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title: "House Oversight: Estate Documents (Nov 12) (HOUSE_OVERSIGHT_014751)"
source: "House Oversight: Estate Documents (Nov 12)"
sourceUrl: "https://www.justice.gov/epstein"
date: "2026-01-01"
category: "House Oversight"
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Chart 38: Low repo rates and ECB QE tapering push 10s to pre-QE levels
Chart 39: 10y Germany is historically cheap on the OlS curve
20
40
Periphery blow-out
ECB QElannounc. Brexit
OlS-Bund spread
10
0
35
30
25
-10
20
15
-20
10
-30
5
- 255s
2510p
-40 +
Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16
Source: BofA Merrill Lynch Global Research
0 +
Jan-15 Apr-15 Jul-15
Source: BofA Merrill Lynch Global Research
Oct-15 Jan-16 Apr-16 Jul-16 Oct-16
10s would be particularly supported if the ECB increases the holding limit of non-CaC
bonds to 50% - a tweak we see as the most likely. Also, given the already stretched
valuations in the Zy, we think a rise in geopolitical risks or a blow-out in peripheral
spreads would increase collateral values of 5s and 10s more than the front-end - as
happened during the first BTP spread widening in 2011 or the Brexit referendum.
We recommend investors go long the DBR Aug26 vs OIS and short the BKO Dec18
Is OIS at current levels of -17bp, targeting 14bp and with a stop at -34bp. The
position has 1.1 bp in 3m Carry and Roll. The main risk in the short term is ECB OE
failure, while tighter short-maturity securities supply or lending is the main risk over the
longer term.
Bankof America T
Merrill Lynch
Global Rates, FX & EM 2017 Year Ahead | 16 November 2016
21
HOUSE_OVERSIGHT_014751
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