As US curve bear flattens with xccy swap costs it must be low/neg carry for Eurozone banks to hold treasuries and swaps. They bought ~USD600bn of Treasuries after 2012 as part of EU QE leakage and swap spreads also went negative.
Unwind of this is pressuring the
USD/ Euro exchange rate, pushing swap spreads to positive and pushing up
the overall belly of the US curve?
This is transmission of QE unwind/ Fed rate hikes.
Thought Kevin Muir's comments here were interesting:
EU QE leakage:
Just looking through the numbrs above the main EU countries and Cayman have bought about $100bn more in the year to November. Cayman is flattish YoY but should be a source for a fair amount of the EU holding.