Blog post

ECB Quantitative Easing on track

On 9 March 2015 the ECB began purchasing European sovereign and agency bonds and supranational debt securities under the Public Sector Purchase Progra

Publishing date: 08 April 2015
Authors: Grégory Claeys Alvaro Leandro Allison Mandra

On 9 March 2015 the ECB began purchasing European sovereign and agency bonds and supranational debt securities under the Public Sector Purchase Programme (PSPP). In our policy contribution published on 11 March 2015, we explained that the ECB would purchase sovereign debt according to the capital keys and according to the maturity distribution of outstanding debt while taking into consideration the self-imposed 2-30 year remaining maturity range and the 25% and 33% issue and issuer limits. Today, the ECB published its PSPP holdings and the corresponding weighted average remaining maturities for each member state and the supranational institutions after the first month of purchases. The table below compares our calculations with the actual purchases.

Note: We did not provide values for Estonia, Luxembourg and Lithuania because their debt level is so small and data is scarce.

For the time being, the Eurosystem is perfectly on track with its commitments in terms of total volume of sovereign bonds purchased and also in terms of country allocation. Indeed, its actual purchases are roughly in line with our previous calculations. During the first month of the programme, the Eurosystem purchased €41.7 billion in sovereign debt instead of the expected €42.6 billion (i.e. €44 billon minus what should be allocated to Greece and Cyprus as they are not currently eligible for the reasons detailed in our policy contribution). The only notable difference with our predictions comes from Latvia and Malta for which it purchased much less debt than what we expected. This could be due to the small size of the markets or maybe because it anticipated that the 25% issuer limit will be reached quickly, and therefore chose to space the purchases out over the length of the program.

In terms of the maturity structure of the purchases, the weighted average maturities published today correspond only very broadly to our estimates, which were calculated from the actual maturity distribution of each country’s outstanding 2-30 year debt before QE started, thus ensuring market neutrality of the purchases. For instance, significant differences can be noted for Germany, Spain, Portugal and the Netherlands. Interestingly, in Germany, the average maturity of the bonds purchased is shorter than the one of the overall observed distribution, despite negative rates on the shorter end of the yield curve. However, the weighted average maturities of the purchases are both above and below our estimates depending on the countries. It is therefore difficult to conclude yet that these discrepancies indicate that the Eurosystem significantly and purposefully deviates from purchasing according to the current outstanding distribution. Indeed, the ECB itself notes that "deviations could reflect (...) the issue share limits taking into account holdings in other Eurosystem portfolios as well as the availability and liquidity conditions in the market during the implementation period"

About the authors

Grégory Claeys

Grégory Claeys, a French and Spanish citizen, joined Bruegel as a research fellow in February 2014, before being appointed senior fellow in April 2020.

Grégory Claeys is currently on leave for public service, serving as Director of the Economics Department of France Stratégie, the think tank and policy planning institution of the French government, since November 2023.

Grégory’s research interests include international macroeconomics and finance, central banking and European governance. From 2006 to 2009 Grégory worked as a macroeconomist in the Economic Research Department of the French bank Crédit Agricole. Prior to joining Bruegel he also conducted research in several capacities, including as a visiting researcher in the Financial Research Department of the Central Bank of Chile in Santiago, and in the Economic Department of the French Embassy in Chicago. Grégory is also an Associate Professor at the Conservatoire National des Arts et Métiers in Paris where he is teaching macroeconomics in the Master of Finance. He previously taught undergraduate macroeconomics at Sciences Po in Paris.

He holds a PhD in Economics from the European University Institute (Florence), an MSc in economics from Paris X University and an MSc in management from HEC (Paris).

Grégory is fluent in English, French and Spanish.
Alvaro Leandro

Álvaro Leandro Fernández-Gil, a Portuguese and Spanish citizen, worked at Bruegel as a Research Assistant from November 2014 until July 2016 in the area of Global and European Macroeconomics. Prior to this, Álvaro worked as a Research Assistant at “la Caixa” Research. He has also worked as an intern at the Sustainable Development Network of the World Bank. He holds an undergraduate degree in Economics from the University of Sussex, and a master in Specialised Economic Analysis from the Barcelona Graduate School of Economics (Universitat Pompeu Fabra).

The subject of his Master's thesis was the inter-connectivity in the financial system, and its consequences for systemic risk and regulation. At the University of Sussex he wrote a dissertation on Political Business Cycles.

Álvaro’s research interests include Macroeconomics, International Finance and Political Economy.

He is fluent in English, French, Portuguese and Spanish.
Allison Mandra

Allison Mandra is from the United States. She was an intern at Bruegel from November 2014 until June 2015. She obtained her Master’s in Macroeconomic Policy and Financial Markets from the Barcelona Graduate School of Economics, where she wrote a thesis on whether financial analysts’ price targets for public equities are concordant with the use of rational expectations in asset-pricing models.

She holds a Bachelor’s degree in Economics from Bates College in the United States, and wrote her undergraduate thesis on the instabilities and inequities of the current international reserve system, including an analysis of proposed avenues for reform. During her studies she also spent a semester at Cambridge University focusing on theories of industrial organization.

Allison’s research interests include macroeconomics and international financial stability.