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US Treasuries Fails Charge Calculator











To calculate “C”, the claim amount in dollars:
  1. Enter “n”, where n = the number of calendar days from the failed settlement date to the next valid business day when delivery may take place (or actual delivery date, in cases where delivery has been made); or, to the last calendar day of the month, whichever comes first.
  2. Enter “R”, where R = the TMPG reference rate at the close of business on the business day preceding the fail, in percent per annum. (Currently the TMPG reference rate is the target federal funds rate specified by the Federal Open Market Committee (“FOMC”), or the lower limit of a target band if specified by the FOMC, e.g. R = 0 where the target band is 0 - .25. In cases where a target rate or band has not been specified by the FOMC, the TMPG will recommend some other readily observable short term interest rate.)
  3. Enter “P”, where P = total proceeds due from the buyer, in dollars.
There may be trading strategies or operational procedures and techniques that your firm could employ to reduce exposure to fails claims. Contact Jordan & Jordan to learn from industry experts with years of experience in US government securities operations management.

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