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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

BELLAÏCHE Mickael , Fixed Income Strategist
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ECB QE Monitor - May 2020
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