Treasury Market Practices Group Seeks Comment on Consultative White Paper and Proposed Best Practice Recommendations for U.S. Treasury Repo Risk Management

The Treasury Market Practices Group (TMPG) today released a consultative white paper Non-Centrally Cleared Bilateral Repo and Indirect Clearing in U.S. Treasury Market: Focus on Margining Practices. The white paper identifies several risks posed by current risk management practices in the U.S. Treasury repurchase agreement (repo) market. In light of these risks, the TMPG is proposing updates to its existing Best Practices for Treasury, Agency Debt, and Agency Mortgage-Backed Securities Markets, including recommending that, consistent with appropriate risk management of counterparty exposures, all Treasury repo should include prudent haircuts (or margin) on the value of the securities, in concert with other risk management techniques. The TMPG also released a proposed set of Frequently Asked Questions (FAQs) to provide further guidance on the recommended proposed best practices. The TMPG seeks comment on this material by April 30, 2025.

TMPG Seeks Comment on Consultative White Paper and Proposed Best Practice Recommendations for U.S. Treasury Repo Risk Management February 26, 2025

Consultative White Paper: Non-Centrally Cleared Bilateral Repo and Indirect Clearing in the U.S. Treasury Market: Focus on Margining Practices February 26, 2025

TMPG Proposed Recommended Best Practices on Treasury Repo Risk Management February 26, 2025

Proposed Frequently Asked Questions (FAQs): Treasury Repurchase Agreement Risk Management February 26, 2025