A repo (repurchase agreement, RP) in the which the repo collateral is an entire portfolio (basket) of debt securities (bonds). The repo transaction’s counterparty is a repo market maker. This type of repo transactions allows market participants to trade (repo out) a large number of repos involving individual securities. The portfolio (basket) is treated as one repo trade, i.e., a collection of single-name classic repos. The repo market maker defines a margin level for each component or assign a uniform margin level for the entire portfolio of repos.

Everything else held constant, the mechanics of a basket repo do not differ from those of an individual repo.