The Depository Trust & Clearing Corporation (DTCC) announced today that it is enriching the information it publishes about U.S. Treasury trade "fails" by offering a more detailed view of the underlying data on a daily, weekly, monthly and yearly basis, and by displaying a full year's worth of back data on fail rates.
Publication of this more detailed information, which reflects DTCC's ongoing efforts to bring greater transparency to U.S. financial markets, will allow traders, analysts and U.S. Treasury officials to track market trends and activity more easily and to correlate abrupt trade failure increases with rising demand for specific Treasury issues.
DTCC is making the database of daily fails volume from the previous 12 months available on its website for review and downloading into various spreadsheet applications, such as Microsoft Excel.
"Our initial chart provided the public its first view ever into the daily volume of fails in the multi-trillion-dollar U.S. Treasury market. Our goal is to continue expanding the data we publish daily and to improve transparency by providing the public, market participants and regulators more detailed information on an ongoing basis," said Murray Pozmanter, DTCC managing director, Clearance and Settlement. "Because U.S. Treasury debt issues can have an impact on how other debt and equity markets function, we expect this information will help analysts examine such things as seasonal variations and the market's ability to handle fluctuations in the volume and timing of specific Treasury instruments."
DTCC's Fixed Income Clearing Corporation (FICC) began tracking and publishing Treasury fails data last year to foster a better understanding of the health and functioning of the market for U.S. Treasury securities. FICC initiated the project based on feedback from the Treasury Markets Practices Group, an ad hoc securities industry committee sponsored by the Federal Reserve Bank of New York, in response to industry and regulatory concern over a surge in fails following the failure of Lehman Brothers in 2008.
Treasury fails, or "failures-to-deliver" occur when either sellers fail to deliver or buyers fail to receive Treasury securities in time to settle a trade. By tracking fails, FICC is able to show the value value of U.S. Treasury securities that were not delivered to fulfill a trade contract. This
information helps Treasury officials pinpoint potential problems in the smooth functioning of the market, and alerts trading firms and institutional investors such as money market funds to delivery fail rates on certain days or for specific securities. In anticipation of a security being delivered, dealers may have already pledged the security in another trade, and a failure to deliver the security can have a ripple effect in the broader market.
Opening up its distribution of "Treasury fails" data to the public is the latest step in DTCC's expansion of its role as a key data source for the securities industry and the global regulatory community. Since 2008, DTCC has been publishing critical market data, drawn from its Trade Information Warehouse, on the global credit default swaps (CDS) market. Earlier this year, DTCC opened direct links into its Trade Information Warehouse for regulators throughout the world to view CDS data for their particular jurisdiction. The company also publishes its daily GCF Repo Rate Index, a key indicator of activity in the major U.S. repo markets.
FICC is the principal clearing house for almost all interdealer trading in U.S. government securities, processing more than $4.4 trillion in trades a day on average in 2010. It provides the initial distribution of securities from the U.S. Treasury to its members during auction takedowns, as well as clearing and settling trades in the repurchase or repo market.