The Use of Collateral in Bilateral Repurchase and Securities Lending Agreements

Viktoria Baklanova, Cecilia Caglio, Marco Cipriani and Adam Copeland
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Cecilia Caglio: Federal Reserve Board of Governors

Review of Economic Dynamics, 2019, vol. 33, 228-249

Abstract: We use unique data from U.S. BHC-affiliated securities dealers to study the use of collateral in bilateral repurchase and securities lending agreements. This is the first paper to provide stylized facts about this market, documenting, among other things, that most trades are backed by U.S. Treasuries and equities, and have either an overnight or open maturity. We also focus on how haircuts are determined in this market, highlighting the differences across asset classes. Finally, we document a negative correlation between haircut and interest rate, a prediction in line with a large set of theories; however this correlation is quite small in magnitude. (Copyright: Elsevier)

Keywords: Repo; Securities lending; Adverse selection; Haircut (search for similar items in EconPapers)
JEL-codes: E44 G12 G23 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (16)

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Working Paper: The use of collateral in bilateral repurchase and securities lending agreements (2016)
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DOI: 10.1016/j.red.2019.05.002

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