Repo and Securities Lending - Federal Reserve Bank of New York

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Staff Reports

Repo and Securities Lending

2014 December 2011 Number 529
Revised February 2013

JEL classification: G10, G20

Authors: Tobias Adrian, Brian Begalle, Adam Copeland, and Antoine Martin

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.

Available only in PDF pdf

21 pages / 156 kb

For a published version of this report, see Tobias Adrian, Brian Begalle, Adam Copeland, and Antoine Martin , "Repo and Securities Lending," Systemic Risk Measurement, Forthcoming, ed. by Markus K. Brunnemeier and Arvind Krishnamurthy, NBER conference volume: 131-148.

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