Nomura have been dissecting German PSPP.......>

BUNDS: Nomura have been dissecting German PSPP activity and Renuka Fernandez has

constructed a model for estimating the Buba's holdings.

- Nomura identifies a pattern in what the German central bank does whereby "when

the pool of ECB-eligible bonds is highest, PSPP-German purchases tend to be

front-loaded (i.e., the maturity of buying is lower than would be implied by

weighted outstanding buying). When the pool of ECB-eligible bonds shrinks,

PSPP-purchases appear to be more evenly weighted across the curve."

- Fernandez concludes the piece with a trade idea "Room to buy on the longer end

of the curve (30y) looks small. This supports a tightening in 30y swap spreads

going into a possible autumn taper announcement. We look to initiate the trade

after the current summer slowdown, when liquidity costs should be lower."