Securities settlement fails network and buy‑in strategies

Pedro Gurrola-Perez (), Jieshuang He () and Gary Harper ()
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Pedro Gurrola-Perez: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Jieshuang He: The Chinese University of Hong Kong
Gary Harper: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Authors registered in the RePEc Author Service: Pedro Gurrola Perez

No 821, Bank of England working papers from Bank of England

Abstract: In the context of securities settlement, a trade is said to fail if on the settlement date either the seller does not deliver the securities or the buyer does not deliver funds. Settlement fails may have consequences for the parties directly involved and for the system as a whole. Chains of fails, for example, could lead to gridlock situations and large volume of fails can affect the liquidity and smooth functioning of financial markets. In this paper, we consider UK government bonds (gilts) and UK equities settlement data to examine the determinants of settlement fails and to explore the network characteristics of chains of settlement fails with the aim of identifying an optimal strategy to conduct a buy‑in process that could resolve cascades of fails.

Keywords: Settlement; post-trade process; settlement discipline; cascade effects; buy-in (search for similar items in EconPapers)
JEL-codes: E42 G23 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2019-09-06
New Economics Papers: this item is included in nep-mac and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0821

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