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http://hdl.handle.net/10419/60893
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| Title: | | Repo and securities lending  |
| Authors: | | Adrian, Tobias Begalle, Brian Copeland, Adam Martin, Antoine |
| Issue Date: | | 2011 |
| Series/Report no.: | | Staff Report, Federal Reserve Bank of New York 529 |
| Abstract: | | We provide an overview of the data requirements necessary to monitor repurchase agreements (repos) 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, then 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 securities lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty. |
| Subjects: | | systemic risk repo |
| JEL: | | G10 G20 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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