Yesterday, when we commented on what was largely a pre-determined outcome of the Swiss gold referendum, we said that there still "is the question of what happens to the tension in the gold swap market: as noted last week, the 1 Month GOFO rate had tumbled to the most negative in over a decade. It was not clear if this collateral gold squeeze was the result of Swiss referendum overhang or due to other reasons. The market's reaction on Monday should answer those questions."
Well, a few hours ago we got the GOFO update for the "day after" and the answer is clear: it wasn't fear of the Swiss referendum after all because the 1 Month GOFO just crashed even deeper into negative territory with the entire curve through 6M now red, and with 12 month GOFO just 0.6 bps away from negative for the first time. At this rate, tomorrow's update will suggest that big institutions expect the gold swap shortage to persist through the end of 2015!
Also, judging by the gold reaction, which is about $50 from the overnight lows, someone else appears to have noticed that the rather shocking shortage of synthetic gold among institutions, which is finally seeping through into that whole "price discovery" process, where supply and demand actually matter.
Bottom line: whatever caused the record scramble for rehypothecated gold, it wasn't fears about the outcome of the Swiss referendum. Something else spooked the precious metal a month ago, and as seen on the chart above, things have only gotten progressively worse since then.