ECB purchases are still proceeding according to plan, with EUR60.3bn purchased in April . EUR47.7bn was purchased in the PSPP, EUR11.5bn in the covered bond programme and EUR1.1bn in the ABS in April. Hence, ECB remains successful and mechanical in its purchases. The country details reveal that the average maturity of purchases in the periphery was lowered in April . In Spain, the average maturity was lowered to 7.9Y versus 11.7Y in March. In Italy, the figure is 7.9Y versus 9.0Y. In Portugal, it is 8.00Y versus 8.25Y. Note also that average maturity declined in the core in April . For average maturity to decline, purchases in April must have been shorter than in March. The recent move higher in German yields implies that there is currently one German bond (Jul-17 OBL) that is excluded due to a yield below -20bp. EUR220bn of German bonds (market value) has been included in the German curve since the low – that is an increase of 25% in QE eligible German bonds.
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