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U.S. Treasury Portfolio Owners come to AgentLenderPLUS to execute a 12 basis point risk-free enhancement above the yield of their current portfolio at a cost of being indifferent to a possible shift in their portfolio's weighted average maturity of no more than 5-days.  There are no other give-ups, risks, or costs involved.  

AgentLenderPLUS, LLC (ALP) is the Proprietary Trading Firm established by Goldman Landow Capital's Founder Lew Goldman after Lew's U.S. Treasury Alpha PLUS strategy was used as the cornerstone investment strategy within an SEC Rule 2a-7, AAA rated, U.S. Treasury Money Market Fund.  With proof of concept in hand due to the success of the Alpha PLUS strategy, AgentLenderPLUS was established to bring the "PLUS" strategy directly to current owners of U.S. Treasury securities.


Today, U.S. Treasury Portfolio Owners can deal directly with AgentLenderPLUS by executing the safest of all Repo transactions.  This transaction is commonly called an Identical Offsetting Repo or IORP.   An IORP trade is the simultaneous execution of a Repo buy and Repo sell with the exact same counterparty, for the same term, using the same U.S. Treasury securities.  Such a transaction is deemed "Closed" because all Repo obligations are satisfied (securities and/or cash have been returned) thus eliminating any possibility of counterparty default.  Additionally, the safety aspect of the IORP trade is highlighted even further because the transaction is done as a pair-off meaning the Portfolio Owners securities and cash never leave the Portfolio Owners custody account.   

Portfolio Owners who currently engage in securities lending or manage their lending in-house like the AgentLenderPLUS trade.  Here is why:


  • Offers Portfolio Owners a safer alternative than engaging in U.S. Treasury securities lending as counterparty risk has been eliminated due to the Portfolio Owners securities being returned on Settlement Date

  • Offers Portfolio Owners with a known enhancement (12 basis points per annum) versus a best efforts enhancement via current securities lending methodology

  • A “Closed Repo” such as an IORP is absent of any reinvestment risk because there is no reinvestment taking place.

  • Offers Portfolio Owners 12 basis points of fee income on 100% of their under 2-year portfolio

  • Offers Portfolio Owners enhancement without any need to pay agent lender fees 

  • A “Closed Repo” such as an IORP requires no third-party insurance or indemnification since all securities were returned at the time of establishing the IORP thus eliminating any need to insure the return of the Portfolio Owners' securities

  • Repo restrictions are not applicable as there are no open obligations to be performed


Note: Portfolio Owners can request their Agent Lenders to add AgentLenderPLUS as a counterparty no different than any other borrower to exclusively execute IORP's 

The Trade: 

  • U.S. Treasury Portfolio Owner sells a repo at rate X and simultaneously buys the exact same repo at X + 12 basis points satisfying all obligations under the repo agreement

  • The above transaction is paired off and is executed between the same two counterparties, using the same bonds, and for the same term

  • Throughout the term, AgentLenderPLUS can make collateral substitutions, at equal yield, replacing one Treasury for another Treasury while being restricted to a 5-day WAM change barrier

  • At month end if the repo is not terminated early, then any replacement securities held by the Portfolio Owner will be paired off at equal yield, as the Portfolio owner is holding those securities in their account

Portfolio Owners Risk:

  • Risk is limited to a maximum change of WAM of just 5-days

  • The Repo buy and Repo sell are paired off transactions, therefore securities and cash never leave the Portfolio Owners custodian account except when there are collateral substitutions (done at equal yield)

AgentLenderPLUS is all about the "PLUS" so why we are willing to pay this premium?

  • Ability to lock in a fixed cost of 12 basis points for access to U.S. Treasury inventory

  • Less dependence on Dealer balance sheets for repo lines

  • “Closed Repo” position eliminates any concern of counterparty default

  • “Peer to Peer” trading offers access to supply no longer found at dealers (unless there is an axe to grind)

  • AgentLenderPLUS is filling a void created by the large dealers who have become wholesalers, and have shrunk their proprietary trading activity

  • By going directly to Portfolio Owners AgentLenderPLUS, with its own capital at risk, can once again actively trade the U.S. Treasury market and hopefully generate acceptable returns

To learn more about becoming a trading counterparty to AgentLenderPLUS, LLC, please contact Lew Goldman at 516-223-3932 or email at

U.S. Treasury IORP Program

What is the U.S. Treasury IORP Program?

