NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Repo and Securities Lending

Tobias Adrian, Brian Begalle, Adam Copeland, Antoine Martin

Chapter in NBER book Risk Topography: Systemic Risk and Macro Modeling (2014), Markus Brunnermeier and Arvind Krishnamurthy, editors (p. 131 - 148)
Conference held April 28, 2011
Published in August 2014 by University of Chicago Press
© 2014 by the National Bureau of Economic Research

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.

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This paper was revised on March 17, 2016

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This chapter first appeared as NBER working paper w18549, Repo and Securities Lending, Tobias Adrian, Brian Begalle, Adam Copeland, Antoine Martin
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