QE Details: Continued Support To Portugal, Ireland And Finland

Published 06/05/2018, 02:04 AM

The QE figures for May showed the PSPP share remained around 77% of the total EUR30bn APP purchase volume (EUR31.6bn in May). The share has been larger over the past couple of months since the new purchase rate as of January 2018. We continue to expect around 70% of the total APP will be allocated to the PSPP.

In Germany, we saw a rebound in the monthly PSPP purchases relative to capital key after large redemptions in April. In Italy, PSPP purchases were below capital key, but there were some significant redemptions in Italy in May, e.g. BTPS 0.25% May-18. In contrast, monthly PSPP purchases were above capital key in Portugal, Ireland and Finland, reducing some of the PSPP 'slack' from cumulative capital key deviation.

The weighted average maturity of German PSPP purchases fell back to 6.6 years, after some volatile months. As there were no major redemptions in Germany in May, this month's figure is likely less distorted than previously.

Looking ahead, PSPP holdings worth EUR11.6bn and EUR16.1bn will mature in Jun-18 and Jul-18. The additional redemption details covering May-19 underscore the presence of redemptions and illustrate why the ECB puts great emphasis on this. Total PSPP redemptions through to May-19 are EUR149.9bn, albeit with some seasonality.

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