Tuesday, June 8, 2010

ALERT: T-Bills Flashing Trouble

Treasury bill yields on 4-week paper closed at 0.09% at auction today, this is down from the last auction at 0.15%.

With a rate this low, it is signaling some major players want complete safety--zero risk tolerance for the very short-term.

As an alternative, overnight repo rates are at 0.20%. This means that more than double can be earned in the repo market--but some big time money is avoiding this to stay completely liquid and risk free.

If this isn't  a one or two day anomaly, serious players think something big on the downside is brewing.

The last time it was lower was just after flash crash Thursday:

Flash crash Thursday 05/06/2010, 0.06% and
the following day 05/07/2010, 0.08%

(Thanks to Michael Dunton at Mt. McKinley Bank for bringing this to my attention and for the data.)

1 comment:

  1. I saw that too. Short term trend is down at the short end of the curve, but it is probably exacerbated by the $26 billion 5 day cash mgmt bill auctioned yesterday, for which there was nearly no foreign participation. There is only one day's notice typically with cash mgmt bills, except those for the SLP.