The QE purchases were reduced to EUR60bn in August due to the expected summer slowdown. Looking ahead, we expect QE purchases to increase to around EUR85bn the next three months due to frontloading ahead of the slowdown again in December. The monthly net purchases in August amounted to EUR50.5bn in the PSPP, EUR6.7bn in the CSPP, EUR3.5bn in the CBPP3, while ABSPP actually decreased EUR226m. Aggregate PSPP holding surpassed EUR1trn in August.
The very low EGB yield level combined with the -40bp deposit is still pushing ECB out on the curve in core/ semi-core. In Germany, the monthly average maturity increased to 10.9 years, which is a new all-time high). In Germany, 62% of the market (market value) is trading with a yield below -40bp and thereby not eligible for QE. New highs in the average maturity on the monthly purchases were hit in most core/semi-cores.
Purchases in Portugal and Ireland are still running below what the capital key would have suggested. The slowdown relative to other sovereigns is due to the issue/issuer limit.
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