Repo and securities lending

Tobias Adrian (), Brian Begalle, Adam Matthew Copeland () and Antoine Martin ()

No 529, Staff Reports from Federal Reserve Bank of New York

Abstract: We provide an overview of data requirements necessary to monitor repurchase agreements (repos) and securities lending (sec 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 should include six characteristics of repo and sec lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.

Keywords: Repurchase agreements; Systemic risk; Securities; Statistics (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban and nep-bec
Date: 2012
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Chapter: Repo and Securities Lending (2012)
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