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14.04.2022

ECB QE Monitor - April 2022

Published 

14 April, 2022

5 to 10 minutes
14.04.2022
ECB QE Monitor - April 2022
Published 

14 April, 2022

5 to 10 minutes

Key Points


  • ECB PEPP & APP: total net purchase pace amounted to €52bn in March vs €61bn in February 2022.

 

  • PEPP
    • The PEPP ended in March with €1.7bn in purchases out of an envelope of €1.85bn.
    • The pace of PEPP purchases peaked in June 2020 and in July 2021 (€85bn). Since July 2021, the pace declined, reaching €30bn in March 2022. o 97% of purchases were in the public sector. The share of supranational was below the original target of 10%, increasing as EU supply increased.
    • The weight average maturities of Public Sector Securities holdings increased sharply for Germany and Netherlands during the PEPP period.
    • Capital key deviations were limited under the program. We could note an upside capital key deviation in favor of Italy in February-March 2022.

 

  • APP
    • Purchases amounted to €22bn in March 2022 above the monthly target of € 20bn. The pace of purchases in the second quarter was announced by the ECB €40bn in April, €30bn in May and €20bn in June.
    • Corporate purchases remain strong. The share of corporate sector stocks (37%) was above the average monthly level over the last 12 months (27%).
    • In March APP by programme: PSPP (€14.2bn; 64.6% of total), CSPP (€8bn; 36.6%), CBPP3 (€-0.61bn; -2.76%) and ABSPP (€0.3bn; 1.5%).
    • In March, deviation of PSPP purchases from capital key proportions was in favour of France, Italy and Germany.
    • In March, the average maturity of PSPP remained stable at 7.2 years. o APP redemptions in March 2022 amounted to €21.8bn, including €12.6bn in PSPP. Between April 2022 and March 2023, total APP redemptions will amount to €284bn including €187bn of PSPP redemptions.

 

  • Q1 ECB QE vs EMU-10 EGB net issuance
    • In Q1 ECB overall net purchases (PEPP + PSPP) of EMU-10 EGB totaled more than EUR 140bn Euros, absorbing roughly three quarters of overall net issuance settled in the first three months of the year, close to EUR 186bn.
    • Among core countries, ECB purchases largely out weighted net issuance of German bunds, while they covered for roughly half of French net bond issuance. Among periphery countries, QE flows absorbed a high proportion of Italian net issuance (roughly 80%) and more than half of Spanish net issuance.
    • The progress in yearly net funding reached by EMU-10 countries has been overall remarkable in Q1, as in the first three months of the year it reached half of projected net supply for the entire 2022: among major countries, France and Italy were the most active in primary market activity, reaching a volume of net supply close to 60% of projected yearly net issuance.
    • The combination of the progress in net funding and QE flows means that year to date ECB QE (mainly thanks to remaining PEPP purchases) covered for almost 40% of EMU-10 overall yearly net funding, although with quite different proportions from country to country.
RC - ECB QE Monitor - April 2022

Lexicon

PSPP: Public Sector Purchase Programme;

APP: Asset Purchase Programme;

CSPP: Corporate Sector Purchase Programme;

CBPP: Covered Bond Purchase Programme;

SMP: Security Market Programme;

ABSPP: Asset Back-Backed Securities Purchase Programme.

PEPP: Pandemic Emergency Purchase Programme


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