Thursday, March 20, 2008

Repo market: Massive fails

(Alea) What “Fails” mean:

If primary dealer A does not deliver a security to primary dealer B as scheduled, then dealer A reports a fail to deliver and dealer B reports a fail to receive. In contrast, if primary dealer A does not deliver a security to customer C, then dealer A reports a fail to deliver and the fail to receive is not reported. A settlement fail goes unreported if neither the buyer nor the seller is a primary dealer.

This is recent data to march 5th on settlement fails between primary dealers. Settlement fails are reported on a cumulative basis for each week, including nontrading days.

U.S. Treasury Securities (In Millions of Dollars)
Fails to Receive: 891,825
Change from Previous Week: 696,427
Fails to Deliver: 903,242
Change from Previous Week: 724,368

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