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The introduction of the TMPG fails charge for U.S. Treasury securities


  • Kenneth D. Garbade
  • Frank M. Keane
  • Lorie Logan
  • Amanda Stokes
  • Jennifer Wolgemuth


The TMPG fails charge for U.S. Treasury securities provides that a buyer of Treasury securities can claim monetary compensation from the seller if the seller fails to deliver the securities on a timely basis. The charge was introduced in May 2009 and replaced an existing market convention of simply postponing—without any explicit penalty and at an unchanged invoice price—a seller’s obligation to deliver Treasury securities if the seller fails to deliver the securities on a scheduled settlement date. This article explains how a proliferation of settlement fails following the insolvency of Lehman Brothers Holdings Inc. in September 2008 led the Treasury Market Practices Group (TMPG)—a group of market professionals committed to supporting the integrity and efficiency of the U.S. Treasury market—to promote a change in the existing market convention. The change—the introduction of the fails charge—was significant because it mitigated an important dysfunctionality in the secondary market for U.S. Treasury securities and because it stands as an example of the value of cooperation between the public and private sectors in responding to altered market conditions in a flexible, timely, and innovative fashion.

Suggested Citation

  • Kenneth D. Garbade & Frank M. Keane & Lorie Logan & Amanda Stokes & Jennifer Wolgemuth, 2010. "The introduction of the TMPG fails charge for U.S. Treasury securities," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 45-71.
  • Handle: RePEc:fip:fednep:y:2010:i:oct:p:45-71:n:v.16no.2

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    Cited by:

    1. Garbade, Kenneth D. & Keane, Frank M., 2017. "The Treasury Market Practices Group: creation and early initiatives," Staff Reports 822, Federal Reserve Bank of New York.
    2. Anna Cieslak & Pavol Povala, 2016. "Information in the Term Structure of Yield Curve Volatility," Journal of Finance, American Finance Association, vol. 71(3), pages 1393-1436, June.
    3. Sung-guan Yun & Ronald Heijmans, 2013. "Analysis of Risk Factors in the Korean Repo Market: Based on the US and European Repo Market Experiences," Working Papers 2013-29, Economic Research Institute, Bank of Korea.


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