ECB QE Monitor - May 2020

Key points for this month: · Central Banks: interest rates near zero The Fed kept its interest rates unchanged. The ECB kept its interest rates unchanged. No movement on BoJ interest rates since 2016. · APP and PEPP: breakdown by program In May, ECB net asset purchases reached €38.2bn under APP and €116bn under PEPP. In May APP by programme: PSPP (€29bn; 75.8% of total), CSPP (€5.4bn; 14.2%), CBPP3 (€3.8bn;9.9%) and ABSPP (€0bn; 0%).

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·Central Banks: massive extension of balance sheets

• The envelope for the pandemic emergency purchase programme (PEPP) increased by €600bn to a total of €1,350bn. The horizon for the purchases was extended to at least the end of June 2021 (from the end of this year previously).
• The Fed announced unlimited purchases of Treasuries and MBS. Powell said that the central bank’s holdings “can’t go to infinity.”

· Eurosystem’s purchases from March to May

• Under the PEPP and CSPP, the ECB bought on average per month:
  • €100/110bn of sovereign debt
  • €10/15bn of corporate debt
  • €15bn of commercial paper

· APP reinvestment :

• PSPP reinvestment will average €16.4bn/month over the next 12 months, up from €14.6bn in the past
  12 months.
• CSPP reinvestment will average €1.4bn/month over the next 12 months

· Stock of the Eurosystem’s asset purchase program

• As of 29 May 2020, the Eurosystem’s asset holdings reached €2,743bn. Breakdown by program:
  • PSPP: €2,218bn (81% of total holdings)
  • CSPP: €213bn (8%)
  • CBPP3: €281bn (10%)
  • ABSPP: €31bn (1%)
• The share of corporate debt purchases continues to increase since the program's resumption.
• Since November 2019 (Restart ECB QE), the proportion of PSPP purchases relative to the APP is 69% which is significantly lower than the proportion of 80% that the ECB bought until December 2018.

Amundi Research
May, 2020