Treasury repo margin threshold
When does repriced Treasury collateral trigger a cash margin transfer after repo interest, a contractual threshold and a minimum transfer amount?
This experiment lets you change financial assumptions and inspect the resulting calculation. The starting values are illustrative, and no live market feed is required. Compare an alternative, search a stated range for a failure condition, and inspect the assumptions behind the result. The calculation describes the selected model, rather than predicting markets or recommending a transaction. You can run this experiment without signing in and preserve a replayable receipt.
Run this experimentStarting assumptions.
| Cash available for margin | 50000 USD |
|---|---|
| Initial Treasury collateral value | 1000000 USD |
| Initial financing haircut | 2 % |
| Maintenance collateral haircut | 2 % |
| Collateral price change | -5 % |
| Annual repo rate, ACT/360 | 4 % |
| Margin calculation day | 30 days |
| Unsecured exposure threshold | 1000 USD |
| Minimum cash transfer | 5000 USD |
| Horizon | 45 days |
What the result establishes.
The result is conditional on the input values, financial conventions and model version. Calculations are performed by the same Go engine in the browser and local service.
- Illustrative user assumptions; no live market data or calibrated forecast.
- Results apply only to the declared mechanisms, horizon and search bounds.
- Initial repo cash equals collateral value times one minus the initial haircut. A one-off price change is applied on the margin day; repo interest accrues ACT/360. Transfer occurs only when excess exposure above the threshold is strictly greater than the minimum transfer amount.
- An illustrative single-trade cash-margin clause, not a GMRA implementation. Posted margin is encumbered cash, not an investment loss. Repo close-out, netting, coupon treatment and margin return are outside the horizon model.
YieldGuard Ltd, company number 16914415, registered in England and Wales.