German PSPP continues to run ‘below par’ and biased towards the short maturities – Danske Bank

QE figures for June showed that German PSPP purchases are running below what the capital key suggests and remain biased towards the short-end, notes the research team at Danske Bank.

Key Quotes

“The average maturity of the German purchases increased slightly to 5.3Y in June (4.0Y in May).”

“The average maturity of purchases in Finland and Netherlands dropped to an all-time low of 4.6Y and 5.1Y respectively (13.6Y and 10.0Y in May).”

“Purchases in Finland, Ireland, Netherlands and Portugal also continue to deviate from the capital key (due to the issuer limit), with purchases roughly in line with the previous month. We expect this to be the run rate for the remainder of 2017.”

“The overall QE purchases were roughly unchanged at EUR62.4bn in June vs. EUR62.5bn in May. The net purchases in May amounted to EUR51.6bn in the PSPP, EUR7.0bn in the CSPP and EUR3.3bn in the CBPP3, while the ABSPP accounted for EUR0.5bn. The CSPP share of total QE in June was 11.3%, slightly lower than the all-time high of 12.1% in May.”