Key points for this month:
- For the first time, the ECB has published figures about forthcoming APP redemptions. As highlighted by Mario Draghi during his latest press conference, the PSPP redemptions will clearly rise in 2018 and will account for 101 bn in the 12 coming months. By making the assumption that the APP’s subcomponents keep the same weight, we come to the conclusion that monthly gross purchases under the PSPP (net purchases + reinvestments) will decline in 2018 but that they will remain between 30 to 50 bn per month until September 2018.
- Both PSPP holdings and banks’ excess reserves reached €1.8 trn.
- The deviation from the capital key rule kept approximately the same magnitude as in August and September.
- The average maturity of the Italian PSPP purchases has dropped, just above 6 years in October. On the contrary, it has risen strongly in France and Spain.
- For the first time, the ECB figures indicate that the net purchases of Irish securities have been negative (-32 million in October), possibly suggesting that the issuer share limit has been hit. Ireland is supposed to represent 1.7% of PSPP purchases ex-supra.
- Following the October 26 Governing Council, long-term yields have declined slightly and credit spreads contracted.
November 06, 2017