There was a rather concerning auction of Spanish bills on Tuesday morning. Rarely does the front-end of the curve get this much attention. Via Reuters: RTRS-SPAIN SAYS 3-MONTH BILL AVERAGE YIELD 5.110 PCT VS 2.292 PCT AT PREVIOUS AUCTION RTRS-SPAIN SAYS 6-MONTH BILL AVERAGE YIELD 5.227 PCT VS 3.302 PCT AT PREVIOUS AUCTION 5.1 per cent for three month money! These really could be the Last Days of the Euro. Still, demand was strong. RTRS-SPAIN SAYS 3-MONTH BID TO COVER RATIO 2.9 VS 3.1 AT PREVIOUS AUCTION RTRS-SPAIN SAYS 6-MONTH BID TO COVER RATIO 4.9 VS 2.6 AT PREVIOUS AUCTION Presumably from local banks desperate for something to repo at the ECB. http://ftalphaville.ft.com/blog/2011/11/22/757931/spain-pays-5-3-for-three-month-money/ Almost double the rate a month ago....Ridiculous.