ECB – Upcoming PSPP buying pattern estimates
The ECB’s Asset purchase programme dropped from €30bn to €15bn from October 1st and so the redemptions will weight far heavier as time progresses. It also means that PSPP support will vary more between countries. Great if there is a redemption, less great if not. Strictly speaking redemption proceeds are aimed at being re-invested within 2 months of the cash flow coming in but in the calculations below, we have assumed that it is invested in the month it arrives.
As such, the patterns shown below might end up being smoother. Also, buying in December might be lower in particular.
Firstly, our estimate of the weight of buying by country from Oct-Dec:
But things get more interesting on a monthly basis.
We see that France starts to stand out in October and November. Remember that France has a big chunk of coupon and redemption payments in October (on 25th). Spain also benefits in October from potentially strong gross PSPP buying flows.