Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60893
Authors: 
Adrian, Tobias
Begalle, Brian
Copeland, Adam
Martin, Antoine
Year of Publication: 
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

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