The QE figures for August showed an increase in the PSPP purchase relative to the private sector programmes (CBPP3, ABPP, CSPP). In August more than 90% of the monthly QE of EUR25bn was spen t on the public sector bonds rather than the private sector bonds (ABS, covered and corporate bonds).
September will be the last month where the ECB will buy EUR30bn before scaling down to EUR15bn until year-end. We expect that PSPP will continue to have a share of the QE even when the QE is scaled down to EUR15bn.
There were very little redemptions in August. Italy had one bond that matured on 1 August, but that was mainly held by the SMP portfolio, where redemptions are not reinvested. This can be seen from the weekly statements from ECB.
Looking at the individual countries , the ECB continue s to buy more in Finland, Portugal and Ireland as shown on the charts on page 2. However, purchase s in both France and Italy are being scaled down as ECB/NCBs ha ve been buying above the capital key in these countries.
Trading conclusion . Given the purchase in Finland and Ireland , we see room for a spread tightening between Finish government bonds versus core-EU. The same goes for Ireland. We favour the 10Y to 15Y segment on the Finnish and Irish government bond curves.
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