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Repo and securities lending

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Author Info

  • Tobias Adrian
  • Brian Begalle
  • Adam Copeland
  • Antoine Martin

Abstract

We provide an overview of data requirements necessary to monitor repurchase agreements (repos) and securities lending (sec 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 should include six characteristics of repo and sec lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.

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Bibliographic Info

Paper provided by Federal Reserve Bank of New York in its series Staff Reports with number 529.

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Date of creation: 2012
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Handle: RePEc:fip:fednsr:529

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Keywords: Repurchase agreements ; Systemic risk ; Securities ; Statistics;

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References

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  1. Tobias Adrian & Michael J. Fleming, 2005. "What financing data reveal about dealer leverage," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 11(Mar).
  2. Kenneth D. Garbade & Jeffrey F. Ingber, 2005. "The Treasury auction process: objectives, structure, and recent acquisitions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 11(Feb).
  3. Krishnamurthy, Arvind & Nagel, Stefan & Orlov, Dmitry, 2012. "Sizing Up Repo," CEPR Discussion Papers 8795, C.E.P.R. Discussion Papers.
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Citations

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Cited by:
  1. Tobias Adrian & Daniel Covitz & Nellie J. Liang, 2013. "Financial stability monitoring," Staff Reports 601, Federal Reserve Bank of New York.
  2. Adrian, Tobias, 2014. "Financial stability policies for shadow banking," Staff Reports 664, Federal Reserve Bank of New York.
  3. Tobias Adrian & Adam B. Ashcraft, 2012. "Shadow banking: a review of the literature," Staff Reports 580, Federal Reserve Bank of New York.
  4. Mancini, Loreano & Ranaldo, Angelo & Wrampelmeyer, Jan, 2013. "The Euro Interbank Repo Market," Working Papers on Finance 1316, University of St. Gallen, School of Finance.
  5. D'Amico, Stefania & Fan, Roger & Kitzul, Yuriy, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
  6. Tobias Adrian & Adam B. Ashcraft, 2012. "Shadow banking regulation," Staff Reports 559, Federal Reserve Bank of New York.
  7. Frank Keane, 2013. "Securities loans collateralized by cash: reinvestment risk, run risk, and incentive issues," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 19(May).
  8. Tobias Adrian & Adam B. Ashcraft & Nicola Cetorelli, 2013. "Shadow bank monitoring," Staff Reports 638, Federal Reserve Bank of New York.
  9. Palan, R. & Nesvetailova, A., 2013. "The Governance of the Black Holes of the World Economy: Shadow Banking and Offshore Finance," CITYPERC Working Paper Series 2013-03, Department of International Politics, City University London.
  10. Fligstein, Neil & Goldstein, Adam, 2012. "Sucker Punched by the Invisible Hand," Institute for Research on Labor and Employment, Working Paper Series qt1754s7tz, Institute of Industrial Relations, UC Berkeley.
  11. Thorvald Grung Moe, 2012. "Shadow Banking and the Limits of Central Bank Liquidity Support: How to Achieve a Better Balance between Global and Official Liquidity," Economics Working Paper Archive wp_712, Levy Economics Institute, The.

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