NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Repo and Securities Lending

Tobias Adrian, Brian Begalle, Adam Copeland, Antoine Martin


This chapter is a preliminary draft unless otherwise noted. It may not have been subjected to the formal review process of the NBER. This page will be updated as the chapter is revised.

Chapter in forthcoming NBER book Risk Topography: Systemic Risk and Macro Modeling, Markus K. Brunnermeier and Arvind Krishnamurthy, editors
Conference held April 28, 2011
Forthcoming from University of Chicago Press

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.

download in pdf format
   (124 K)

email paper

This paper is available as PDF (124 K) or via email.

This paper was revised on May 23, 2013

Acknowledgments and Disclosures

Machine-readable bibliographic record - MARC, RIS, BibTeX

This chapter first appeared as NBER working paper w18549, Repo and Securities Lending, Tobias Adrian, Brian Begalle, Adam Copeland, Antoine Martin
Users who downloaded this chapter also downloaded these:
Acharya A Transparency Standard for Derivatives
Bassett, Gilchrist, Weinbach, and Zakrajsek Improving Our Ability to Monitor Bank Lending
Landier and Thesmar Regulating Systemic Risk through Transparency: Tradeoffs in Making Data Public
Geanakoplos and Pedersen Monitoring Leverage
McDonald Measuring Margin
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us