Capital Markets · live proof

$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.

339,992
FTD records ingested
14,156
Chronic-offender CUSIPs
$287.48B
Chronic dollar exposure
61 days
Window: 2026-01-02 to 2026-03-31
Section 01 · What the data is

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.

Section 02 · Tier 1 findings, top 25 chronic offenders

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
1SPY78462F103SPDR S&P 500 ETF TR57$13,009,099,970.90FTD-CHRONICDOLLAR-CRITICALETF-LIQUID
2IWM464287655ISHARES RUSSELL 2000 ETF56$8,760,441,039.70FTD-CHRONICDOLLAR-CRITICALETF-LIQUID
3LQD464287242ISHARES IBOXX $ INVESTMENT GRA51$7,464,137,082.40FTD-CHRONICDOLLAR-CRITICALETF-LIQUID
4IVV464287200ISHARES CORE S&P 500 ETF24$7,089,412,553.83FTD-CHRONICDOLLAR-CRITICALETF-LIQUID
5VOO922908363VANGUARD INDEX FDS S&P 500 ETF29$6,651,157,854.79FTD-CHRONICDOLLAR-CRITICALETF-LIQUID
6HYG464288513ISHARES TR (HIGH YIELD CORP)55$4,322,724,767.09FTD-CHRONICDOLLAR-CRITICALETF-CREDIT
7KRE78464A698SPDR S&P REGIONAL BANKING ETF49$4,130,670,074.98FTD-CHRONICDOLLAR-CRITICALETF-SECTOR
8QQQ46090E103INVESCO QQQ TR57$4,054,345,915.70FTD-CHRONICDOLLAR-CRITICALETF-LIQUID
9EFG464288885MSCI EAFE GROWTH ETF31$3,804,556,017.23FTD-CHRONICDOLLAR-CRITICALETF-INTL
10IDEF09290C699BLACKROCK ISHARES DEFENSIVE36$3,542,724,859.35FTD-CHRONICDOLLAR-CRITICALETF-FACTOR
11XBI78464A870SPDR S&P BIOTECH ETF55$2,506,224,877.62FTD-CHRONICDOLLAR-CRITICALETF-SECTOR
12XLF81369Y605FINANCIAL SELECT SECTOR SPDR41$2,355,872,759.45FTD-CHRONICDOLLAR-CRITICALETF-SECTOR
13GLD78463V107SPDR GOLD TR40$2,195,746,204.92FTD-CHRONICDOLLAR-CRITICALETF-COMMODITY
14IGV464287515ISHARES EXPANDED TECH-SOFTWARE53$2,158,537,191.65FTD-CHRONICDOLLAR-CRITICALETF-SECTOR
15SMH92189F676VANECK SEMICONDUCTOR ETF34$1,809,363,002.29FTD-CHRONICDOLLAR-CRITICALETF-SECTOR
16AIA464288430ISHARES S&P ASIA 50 ETF33$1,775,410,086.69FTD-CHRONICDOLLAR-CRITICALETF-INTL
17EMXC46434G764ISHARES MSCI EMERGING MKTS32$1,705,918,045.41FTD-CHRONICDOLLAR-CRITICALETF-INTL
18TQQQ74347X831PROSHARES ULTRAPRO QQQ52$1,531,410,685.70FTD-CHRONICDOLLAR-CRITICALLEVERAGED
19ACWX464288240ISHARES MSCI ACWI EX US ETF26$1,513,415,757.55FTD-CHRONICDOLLAR-CRITICALETF-INTL
20IEUR46434V738ISHARES CORE MSCI EUROPE32$1,482,916,307.66FTD-CHRONICDOLLAR-CRITICALETF-INTL
21WMT931142103WAL-MART INC (DE)27$1,406,854,350.77FTD-CHRONICDOLLAR-CRITICALSINGLE-STOCK
22EEM464287234ISHARES MSCI EMERGING MARKETS39$1,335,734,459.18FTD-CHRONICDOLLAR-CRITICALETF-INTL
23NXUS67092P672NUVEEN INTL AGG ETF26$1,279,864,185.46FTD-CHRONICDOLLAR-CRITICALETF-INTL
24SCMB808524649SCHWAB STRATEGIC TR MUNI BD51$1,227,860,886.84FTD-CHRONICDOLLAR-CRITICALETF-MUNI
25LMUB46438G448ISHARES LONG TERM NATL MUNI41$1,206,097,009.07FTD-CHRONICDOLLAR-CRITICALETF-MUNI
Reality check. The top of this list is structurally chronic. SPY, IWM, IVV, VOO, QQQ are the most-traded ETFs on the planet; some level of chronic FTD exposure is expected and reflects natural market-making activity, ETF creation/redemption asymmetry, and operational settlement gaps that rarely indicate fraud. The value of this surface is that it gives custodians, prime brokers, and CSDs a single court-defensible reference point: the same federal dataset that DTCC, ESMA, FINRA, and SEC enforcement reference. Routing each chronic CUSIP through Ava (next section) is what separates expected liquidity-driven FTD from genuine reconciliation failure or naked-short signal.
Section 03 · Severity distribution of the 250 highest-impact findings

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.

Section 04 · The 5 capmarkets-engine checks

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.

Section 05 · Sample CREB (Court Ready Evidence Bundle)

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
Section 06 · Methodology and replayability

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.

Reality check. Statistical FTD outliers are not adjudicated fraud. The value of capmarkets-engine for an institutional buyer is not "list of bad actors" - it is "list of cohort outliers, sorted, with each finding's reconciliation-pathway and cost pre-computed". Ava layers on top, separating expected liquidity-driven FTD from genuine reconciliation failure or naked-short signal. Real customer engagements add the customer's own settlement records, position files, and counterparty records, which surface the layered checks in Sections 04 above.
Built on the JIL Settlement Engine

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.

See the engine ->