Fig. 1: Share of PSPP, ABSPP and CBPP3 in the
ECB’s asset purchase programme
Fig. 2: Monthly deviations from ECB capital key
weighting in GE, IT, FR, SPA & POR
Sources: BNP Paribas, ECB Sources: BNP Paribas , ECB
G10 INTEREST RATES
Table 2: History of average maturity of monthly
PSPP purchases per country in years
(note the technical effect of redemptions*)
Sources: BNP Paribas, ECB.
Agne Stengeryte, Europe Rates Strategist | BNP Paribas London Branch
November’s frontloading less than expected: As expected,
the ECB’s monthly net APP increased by EUR15.32bn in
October, above the new EUR15bn/month APP pace
introduced in October, but less than would be implied by
previous years’ pattern. November purchases have on
average amounted to 105% of the APP monthly target in the
last three years versus 102% this year.
Purchases above EUR15bn in December appear likely:
With the APP EUR0.6bn short of the EUR300bn target year-
to-date, December could see slightly more than EUR15bn of
net APP purchases, despite a typical APP slowdown in
December (over the past three years, December’s net monthly
APP purchaseshave amounted to 81% of the annual APP).
Net PSPP purchases are likely to plateau from here…:
Assuming a 70% PSPP share on average, net PSPP
purchases is likely to remain at around November’s levels, ie,
EUR10.9bn in December versus EUR10.1bn in November.
… but gross PSPP is likely to rise into the year end:
Despite gross PSPP (ie, PSPP purchases including
reinvestments) having peaked for 2018 in October at
EUR31bn, November’s gross PSPP purchases (estimated at
EU15bn) is likely to be the trough of the year, given a likely
slight rebound towards EUR23bn in December on an increase
in PSPP redemptions (EUR4.8bn in November to EUR12.3bn
in December, according to ECB data) and still somewhat front-
loaded APP purchases.
Deviation versus the capital keys most pronounced in
Spain and France: Spanish net PSPP purchases, amounting
to EUR2.5bn, appeared elevated at nearly 15% above the
capital key, most likely reflecting October’s SPGB redemption
reinvestments being brought over to November (in October,
the deviation was 12% below the capital, likely indicating that
SPGB redemptions exceeded October’s reinvestment amount,
Fig. 2). Meanwhile, purchases in France and Italy deviated by
around 4% and 2% below the capital key, respectively.
Large redemptions skewed implied monthly average
maturity calculations: The technical effect of redemptions on
the monthly implied average maturity of purchases likely
skewed November’s average maturity numbers, especially in
France, Italy and Spain, as the calculation is affected by
redemptions in the PSPP portfolio as well as by new PSPP
purchases (Table 2).
*The technical effect of redemptions on the monthly implied average maturity of purchases likely skewed October’s average maturity numbers, especially in Germany,
France, Italy and Spain, as the calculation is affected both by redemptions in the PSPP portfolio as well as by the new PSPP purchases. Months with bond
redemptions are marked in Italics in the table.
November’s APP frontloading: short of expectations
Will the PSPP’s share stay at around 70% The PSPP’s
share of the APP remained at 66% in November (same as
in October) from 77% on average in January-September
2018, mostly to the benefit of the CSPP. Despite a typically
insignificant month for corporate supply due to the start of
the earnings season and a couple of week-long blackouts
around the results, the share of the CSPP in October was
nearly 9% above the average share in January-September
and remained elevated in November. We do not see a
change in the dynamic in December.
Fig. 3: Est. gross and net PSPP purchases in 2018
Sources: BNP Paribas, ECB.
GER NET AUS FIN FRA BEL IRE ITA SPA POR
Nov-18 9.0 11.0 6.4 8.5 24.6 10.2 13.9 8.4 32.0 12.0
Oct-18 26.5 14.9 4.9 10.0 22.6 8.0 11.3 10.4 35.4 12.5
Sep-18 12.2 8.8 7.7 - 9.7 11.8 13.6 8.0 11.9 10.8
Aug-18 6.7 9.5 8.7 11.9 8.8 9.9 10.4 9.1 11.3 10.1
Jul-18 15.2 44.6 8.8 11.8 11.2 9.1 10.3 7.3 18.0 9.9
Jun-18 16.4 8.5 8.0 11.8 11.4 22.7 13.3 15.2 12.6 11.0
May-18 6.6 9.6 8.0 10.4 17.4 16.6 13.5 14.9 12.9 13.0
Apr-18 18.8 29.1 9.9 8.9 13.8 9.1 17.3 12.5 32.5 13.5
Mar-18 9.7 8.6 8.2 9.6 9.9 17.6 16.9 9.3 12.7 10.4
Feb-18 12.2 9.5 11.0 10.5 12.5 6.5 9.2 11.1 11.8 11.0
Jan-18 6.8 18.5 6.5 8.6 9.9 7.4 10.0 14.1 13.7 8.5。