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14.10.2021  

ECB QE Monitor - October 2021

Published October 14, 2021

5 to 10 minutes

5 to 10 minutes

Key points for September


  • ECB PEPP & APP: In September, total net purchase pace was around €95bn vs €81.8bn in August.
  • PEPP
    • Purchases amounted to €75bn in September compared to €65bn in August, consistent with a "moderately lower" pace of purchases following the September GC meeting. This brought the total purchases under PEPP to €1,412 billion out of an envelope of €1,850 billion usable until the end of March 2022.
    • The PEPP remains heavily oriented towards the public sector (around 97% of PEPP purchases). 
    • Detailed breakdown of PEPP for August-Sep21:
      • The share of Supras in public sector purchases stayed close to 10%.
      • The purchases were once again broadly in line with capital key allocations.
      • The average maturity of German and Dutch debts purchased under the pepp has stabilized.
  • APP
    • Purchases settled € 19.7bn in September vs. €16.7bn in August, in line with the monthly target of € 20bn. 
    • In September, APP by programme:  PSPP (€12.4bn; 63% of total), CSPP (€5.6bn; 28%), CBPP3 (€2.1bn; 11%) and ABSPP (€-0.5bn; -3%).
    • The average maturity of PSPP remains stable at 7.3 years in September.  
    • The average maturity of Supras continued to increase since October 2020 from 7.3 to 8.2 years.
    • Deviation of PSPP purchases from capital key proportions was in favour of France, Italy and Spain and against in Austria, Belgium and Supras, likely due to redemption smoothening.
    • APP redemptions in September 2021 amounted to €27.7bn, including € 23.7bn in PSPP. Between October 2021 and September 2022, total APP redemptions will amount to €280bn including €209bn of PSPP redemptions.

Our convictions


  • We expect the ECB to continue PEPP purchasing at its current pace close to  €70bn per month until year end and to use the residual envelope in Q1, or to taper it over H1 in order to smooth the path monthly purchases.
  • In 2022, we expect the ECB to maintain a noticeable pace of asset purchases by historical standards, calibrating QE size in order to absorb most of net issuance as in the last two years. 
  • ECB Philip Lane was recently quite explicit on the fact that ECB will calibrate QE next year taking also into account expected volumes of net supply : “You cannot think about the volume of the APP independently of the volume of net bond supply. The relatively high fiscal deficits that  saw last year and this year will not be lasting in the coming years, but the scale of deficits may remain higher than the pre-pandemic levels.”
  • We expect QE firepower for next year in the range of €600bn and €700bn in 2022. This could be done by increasing the current APP program from €20bn to a minimum of €40bn euros per month.
2021.10 - ECB QE Monitor - Graphic

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