TREASURY AUCTION CRISIS DETECTOR
Live US Treasury auction stress detection. 6 quantified pattern signatures extracted from 9 historical auction PDFs covering 2008-09-17 (Lehman week), 2020-03-19/26 (COVID liquidity crisis + Fed bazooka), 2021-10-21 (crypto top complacency), and 2024 normal market. Hourly refresh from api.fiscaldata.treasury.gov.
SIX CRISIS INDICATORS
RECENT AUCTIONS · LAST 10
HISTORICAL REFERENCE — WHAT CRISIS LOOKS LIKE
METHODOLOGY — HOW THE 6 PATTERNS WORK
1. Zero-rate bill floor. Historical pattern: when policy rates are positive but bills auction with low rate ≤ 0.001%, money is parking at any cost. Saw this on Sep 17, 18, 23, 2008 (all 0.000% lows in Lehman week) and Mar 19, 26, 2020 (COVID liquidity crisis). Doesn't fire when Fed is at zero-bound by policy — only when investors voluntarily abandon yield. Fires score 100 when low_rate < 0.001 with Fed funds > 1%.
2. Bid-to-cover extremes. 2020-Mar-26 hit BTC 4.74 on the 28-day bill — historic high — pure flight to safety after the Fed bazooka. Conversely, BTC < 2.0 on coupons signals near-failed-auction. Z-scored against bill-vs-coupon-specific baselines computed from the 2024 normal-market sample.
3. Allotted-at-high tail stress. 2024-10-09 had AAH = 99.31% on the 10-year — meaning 99% of accepted bids were at the highest yield = dealers got stuck with the tail. Correctly flagged the November 2024 vol setup. Score fires > 90% on coupons OR very low (< 20%) on bills during stress (panic clustering).
4. Primary dealer absorption. When other bidders step back, dealers must absorb supply. 2008-09-18 had PD share = 69% on the 76-day bill — extreme. 2024 normal: PD share 14-24%. Score fires > 35% on coupons, > 50% = GFC-extreme.
5. Indirect (foreign) collapse. Foreign central banks bid through the New York Fed (indirect). 2008-09-18 indirect share = 29% (collapse). 2024 normal: 60-78%. Score fires < 50% on coupons during USD-stress periods. Diagnostic for foreign demand exodus.
6. Bill issuance explosion. Trailing 4-week bill issuance vs. trailing 1-year average. 2020-Mar saw $60B bills issued in one auction — multiple times normal size. Fires > +30% above 1Y baseline = Treasury liquidity injection or fiscal panic.
Composite formula: 70% × max-indicator + 30% × avg-indicator, weighted by accepted size over trailing 14 days. Issuance-explosion adds up to 15 points overlay.