NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Repo and Securities Lending

Tobias Adrian, Brian Begalle, Adam Copeland, Antoine Martin

NBER Working Paper No. 18549
Issued in November 2012
NBER Program(s):   AP   CF

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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Document Object Identifier (DOI): 10.3386/w18549

Published: Repo and Securities Lending, Tobias Adrian, Brian Begalle, Adam Copeland, Antoine Martin. in Risk Topography: Systemic Risk and Macro Modeling, Brunnermeier and Krishnamurthy. 2014

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