(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