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13.12.2021

ECB QE Monitor - December 2021

Published 

13 December, 2021

5 to 10 minutes
13.12.2021
ECB QE Monitor - December 2021
Published 

13 December, 2021

5 to 10 minutes

Key Points


  • ECB PEPP & APP: In November, total net purchase pace was around €89.3bn vs €91bn in October.
  • PEPP
    • Purchases amounted to €68bn in November, in line with October and consistent with a moderately lower pace of purchases relative to Q2 and Q3 2021. This brought the total purchases under PEPP to €1,547bn out of an envelope of €1,850bn usable until the end of March 2022.
    • The PEPP remains heavily oriented towards the public sector (around 97% of PEPP purchases).
    • The ECB also published the bi-monthly detailed split for PEPP for Oct-Nov21 at this release:
      • The bimonthly public sector total for October-November stood at €132.5bn, broadly in line with August-September levels
      • The share of supras increased to 10.9% in October-November, the highest bimonthly level since the start of the programme
      • At the country level, purchases were once again broadly in line with capital key allocations.
  • APP
    • Purchases settled €21.2bn in November vs. €23.2bn in October, still slightly above with the monthly target of € 20bn.
    • In November, APP by programme: PSPP (€14.8bn; 69.7% of total), CSPP (€5.1bn; 24.3%), CBPP3 (€0.01bn; -0.06%) and ABSPP (€1.3bn; 6.1%).
    • This was the third month in a row that the share of public sector securities has fallen below 70% of the APP.
    • The average maturity of PSPP remained stable at 7.3 years in November. The average maturity of Supras increased since October 2020 from 7.3 to 8.2 years.
    • Deviation of PSPP purchases from capital key proportions was in favour of Germany (with €8.8bn, which represents more than half of PSPP net purchases ex-supras), France and Netherlands and against in Italy and Spain, likely due to redemption smoothening.
    • At an aggregate level, Germany continued to constitute the largest share of the PSPP portfolio, followed by France and Italy.
    • APP redemptions in November 2021 amounted to €19.8bn, including €13.8bn in PSPP. Between December 2021 and November 2022, total APP redemptions will amount to €291bn including €225bn of PSPP redemptions.

Our convictions


  • ECB will unveil more details regarding its political strategy for 2022 at the meeting on December 16. The new set of economic forecasts will be available. In 2022, we expect the ECB to maintain a noticeable pace of asset purchases relative to historical norms, calibrating the size of QE to absorb the bulk of net issuance as in the past two years. We also expect changes to TLTRO3 to be announced in December, with the last auction at current conditions taking place. Under this respect, Mrs Lagarde was quite explicit on the need to avoid cliff effects on outstanding liquidity, therefore indicating a likely gradual calibration of this tool, quite effective in keeping easy financing conditions in both pandemic and current recovery phase.
  • We estimate that the ECB's programs have nearly €383bn in combined net purchasing power until the end of March 2022, assuming full use of the purchasing power remaining in the PEPP and a net APP target of 20 billion euros / month.
  • We forecast QE firepower for next year in the order of 600 billion euros and 700 billion euros in 2022. This could be done by increasing the current APP program from 20 billion euros to a minimum of 40 billion euros per month.

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