The details of the announced QE programme were much clearer than we are used to when the ECB launches new measures (see Draghi Delivers: ECB's bazooka in detail and market implications , 23 January. However, there was one topic where Mario Draghi was a bit unclear. The 33% holding cap (including SMP holdings) and the 25% ISIN cap.
The caps are likely to have implications only for Greece, before September 2016. GGB purchases will be limited by the caps and not start before the July 2015 redemption.
Portugal is set to be the biggest beneficiary of ECB QE. ECB holdings of PGBs could potentially even exceed the 25% issue cap (including SMP holdings). Portugal is likely to reach the 25% issue limit during Q4 16 but the cap could also be a limitation in core countries such as Germany and Finland if the programme is extended beyond September 2016. Purchases in Ireland, Spain and Italy should not be affected by the ECB caps.
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