Repo and Securities Lending
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.
|Date of creation:||Nov 2012|
|Date of revision:|
|Publication status:||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|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
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