QE purchases slowed to a mere EUR60bn in December. The slowdown is some EUR5bn lower than we had expected based on the September-November frontloading. Monthly net purchases in December amounted to EUR55.0bn in the Public Sector Purchase Programme (PSPP), EUR3.9bn in the Corporate Sector Purchase Programme (CSPP) and EUR0.7bn in the Covered Bond Purchase Programme (CBPP3), while the Asset-backed Securities Purchase Programme (ABSPP) decreased by EUR316m.
The very low EGB yield level combined with the -40bp deposit pushed the ECB out on the curve in core/semi-core. In Germany, monthly average maturity increased to 12.1 years, which is a new all-time high. New highs in the average maturity of monthly purchases were also hit in the Netherlands. As of 2 January, QE purchases below depo are now permitted 'to the extent necessary'. Hence, average maturity is set to decrease this year. The interesting part will be by how much.
For an overview of 2017 QE and how it compares with expected supply, see FI Research: EUR FI - guide to Q1 issuance and thoughts on supply vs QE in 2017, 1 January.
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