$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.
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-CHRONICDOLLAR-CRITICALETF-LIQUID |
| 2 | IWM | 464287655 | ISHARES RUSSELL 2000 ETF | 56 | $8,760,441,039.70 | FTD-CHRONICDOLLAR-CRITICALETF-LIQUID |
| 3 | LQD | 464287242 | ISHARES IBOXX $ INVESTMENT GRA | 51 | $7,464,137,082.40 | FTD-CHRONICDOLLAR-CRITICALETF-LIQUID |
| 4 | IVV | 464287200 | ISHARES CORE S&P 500 ETF | 24 | $7,089,412,553.83 | FTD-CHRONICDOLLAR-CRITICALETF-LIQUID |
| 5 | VOO | 922908363 | VANGUARD INDEX FDS S&P 500 ETF | 29 | $6,651,157,854.79 | FTD-CHRONICDOLLAR-CRITICALETF-LIQUID |
| 6 | HYG | 464288513 | ISHARES TR (HIGH YIELD CORP) | 55 | $4,322,724,767.09 | FTD-CHRONICDOLLAR-CRITICALETF-CREDIT |
| 7 | KRE | 78464A698 | SPDR S&P REGIONAL BANKING ETF | 49 | $4,130,670,074.98 | FTD-CHRONICDOLLAR-CRITICALETF-SECTOR |
| 8 | QQQ | 46090E103 | INVESCO QQQ TR | 57 | $4,054,345,915.70 | FTD-CHRONICDOLLAR-CRITICALETF-LIQUID |
| 9 | EFG | 464288885 | MSCI EAFE GROWTH ETF | 31 | $3,804,556,017.23 | FTD-CHRONICDOLLAR-CRITICALETF-INTL |
| 10 | IDEF | 09290C699 | BLACKROCK ISHARES DEFENSIVE | 36 | $3,542,724,859.35 | FTD-CHRONICDOLLAR-CRITICALETF-FACTOR |
| 11 | XBI | 78464A870 | SPDR S&P BIOTECH ETF | 55 | $2,506,224,877.62 | FTD-CHRONICDOLLAR-CRITICALETF-SECTOR |
| 12 | XLF | 81369Y605 | FINANCIAL SELECT SECTOR SPDR | 41 | $2,355,872,759.45 | FTD-CHRONICDOLLAR-CRITICALETF-SECTOR |
| 13 | GLD | 78463V107 | SPDR GOLD TR | 40 | $2,195,746,204.92 | FTD-CHRONICDOLLAR-CRITICALETF-COMMODITY |
| 14 | IGV | 464287515 | ISHARES EXPANDED TECH-SOFTWARE | 53 | $2,158,537,191.65 | FTD-CHRONICDOLLAR-CRITICALETF-SECTOR |
| 15 | SMH | 92189F676 | VANECK SEMICONDUCTOR ETF | 34 | $1,809,363,002.29 | FTD-CHRONICDOLLAR-CRITICALETF-SECTOR |
| 16 | AIA | 464288430 | ISHARES S&P ASIA 50 ETF | 33 | $1,775,410,086.69 | FTD-CHRONICDOLLAR-CRITICALETF-INTL |
| 17 | EMXC | 46434G764 | ISHARES MSCI EMERGING MKTS | 32 | $1,705,918,045.41 | FTD-CHRONICDOLLAR-CRITICALETF-INTL |
| 18 | TQQQ | 74347X831 | PROSHARES ULTRAPRO QQQ | 52 | $1,531,410,685.70 | FTD-CHRONICDOLLAR-CRITICALLEVERAGED |
| 19 | ACWX | 464288240 | ISHARES MSCI ACWI EX US ETF | 26 | $1,513,415,757.55 | FTD-CHRONICDOLLAR-CRITICALETF-INTL |
| 20 | IEUR | 46434V738 | ISHARES CORE MSCI EUROPE | 32 | $1,482,916,307.66 | FTD-CHRONICDOLLAR-CRITICALETF-INTL |
| 21 | WMT | 931142103 | WAL-MART INC (DE) | 27 | $1,406,854,350.77 | FTD-CHRONICDOLLAR-CRITICALSINGLE-STOCK |
| 22 | EEM | 464287234 | ISHARES MSCI EMERGING MARKETS | 39 | $1,335,734,459.18 | FTD-CHRONICDOLLAR-CRITICALETF-INTL |
| 23 | NXUS | 67092P672 | NUVEEN INTL AGG ETF | 26 | $1,279,864,185.46 | FTD-CHRONICDOLLAR-CRITICALETF-INTL |
| 24 | SCMB | 808524649 | SCHWAB STRATEGIC TR MUNI BD | 51 | $1,227,860,886.84 | FTD-CHRONICDOLLAR-CRITICALETF-MUNI |
| 25 | LMUB | 46438G448 | ISHARES LONG TERM NATL MUNI | 41 | $1,206,097,009.07 | FTD-CHRONICDOLLAR-CRITICALETF-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.
13 critical (severity = 'critical')
$1B+ chronic dollar exposure each. Headlines: SPY $13.0B, IWM $8.76B, LQD $7.46B, IVV $7.09B, VOO $6.65B. Liquid-ETF cohort dominates.
112 high (severity = 'high')
$10M-$1B chronic exposure each. Sector ETFs (XBI, XLF, IGV, SMH), single-name large-cap (WMT-class), international and EM trackers.
125 medium / low
$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.
cm_position_recon
Cross-system position reconciliation across custodian, broker, fund administrator, CSD. ISITC standards, SWIFT MT 535, SEC Rule 17a-5.
cm_nav_recalc
Independent NAV recalculation from underlying holdings. Flags deviations beyond the configured basis-point threshold. SEC Rule 22c-1, AICPA ICAAG.
cm_atomic_dvp
Two-leg atomic delivery-versus-payment verification. Detects partial-settlement events. BIS CPMI Principle 12, BIS Project Agora and Mariana.
cm_corp_action_entitlement
Independent entitlement recalculation from record-date positions and announced terms. Late processing detection. ISO 15022 / 20022, SMPG.
cm_sec_lending_recall
Recall window compliance and collateral substitution tracking. ISLA GMSLA, OCC stock loan rules, SEC Rule 15c3-3.
cm_ftd_pattern (this POC)
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.
Deterministic, reproducible, court-defensible.
Deterministic
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.
No external LLM
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.
Replay manifest
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.