A new study penned by among others Kauffman’s chief investment officer, Harold Bradley and vice president of research Robert E. Litan — a regulatory expert who has supervised financial investigations into NASDAQ and others — raises the alert on what they claim could be a canary in the coal mine in terms of systemic risk for the industry at large.

While the report is likely to prove controversial with some market practitioners — it certainly raises points which are worth investigating further.

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Of course, if you give up on the prospect of that security ever being delivered from the administrators of a defaulted party you might choose to close out your trade via an alternative. Say via the futures market. The fail itself, however, will continue to live on, cascading from day to day and so on. A fact which makes our source wonder if some of these long-lasting ETF fails are a residual factor from the Lehman bankruptcy?

Either way, this does remain a puzzle. And it makes sense to solve it — especially if somebody somewhere is making money continuously at someone else’s expense.