The U.S. Treasury IORP Program is a Repo-based transaction whereby U.S. Treasury Beneficial Owners simultaneously buy and sell Identical Off-Setting Repurchase Agreements (IORP) with the same counterparty, using the same securities. Both buy and sell Repos have annexes attached to the SIFMA Master Repurchase Agreement which allows collateral substitutions under strict guidelines. The Counterparty pays the Beneficial Owner a premium for allowing unlimited collateral substitutions as stipulated in the Repo Annex. Beneficial Owners can terminate both Repos at will without penalty, providing liquidity when needed.   

The U.S. Treasury IORP Program allows U.S. Treasury Beneficial Owners the ability to "Lock-In" additional basis points of yield enhancement per annum on 100% of their portfolio holdings while eliminating the risks inherent in traditional securities lending. In return for "Locking-In" a known portfolio enhancement, Beneficial Owners agree to allow their portfolio's current weighted average maturity to differ by no more than 5 days. The weighted average maturity differential can occur when the Beneficial Owners Repo Counterparty makes collateral substitutions.

What do Beneficial Owners of U.S. Treasury Securities need in order to partake in the U.S. Treasury IORP Program?

1.    A portfolio of U.S. Treasury Securities maturing under 2 years.
2.    Sign and return SIFMA Master Repurchase Agreements and Annexes. 
3.    Agree to be indifferent if your portfolio's current weighted average maturity is no more than 5 days longer or shorter. 
4.    Maintain a cash sweep account at your custodial bank.
5.    Allow your repo counterparty to make unlimited collateral substitutions at an equal yield.

6.    Abide by the language within the annex when a Treasury security is substituted, sold, or matures.

Advantages of U.S. Treasury IORP Program versus traditional securities lending of U.S. Treasury Securities:

Counterparty Risk: IORP portfolio owners are always in possession of their securities and cash eliminating this risk.
Cash Collateral Reinvestment Risk: Beneficial Owners Counterparty is never in possession of your cash eliminating this risk. 
Indemnification: IORP portfolio owners have no need for indemnification because they are not exposed to Counterparty and Cash Collateral Reinvestment Risks.

U.S. Treasury IORP Program
Black Swan Option

Black Swan Option

Black Swan events were introduced by Nassim Nicholas Taleb in his 2001 book “Fooled by Randomness”, which concerned financial events. His 2007 book “The Black Swan” extended the metaphor to events outside of financial markets. Identifying and Recognizing Black Swan Events according to Mr. Taleb:

  1. The event is a surprise (to the observer).

  2. The event has a major impact on markets.

  3. After the first recorded instance of the event, it is rationalized by hindsight, as if it could have been expected; that is, the relevant data were available but unaccounted for in risk mitigation programs. The same is true for the personal perception by individuals.


The Goldman Landow Capital Black Swan Value Proposition:

To derive and capture value from a spread widening event in the U.S. Treasury Term Repo market upon either a Black Swan event or as a result of general market conditions. If you are interested in how you can benefit from being long an option at zero cost and risk, and would like to do so;

  • Without undertaking any risk

  • Without incurring any upfront transactional costs

  • Without paying any upfront premium cost

  • Without using any of your own cash or U.S. Treasury collateral

For a moment, turn back the clock to the time when the market was dealing with the Lehman bankruptcy. For those professionals involved in the Treasury Repo market, Repo spreads widened considerably. Spreads widened 200 basis points, and on a $10 billion, 270 day weighted average maturity (WAM) Repo, the value of the option was worth (the widening spread) $150,000,000. This profit may cover some, all, or more, than the loss the CIO might have suffered on other assets during this time period. If you are concerned about portfolio exposure, then why not learn more about the Goldman Landow Capital Black Swan Option. For more information, please contact your Goldman Landow Capital Relationship Manager or call 516-223-3932.

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