[T]his disparate level of penalties between the exchange (stiff penalty) and repo (basically no penalty) is precisely the play Deutsche Bank AG did in their Bobl squeeze in March 2001.
They simply didn’t return the bonds they had reverse repoed on time and said: “Whatchu gonna do, b*tch? I’ll tell you what you’re gonna do: Nothing. So shut up and pay up on these Bobl Futures.”
Rumors had it they made like 50 million on that one. Not bad for 1 week of work.