Repo and Securities Lending

Tobias Adrian, Brian Begalle, Adam Copeland and Antoine Martin

No 18549, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G18 G23 G28 G38 (search for similar items in EconPapers)
Date: 2012-11
New Economics Papers: this item is included in nep-ban and nep-fmk
Note: AP CF
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

Published as Repo and Securities Lending , Tobias Adrian, Brian Begalle, Adam Copeland, Antoine Martin. in Risk Topography: Systemic Risk and Macro Modeling , Brunnermeier and Krishnamurthy. 2014

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Related works:
Chapter: Repo and Securities Lending (2013)
Working Paper: Repo and securities lending (2012)
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