As expected, the QE figures for February showed PSPP share remained around 70% of the new purchase rate of EUR30bn. This is in line with expectations of the new purchase rate as of January this year. 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, as there was no change in the cumulated capital key deviations among the major countries compared to January.
The weighted average maturity of German PSPP purchases increased significantly from 6.8 to 12.2 years. However, we emphasise that with an increasing amount of redemptions, one should be cautious when reading these estimates. If there were any PSPP redemptions in the ECB’s holdings (for example, the OBL Feb-18 (org. 5Y bond) matured in February), this could ‘distort’ our average monthly maturity estimates. Hence, redemptions could add volatility to these figures going forward. We assign the significantly higher WAM to this.
The additional redemption details covering Feb-2019 underscore the presence of redemptions, with total QE redemptions in Feb-19 amounting to EUR11.8bn, of which EUR8.8bn is in PSPP. Total PSPP redemptions through to Feb-19 are EUR141bn
