activity is recommended by the Council.

Keywords: securities lending, repo, systemic risk

JEL Classification: G10, G11, G20, G23

Suggested Citation

Baklanova, Viktoria and Caglio, Cecilia and Keane, Frank M. and Porter, Burt, A Pilot Survey of Agent Securities Lending Activity (2016-08-01). FRB of NY Staff Report No. 790, Available at SSRN: https://ssrn.com/abstract=2828580

Viktoria Baklanova (Contact Author)

Securities and Exchange Commissions ( email )

100 Pearl Street
New York, NY 10004
United States

Cecilia Caglio

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Frank M. Keane

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States
(212) 720-6079 (Phone)
(212) 720-1941 (Fax)

Burt Porter

Securities and Exchange Commission

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