Discussion Paper
Measuring Settlement Fails
McMorrow, Michael; Keane, Frank M.; Fleming, Michael J.; Martin, Antoine (2014-09-19)
In June 2014, settlement fails of U.S. Treasury securities reached their highest level since the implementation of the Treasury fails charge in May 2009, attracting significant attention from market participants. In this post, we review what fails are, why they are of interest, and how they can be measured. In a companion post following this one, we evaluate the particular circumstances of the June 2014 fails.
Liberty Street Economics , Paper 20140919b

Discussion Paper
What Explains the June Spike in Treasury Settlement Fails?
McMorrow, Michael; Keane, Frank M.; Fleming, Michael J.; Martin, Antoine (2014-09-19)
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 ...
Liberty Street Economics , Paper 20140919a