$287.48B in chronic settlement-fail exposure surfaced from the SEC public register.
capmarkets-engine ingested the SEC fails-to-deliver register for January through March 2026 (61 settlement dates, 339,992 records, all six FOIA half-month files). Tier 1 ran a single deterministic pass and identified 14,156 CUSIPs that failed delivery on five or more distinct settlement dates. Total chronic dollar exposure across that population: $287.48B. The top of the list is dominated by liquid ETFs, where chronic FTD reflects naked-short pressure plus reconciliation strain rather than fraud.
What this POC shows.
If you're a broker-dealer compliance lead, a clearing-house ops lead, or a market-structure researcher, this is the short answer for what's being detected on SEC public failures-to-deliver data.
What's the dataset?
SEC FTD (failures-to-deliver) public register. 339K+ rows. Free, deterministic, downloadable from SEC.gov.
What did JIL find?
$287.48B in chronic settlement-fail exposure across the universe. Issuer-level concentration (FTD-recurrence patterns), counterparty-level concentration, threshold-list residency duration. 250 findings ranked by exposure.
Why does this matter?
Chronic FTDs are a soft signal of naked shorting, manipulation, or operational failure. SEC publishes the data but nobody runs systematic outlier detection on it. JIL does, with deterministic rules, and the evidence package is admissible.
What this is NOT
Not a manipulation determination. Not a recommendation to short or buy any security. 'Flagged' = 'this issuer / counterparty exhibits a pattern in the public data worth review.' The interpretive work stays with your compliance team.
How do I run this on my book?
If you're a broker-dealer, we ingest your fail-feed alongside SEC public data and surface concentration patterns specific to your book. Turnaround: 5-7 days.
SEC fails-to-deliver register, real federal data.
Source. The SEC publishes the fails-to-deliver register monthly under FOIA at sec.gov/data/foiadocsfailsdatahtm. Each row is a CUSIP-and-settlement-date pair: a security that should have settled on a given date but did not. Columns: SETTLEMENT_DATE, CUSIP, SYMBOL, QUANTITY (FAILS), DESCRIPTION, PRICE.
What we ingested. Six monthly half-files (cnsfails202601a, ...01b, ...02a, ...02b, ...03a, ...03b) totaling 339,992 records spanning 61 distinct settlement dates from 2026-01-02 to 2026-03-31. Loaded into capmarkets.sec_ftd_records with content-addressable hashes for replay.
What is chronic. A CUSIP is a chronic offender when it appears on five or more distinct settlement dates inside the window. The materialized view capmarkets.sec_ftd_chronic aggregates per-CUSIP fail-day count, total shares, total dollar exposure (price-weighted), and date span.
Why this matters. SEC Rule 204 requires close-out of fails within standard delivery windows. Chronic FTD exposure on a CUSIP is a leading indicator of reconciliation breaks, naked-short pressure, structural settlement strain, or sub-custodian chain-of-custody gaps. Custodian banks, prime brokers, and CSDs each carry exposure; the public register is the only common reference point.
Top of the chronic-offender list, sorted by total dollar exposure.
Each row below ran cm_ftd_pattern (Settlement Fail Pattern Detection) against the live ingested register. Severity threshold: critical at $100M+, high at $10M+, medium at $1M+. The top tier is dominated by liquid ETFs and sector trackers; one large institutional name (Walmart) appears at #21.
