TY  - JOUR
AU  - Adrian,Tobias
AU  - Begalle,Brian
AU  - Copeland,Adam
AU  - Martin,Antoine
TI  - Repo and Securities Lending
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 18549
PY  - 2012
Y2  - November 2012
UR  - http://www.nber.org/papers/w18549
L1  - http://www.nber.org/papers/w18549.pdf
N1  - Author contact info:
Tobias Adrian
Federal Reserve Bank of New York
Capital Market Research
33 Liberty Street
New York, NY 10045
Tel: 212-720-1717
Fax: 212-720-1582
E-Mail: tobias.adrian@ny.frb.org

Brian Begalle
Federal Reserve Bank of New York
E-Mail: brian.begalle@ny.frb.org

Adam Copeland
Federal Reserve Bank of New York
Fax: Economist
E-Mail: adam.copeland@gmail.com

Antoine Martin
Federal Reserve Bank of New York
E-Mail: Antoine.Martin@ny.frb.org
M3  - presented at "Systemic Risk and Macro Modeling", April 28, 2011
AB  - 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.
ER  -