Now we are talking. Buying back the bonds would often not work as they may be booked at 100 in an HTM framework. So you have to set up a wash vehicle, borrow it from the owner, sell it to the treasury which ‘cancels’ it, then sells a par instrument to the wash, the wash strips it back into the…
.. Original bond and delivers it into the repo. No P&L on the owner’s side. The wash may be short a few coupon strips. For this you would need, as a final leg, repos to term with the CB.
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I have free lunches all the time