US Treasury, Agency Debt and Agency Mortgage-Backed Securities Fails Charge Calculator
To calculate 'C', the claim amount in dollars:
Indicate the type of security for which you are calculating a fails charge; that is, US Treasury, Agency Debt, or Agency Mortgage-Backed Security.
Indicate the floor value (old=0, new=1) you wish to use.
Enter 'N', where N = the number of calendar days from and including the failed settlement date, up to but not including the actual date when delivery was made.
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 = 0.25 where the target band is 0.25-0.50. 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.)
Enter 'P', where P = total proceeds due from the buyer, in dollars.
Our industry experts with years of experience in US government and mortgage-backed securities operations can help mitigate fails with adjustments to operational procedures and trading strategies. And, we can recommend procedures to better manage Cross Border collateral movements to minimize fails costs and possible fines. Jordan & Jordan can also help develop customized tracking and reporting programs to monitor fails and manage claims processing. Contact Jordan & Jordan to discuss how your firm's approach to handling fails can be improved.