| # | Symbol | CUSIP | Description | Fail-days | Total dollar exposure | Tier 1 signals |
|---|---|---|---|---|---|---|
| 1 | SPY | 78462F103 | SPDR S&P 500 ETF TR | 57 | $13,009,099,970.90 | FTD-CHRONIC DOLLAR-CRITICAL ETF-LIQUID |
| 2 | IWM | 464287655 | ISHARES RUSSELL 2000 ETF | 56 | $8,760,441,039.70 | FTD-CHRONIC DOLLAR-CRITICAL ETF-LIQUID |
| 3 | LQD | 464287242 | ISHARES IBOXX $ INVESTMENT GRA | 51 | $7,464,137,082.40 | FTD-CHRONIC DOLLAR-CRITICAL ETF-LIQUID |
| 4 | IVV | 464287200 | ISHARES CORE S&P 500 ETF | 24 | $7,089,412,553.83 | FTD-CHRONIC DOLLAR-CRITICAL ETF-LIQUID |
| 5 | VOO | 922908363 | VANGUARD INDEX FDS S&P 500 ETF | 29 | $6,651,157,854.79 | FTD-CHRONIC DOLLAR-CRITICAL ETF-LIQUID |
| 6 | HYG | 464288513 | ISHARES TR (HIGH YIELD CORP) | 55 | $4,322,724,767.09 | FTD-CHRONIC DOLLAR-CRITICAL ETF-CREDIT |
| 7 | KRE | 78464A698 | SPDR S&P REGIONAL BANKING ETF | 49 | $4,130,670,074.98 | FTD-CHRONIC DOLLAR-CRITICAL ETF-SECTOR |
| 8 | QQQ | 46090E103 | INVESCO QQQ TR | 57 | $4,054,345,915.70 | FTD-CHRONIC DOLLAR-CRITICAL ETF-LIQUID |
| 9 | EFG | 464288885 | MSCI EAFE GROWTH ETF | 31 | $3,804,556,017.23 | FTD-CHRONIC DOLLAR-CRITICAL ETF-INTL |
| 10 | IDEF | 09290C699 | BLACKROCK ISHARES DEFENSIVE | 36 | $3,542,724,859.35 | FTD-CHRONIC DOLLAR-CRITICAL ETF-FACTOR |
| 11 | XBI | 78464A870 | SPDR S&P BIOTECH ETF | 55 | $2,506,224,877.62 | FTD-CHRONIC DOLLAR-CRITICAL ETF-SECTOR |
| 12 | XLF | 81369Y605 | FINANCIAL SELECT SECTOR SPDR | 41 | $2,355,872,759.45 | FTD-CHRONIC DOLLAR-CRITICAL ETF-SECTOR |
| 13 | GLD | 78463V107 | SPDR GOLD TR | 40 | $2,195,746,204.92 | FTD-CHRONIC DOLLAR-CRITICAL ETF-COMMODITY |
| 14 | IGV | 464287515 | ISHARES EXPANDED TECH-SOFTWARE | 53 | $2,158,537,191.65 | FTD-CHRONIC DOLLAR-CRITICAL ETF-SECTOR |
| 15 | SMH | 92189F676 | VANECK SEMICONDUCTOR ETF | 34 | $1,809,363,002.29 | FTD-CHRONIC DOLLAR-CRITICAL ETF-SECTOR |
| 16 | AIA | 464288430 | ISHARES S&P ASIA 50 ETF | 33 | $1,775,410,086.69 | FTD-CHRONIC DOLLAR-CRITICAL ETF-INTL |
| 17 | EMXC | 46434G764 | ISHARES MSCI EMERGING MKTS | 32 | $1,705,918,045.41 | FTD-CHRONIC DOLLAR-CRITICAL ETF-INTL |
| 18 | TQQQ | 74347X831 | PROSHARES ULTRAPRO QQQ | 52 | $1,531,410,685.70 | FTD-CHRONIC DOLLAR-CRITICAL LEVERAGED |
| 19 | ACWX | 464288240 | ISHARES MSCI ACWI EX US ETF | 26 | $1,513,415,757.55 | FTD-CHRONIC DOLLAR-CRITICAL ETF-INTL |
| 20 | IEUR | 46434V738 | ISHARES CORE MSCI EUROPE | 32 | $1,482,916,307.66 | FTD-CHRONIC DOLLAR-CRITICAL ETF-INTL |
| 21 | WMT | 931142103 | WAL-MART INC (DE) | 27 | $1,406,854,350.77 | FTD-CHRONIC DOLLAR-CRITICAL SINGLE-STOCK |
| 22 | EEM | 464287234 | ISHARES MSCI EMERGING MARKETS | 39 | $1,335,734,459.18 | FTD-CHRONIC DOLLAR-CRITICAL ETF-INTL |
| 23 | NXUS | 67092P672 | NUVEEN INTL AGG ETF | 26 | $1,279,864,185.46 | FTD-CHRONIC DOLLAR-CRITICAL ETF-INTL |
| 24 | SCMB | 808524649 | SCHWAB STRATEGIC TR MUNI BD | 51 | $1,227,860,886.84 | FTD-CHRONIC DOLLAR-CRITICAL ETF-MUNI |
| 25 | LMUB | 46438G448 | ISHARES LONG TERM NATL MUNI | 41 | $1,206,097,009.07 | FTD-CHRONIC DOLLAR-CRITICAL ETF-MUNI |
Where the dollars sit.
capmarkets-engine produces a finding per chronic CUSIP up to a configurable cap. Severity scales with total dollar exposure: critical at $100M+, high at $10M-$100M, medium at $1M-$10M, low under $1M. The 250-finding cap was hit on this run; the engine surfaced the highest-dollar offenders first.
