Treasury Repo & Short Position Squeeze Calculator

Market Parameters

Live Input

Newly Issued Treasury Supply $75B

Total volume of on-the-run short-term debt issued

General Collateral (GC) Rate 5.32%

Benchmark baseline borrowing cost across generic collateral

Special Repo Borrowing Cost 7.85%

Specific repo rate to source scarce newly issued notes

Dealer Short Position Ratio 42.0%

Proportion of dealers/investors running short positioning

Upcoming Debt Auction Size $65B

Scheduled US Treasury auction issuance volume

Primary Dealer Balance Sheet Cap $80B

Available dealer collateral intermediary bandwidth

Projected Repo Spread

2.53%

+253 bps premium

Squeeze Pressure Index

78.4

Severe Strain

Auction Support Score

High (Positive Absorption)

Mandatory Covering

Failure-to-Deliver Risk

3.8%

Elevated Fails

Market Regime Status

Active Short Squeeze

Funding Distortion

Borrowing Cost Spike vs. Auction Covering Mechanics

Special Repo Curve (%)

Auction Bid-to-Cover Support

GC Baseline (%)

Bloomberg Terminal Market Dynamics & Transmission

1. Short Positions Drive Repo "Specials"

When macro hedge funds and dealer desks establish aggressive short positions against recently issued Treasuries, they must borrow the specific CUSIP in the repo market. If demand exceeds float, the security goes "on special," widening the spread over General Collateral (GC).

2. Why This Supports Upcoming Auctions

Squeezed short sellers face mounting funding negative carry. To close out borrows or take profit, dealers must bid aggressively at the upcoming debt auction to acquire physical supply, creating reliable non-discretionary bidding and dampening auction tail risk.

Simulating live Treasury transmission mechanics • Pure client-side execution