The European Central Bank is likely to issue debt certificates or bills in a matter of weeks in response to a TLTRO repayment figure below €200b to €300b on Friday. This leads us to think that, even if the whole €460b of general government securities currently encumbered at the ECB was released, the impact on the pricing of collateral trading special in € repo markets would be negligible.
Shorting German front-end is unlikely to become cheaper after Nov. 23, when the early repayment settles.
Yet, an underwhelming repayment is likely to prompt the ECB to act on the collateral scarcity front – possibly by issuing debt certificates or bills. Recommend fading any widening of schatz for December delivery against ESTR in response to small TLTRO repayments. - Citi Strategy
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