J.P.Morgan Suggest That Auction Tails May Be Seasonal Not Structural

J.P.Morgan write that "notably, four consecutive coupon-bearing auctions
have tailed, including last week's 20-year reopening and 10-year TIPS
auction. While it is tempting to say that this reflects reduced end-user
demand with yields at or close to record low yield levels, and this could
be a warning sign as auction sizes are likely to continue to increase in
2H20, this small sample makes it difficult to make such a judgment. This
is also especially true, because Treasury liquidity tends to decline in the
summer, and we have observed a negative correlation between market
depth and temperature. Thus, with the Eastern Seaboard of the US in a
heat wave, and trading floors less populated due to summer vacations,
it's also possible this could be seasonal, rather than structural."