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Repo and Securities Lending (Adrian T., Begalle B., Copeland A., Martin A.)

Bank Products and Diversification

Abstract We provide an overview of data requirements necessary to monitor repurchase agreements (repos) and securities lending (sec 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 should include six characteristics of repo and sec lending trades at the firm level: principal amount, interest rate, collateral type, haircut, tenor, and counterparty.
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Libref/ Adrian T., Begalle B., Copeland A., Martin A. (2012) “Repo and Securities Lending”, Federal Reserve Bank of New York Staff Reports, no. 529
© Программирование — Александр Красильников, 2008
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