Key points for this month:
· ECB programs: €1000bn of purchasing power by the end of 2020 or €110bn/month
- APP (Asset Purchase Programme) : 20 billion euros per month and a temporary envelope of €120bn euros spread over March-December.
- PEPP (Pandemic Emergency Purchase Programme): €750bn spread over April-December.
· The ECB is accelerating the pace of asset purchases
- In March, the ECB bought €66.5bn of assets :
- APP (€20bn +€31.1bn) and PEPP (€15.4bn).
- In recent days, the ECB has accelerated its pace of purchases.
- The ECB spent €30.2bn in the first 7 days of its PEEP programme. This corresponds to a monthly pace of €97bn/months.
· Net purchases by country: massive skewed toward Italy, Spain and France (PEPP not included)
- APP breakdown by country: Italy (€11.9bn), French (€8.9bn), Spain (€5.4bn) and Germany (€2.0bn).
- The ECB is deviated massively from capital keys in favour of Italy, France and Spain against Germany and the Netherlands.
· Net purchases by program (PEPP not included)
- APP breakdown by programme: PSPP (€37.3bn), CSPP (€7bn), CBPP3 (€3.9bn) and ABSPP (€2.9bn).
- CSPP rose to €7bn. This is the highest since the end of 2017.
· PEPP : no data available yet on the breakdown by country/programmes
- PEPP could be reported independently from the APP.
- PEPP is much more flexible:
- No issuer limit, shorter maturities, and non-commercial paper eligible.
- The benchmark allocation across jurisdictions will be the capital key of the national central banks. At the same time, purchases will be conducted in a flexible manner.
- The ECB has approximately €1000bn of purchasing power by the end of 2020.
- This is far below Fed’s volumes: the Fed is now buying assets at an unprecedented pace roughly $1000bn per month!
- The rapid pace of QE under PEPP so far has not driven a squeeze in EGB spreads.