TLTRO Repayment Comes In Low: Relief For Euribor But Not For Swap Spreads

The early TLTRO repayment of E296.23bln (of E2.1T outstanding) in the November window was definitely at the very low end of expectations, which went as high as E1.5T.

• The bulk of it is E212.4bln by 174 counterparties in the June 18 2020 tender (which had E1.3T allotted originally, maturing June 2023 - the majority of outstanding TLTROs).
• Expectations were divided whether either the Nov or Dec or Jan windows would be the busiest.
• But the tick higher in ER contracts suggests some relief that liquidity wasn't drained too quickly going into year-end, with perhaps some caution by banks on that front.
• German swap spreads are a little wider too, perhaps surprisingly so given that expectations weren't too strong that quality collateral would have been released following the repayments anyway.