The QE figures for March showed the PSPP share remained around 70% of the total EUR30bn APP purchase volume (EUR30.9bn in March) . The share has been relatively constant in Q1 with the new purchase rate as of January 2018. We continue to expect around 70% of the total APP will be allocated to the PSPP.
The major countries were bought close to the capital key, with the exception of Spain which saw volumes bought slightly above the capital key.
The weighted average maturity of German PSPP purchases fell back to 9.7 years, after a big redemption in February distorted the pattern. A maturing Schatz in March is likely to have disturbed the picture as we believe purchases were implemented in shorter maturities. We expect the volatility in these figures going forward to be high.
Looking ahead, PSPP holdings worth EUR22bn will mature in April from a number of countries (DE, NL, IT, FR and ES). In particular, we expect the ECB to hold quite a sizeable amount of German paper (old 5Y bond and linker).
The additional redemption details covering Mar-2019 underscore the presence of redemptions, and illustrate why the ECB puts great emphasis on this. Total PSPP redemptions through to March 2019 are EUR142bn, albeit with some seasonality.
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