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Quantitative Finance · Glosarium

Apa itu Fails charge?

Definition 5.8 Markets II: Rates, FX and Credit · Bab 5 — Repo and Specials

The fails charge on a Treasury transaction that fails to settle is, for each day of the fail,

C  =  1360×0.01×max⁡(3−R, 0)×P,C \;=\; \frac{1}{360}\times 0.01 \times \max(3 - R,\,0) \times P,

where PP is the proceeds and RR, in percent, is the reference rate (the lower limit of the Federal Reserve’s target range) on the preceding business day. It is paid by the failing seller to the buyer.

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