Being part of Qe programmes and the respective weight the eurosystem has in these markets
We have mentioned above that the QE programmes by the Eurosystem have played a major role in the evolution
of the spreads of all affected markets. Beyond the short term trading view that has driven the affected markets
tighter after the respective QE announcements, the longer term spread impact of QE strongly depends on the actual share the Eurosystem’s acquires in these sectors. And while the short term reaction of the CBPP 3 and
the PSPP has been similar (spreads went tighter), the longer term impact will be very different.
The ECB is buying around 10-12bn covered bonds per month for the CBPP 3 while at the same time purchasing
around 45bn in eligible government, agency and supra debt for the PSPP.
Despite the lower absolute volumes purchased in covered bonds, the distortive factor of the CBPP 3 is substantially higher than it is under the PSPP.