It has been a while since wholesale shorting of Treasurys pushed them so far deep into negative territory that one needed a bigger chart to see just how little underlying collateral is available. This morning, following the most recent scramble to re-short the bond curve, we find that not only does the 5 Year continue to trade with negative repo rates for all of the past week, but that the 2 Year just cratered into super special territory, as the latest collateral shortage has manifested itself in the form of a -1.74% near "fail" rate for the 2 Year.
Of course, today's shortage may be merely a technical glitch ahead of auctions. As SMRA [6]notes, "drops like this are not uncommon for the 2-year, and often happen before its auction announcement. Issues tend to tighten prior to their auction announcements, and then often tighter further as the auction approaches. Tomorrow the details of next week's 2-year note auction will be announced."
Actually, they are rather uncommon, and as the following chart shows there have been only 4 such sharp "super special" repo episodes in the past year.
And while we expect the repo situation to renormalize once the recent surge in shorting reverses as it always does, and it certainly will in 2015 when central banks are poised to purchase more than 100% of all net issuance, a far more important question is why did the LBMA decide to no longer report the comparable metric for GOLD, the GOFO rate, which until January 31 provided a glimpse of how aggressively central banks are lending out gold in order to satisfy paper shorts. Now, that information is no longer available... perhaps at the special request of the BOJ which as explained previously now uses gold almost exclusively as a "funding" source [7] when it seeks to send the USDJPY, and hence the Nikkei, into the stratosphere.