Explaining settlement fails
The Federal Reserve now makes available current and historical data on trades in U.S. Treasury and other securities that fail to settle as scheduled. An analysis of the data reveals substantial variation in the frequency of fails over the 1990-2004 period. It also suggests that surges in fails sometimes result from operational disruptions, but often reflect market participants' insufficient incentive to avoid failing.
Volume (Year): 11 (2005)
Issue (Month): Sep ()
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- Michael J. Flemming, 2000. "Financial Market Implications of the Federal Debt Paydown," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 31(2), pages 221-252.
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- Duffie, Darrell, 1996. " Special Repo Rates," Journal of Finance, American Finance Association, vol. 51(2), pages 493-526, June.
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- Ramon P. DeGennaro & James T. Moser, 1990. "Failed delivery and daily Treasury bill returns," Working Paper 9003, Federal Reserve Bank of Cleveland.
- Joseph A. Cherian & Eric Jacquier & Robert A. Jarrow, 2004. "A Model of the Convenience Yields in On-the-Run Treasuries," Review of Derivatives Research, Springer, vol. 7(2), pages 79-97, 08.
- S. Illeris & G. Akehurst, 2002. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 22(1), pages 1-3, January.
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