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Acceptable Securities for Treasury’s Repurchase Agreement (Repo) Program and the Assigned Margins for Valuation

Information Updated: August 14, 2007

Unless specified otherwise, acceptable securities for an overnight repo transaction are limited to only Treasury marketable securities (i.e., Treasury bills, notes, and bonds). Treasury STRIPS are currently not acceptable.

A market valuation plus accrued interest (less an associated haircut) will be applied to the securities. While assigned margins are subject to periodic change, the margins that are currently applied to the securities are noted below:

Treasury Bills 101%

Treasury Notes and Bonds  
3 years or less to maturity 101%
Greater than 3 years and up to and including 10 years to maturity 102%
Greater than 10 years and up to and including 30 plus years to maturity 103%