The power of DRS and "Idiosyncratic Factors" increases the pain for short sellers and settlement fails in corporate securities. As a fraction of trading volume, fails that involve primary dealers reached an all-time high in the week of March 23, 2022

DRS Numbers from Gamestop quarter fillings.

From a larger post about this data:

Authors’ calculations, based on data from the Federal Reserve’s FR 2004 reports; Mergent FISD; and the Securities and Exchange Commission.

Notes: The chart plots average daily corporate fails (blue) in billions per day against

(i) corporate issuance in billions per week as a twelve-week moving average,
(ii) bond ETF fails in millions per day as a twenty-one trading day moving average for the largest investment grade and high yield bond ETFs by market capitalization,
(iii) an HHI measure that equals the sum of squared weekly shares of fails across primary dealers multiplied by 10,000, and
(iv) the fitted value from a regression model that controls for trading volume, corporate issuance, bond ETF fails, the HHI measure, and seasonal effects.
They calculate weekly new issuance as of the end of Wednesday and apply the following conditions to better align with the FR 2004 definition of corporate securities: include only corporate bonds that are USD denominated issues, include only bonds by U.S. domiciled issuers, and exclude non-convertible bonds and issues with zero offering amount.
Issuance, ETF Activity, and Idiosyncratic Factors Help Explain Fails.

TLDRS:

The power of DRS and "Idiosyncratic Factors" increases the pain for short sellers and settlement fails in corporate securities.
As a fraction of trading volume, fails that involve primary dealers reached an all-time high in the week of March 23, 2022 while borrow rate spiked.