“WAM!” The “Holy Schatz” Mystery Is Solved

Recall last month's "holy Schatz!" drama. The front end of the German curve richened materially on a combination of i) ECB buying below the depo rate, and ii) a safe haven bid attributable to French election risk. This created all manner of aberrations and distortions, including but (probably) not limited to, i) iTraxx Main trading inside 2Y swap spreads, ii) an explosion in negative spread corporates, which was ironically catalyzed by CSPP. There was quite a bit of debate about the extent