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What Explains the June Spike in Treasury Settlement Fails?

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Abstract

In June of this year?as we noted in the preceding post?settlement fails in U.S. Treasury securities spiked to their highest level since the implementation of the fails charge in May 2009. Our first post reviewed what fails are, why they arise, and how they can be measured. In this post, we dig into the fails data to identify possible explanations for the high level of fails in June. We observe that sequential fails of several benchmark securities accounted for the lion?s share of fails in June, but that fails in seasoned securities?which have been trending upward for some time?were also elevated.

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  • Michael J. Fleming & Frank M. Keane & Antoine Martin & Michael McMorrow, 2014. "What Explains the June Spike in Treasury Settlement Fails?," Liberty Street Economics 20140919a, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:86973
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    File URL: https://libertystreeteconomics.newyorkfed.org/2014/09/what-explains-the-june-spike-in-treasury-settlement-fails.html
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    Cited by:

    1. Michael J. Fleming & Frank M. Keane, 2021. "The Netting Efficiencies of Marketwide Central Clearing," Staff Reports 964, Federal Reserve Bank of New York.

    More about this item

    Keywords

    Treasury securities; liquidity; DTCC; Settlement Fails;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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