The great bond shortage (thanks to Q€ monetizing well over 100% of the available net supply in 2015) is not just a European phenomenon this morning. As the latest repo data compiled by Stone McCarthy reveals, the "specials gallore" in the US as well, with the 3 Year (following yesterday's barnburner auction), the 10Y and the 30Y all trading special, i.e., sub zero, in repo, suggesting once again that there is a shortage of underlying paper.
From SMRA [4]:
There is a 10-year note auction this afternoon, which often causes the corresponding issue in repo to tighten. This morning is no exception, as the 10-year note is trading special at -174 basis points, the tightest it has been since June 13th of 2014. After the auction this afternoon it is likely pressure will ease off the 10-year note, and after the auction settlement March 16th the new on the run issue will likely trade near the general collateral rate.
The 3-year note continues to trade special this morning, though it has experienced a massive easing of pressure since yesterday. It will likely trade less and less tight until the auction settlement on Monday. The 5-year note has tightened, and the 30-year bond is trading special prior to the bond auction tomorrow. A couple of the off the run issues are trading tight as well. The off the run 2-year note is at -3 basis points and the off the run 30-year bond is at -4 basis points.
Whether this is just a function of recent/upcoming 3/10/30 bond auctions, or if Europe's central banks are quietly loading up on paper thus forcing another collateral squeeze is currently unknown.