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ECB QE Monitor – December 07, 2016

The essential

The Eurosystem started its QE on March 9 2015 (decision to purchase €60 bn of assets per month until Sept. 2016), decided on December 3 2015 to extend it until March 2017 and decided on March 10 2016 to increase monthly purchases from €60 bn to €80 bn from April 2016. For the time being, the Eurosystem has already purchased € 1452 bn of assets under the expanded APP since March 2015, including € 1212 bn under the Public Sector purchase Programme (PSPP) and € 48 bn under the Corporate Sector Purchase Programme (CSPP), and still has to buy € 287 bn of assets until March 2017.

 

Key points for this month

  • The pace Eurosystem’s purchases slowed over the last 2 weeks of November (considering the pace of weekly purchases), to around € 18 bn per week, including € 14 bn of sovereign bonds.
  • The average maturity of the German PSPP securities declined slightly but remained high (just above 10 years for November purchases) and sharply in the case of France (just 8 years for November purchases, back to the pre - summer 2016 levels). The trend is a (limited) decline of the average maturity for the Italian and Spanish purchases.
  • The intensity of the deviation from the capital key rule declined (but very slightly) in November. The share of sovereign bonds purchased under PSPP in November remained above the capital key weight in the case of Germany, France, Italy and Spain and below in the case of Portugal, Slovakia, Slovenia and Latvia.
  • The stock of PSPP securities held by the Eurosystem accounts for € 1.2 trn. Note that Eurozone banks’ excess reserves also hit € 1.2 trn. The stock of German PSPP securities held by the Eurosystem reached € 290 bn and accounts for €230 and €200 bn for France and Italy respectively.
  • The pace of CSPP purchases remained approximately stable around €2 bn per week.
  • The ECB balance sheet size hit a new all-time high (above €3.5 trn).
Philippe ITHURBIDE, Global Head of Research, Strategy and Analysis at Amundi

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ECB QE Monitor – December 07, 2016
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