Via a longer piece from Nordea on the Fed and ECN balance sheets, these few words seem to be where we are at in a nutshell ….

  • we ultimately think that USD liquidity is king (no one needs all the damn EURs and JPYs that ECB and BoJ are printing)

Oh dear :-D

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OK, here is a little more that, while less pithy, is even more interesting, it follows on from the above:

  • we have found some interesting patterns on TLTRO-settlement days.
  • On days when EUR liquidity has entered the financial system in size via TLTROs, it has often been a good idea to be long EURCHF and short EURSEK (81% hit ratio) - i.e. risk on!
  • The first TLTRO-III allotment was though a yuuuge disappointment (a mere 3.4bn EUR), so we don't expect a big effect when the liquidity enters the system on Wednesday the 25th.