$1B+ chronic exposure each.
Headlines: SPY $13.0B, IWM $8.76B, LQD $7.46B, IVV $7.09B, VOO $6.65B. Liquid-ETF cohort dominates.
$10M-$1B chronic exposure each.
Sector ETFs (XBI, XLF, IGV, SMH), single-name large-cap (WMT-class), international and EM trackers.
$1M-$10M and below.
Long tail of small-cap names, ADRs, niche thematics. Reconciliation-priority targets but no immediate enforcement signal.
What ships when a custodian engages.
FTD pattern detection is one signal of six. capmarkets-engine ships five additional production checks gated on the customer profile lob = 'capital_markets_custodian'. Each check runs deterministically against customer-supplied settlement records and produces sealed CREB™ output through the same orchestrator and Ava layer that powers the rest of the platform.
Cross-system position reconciliation.
Cross-system position reconciliation across custodian, broker, fund administrator, CSD. ISITC standards, SWIFT MT 535, SEC Rule 17a-5.
Independent NAV recalculation.
Independent NAV recalculation from underlying holdings. Flags deviations beyond the configured basis-point threshold. SEC Rule 22c-1, AICPA ICAAG.
Two-leg atomic DvP verification.
Two-leg atomic delivery-versus-payment verification. Detects partial-settlement events. BIS CPMI Principle 12, BIS Project Agora and Mariana.
Corporate-action entitlement recalc.
Independent entitlement recalculation from record-date positions and announced terms. Late processing detection. ISO 15022 / 20022, SMPG.
Recall window + collateral.
Recall window compliance and collateral substitution tracking. ISLA GMSLA, OCC stock loan rules, SEC Rule 15c3-3.
Settlement-fail pattern detection.
Reads the chronic-offender materialized view. SEC Rule 204, SEC fails-to-deliver public dataset, SEC Rule 17a-5.
What the customer takes to a regulator.
One of the 13 critical findings, rendered as a sealed CREB™ record. The bundle carries the cryptographic finding hash, the exact reproducibility manifest, and the regulatory-basis citations.
finding_id : a6a027ed-df81-4e07-afaa-379ffe3ae2b0 check_id : cm_ftd_pattern subject_type : cusip subject_id : 78462F103 symbol : SPY description : SPDR S&P 500 ETF TR severity : critical total_dollars : $13,009,099,970.90 total_shares : 19,385,614 fail_days : 57 of 61 settlement dates first_fail_date : 2026-01-02 last_fail_date : 2026-03-31 source : SEC fails-to-deliver register (FOIA monthly) regulatory_basis : SEC Rule 204 (Reg SHO close-out), SEC fails-to-deliver public dataset, SEC Rule 17a-5 code_version : capmarkets-engine@2026.05.01-capmarkets-2 (sha 2302757) model_version : capmarkets-v1 replay_command : jil-attest replay --bundle CMI-FTD-2026-04-30-A001
Deterministic, reproducible, court-defensible.
SQL aggregate, public dataset.
The check is a SQL aggregate over a public federal dataset. Same input register, same materialized view definition, same CUSIP-and-fail-day cohort, every run.
Rule-based verdict path.
The Tier 1 verdict path is rule-based. Ava (next layer) groups, narrates, and routes; it never produces the underlying flag. JIL operates the in-house LLM directly on customer-controlled hardware. No OpenAI, Anthropic, or Vertex API.
Bit-identical replay.
Every CREB™ carries the source-dataset hash, code version, materialized-view DDL, query plan, and signal thresholds. A third party with the same inputs replays the analysis bit-identically.
One kernel. Eight industries. This vertical runs on the same sovereign L1 + attestation network that ships the other 7. Kernel age: 18+ months. Adding a vertical: ~1 week. Competitor moat: build the kernel first.